nswer

JM Kogan genk takes large positions in Swiss Franc (CHF). The bank's current exposure to Swiss Franc is $760 million. The bank's CEO is concerned about potential loss to the bank in the event of a decline in the value of Swiss Franc. The spat rete is S 1.7/CHF end the standard deviation based an daily spot price changes in the currency is 0.67%. Whet is the 30-day VaR of the bank's exposure to Swiss Franc based on adverse changes at the 99th percentile? (Please round your answer to two decimal places in terms of millions of dollars. Please do not show e S sign or a minus sign in the answer (e.g. if the answer is -52.13 million, enter 2.13)) Answer.