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Elegant Bank takes large positions in Canadian Dollar (CAD). The bank's current exposure to CAD is $710 million. The bank's CEO is concerned about potential
Elegant Bank takes large positions in Canadian Dollar (CAD). The bank's current exposure to CAD is $710 million. The bank's CEO is concerned about potential loss to the bank in the event of a decline in the value of CAD. The spot rate is $1.49/CAD and the standard deviation based on daily spot price changes in the currency is 0.66%. What is the 15-day VaR of the bank's exposure to CAD based on adverse changes at the 99 th percentile? (Please round your answer to two decimal places in terms of millions of dollars. Please do not show a $ sign or a minus sign in the answer (e.g. if the answer is $2.13 million, enter 2.13) )
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