Question
On December 31, 2001 Historic Bank had long positions of 200,000,000 Japanese Yen and 50,000,000 Swiss Francs. The closing exchange rates were 92/$ and SFR1.89/$.
On December 31, 2001 Historic Bank had long positions of 200,000,000 Japanese Yen and 50,000,000 Swiss Francs. The closing exchange rates were 92/$ and SFR1.89/$.
What were the respective positions of the two currencies in dollars? (3 points) a. $2,173,913 and $94,500,000
b. $18,400,000,000 and $26,455,026
c. $2,173,913 and $26,455,026
d. $18,400,000,000 and $94,500,000
e. None of the above.
What is the value of delta for the respective positions of the two currencies in dollars? What does delta represent? (5 points) a. -$200,000,000 and -$50,000,000
b. -$21,524 and -$261,930
c. -$21,524 and -$50,000,000
d. -$200,000,000 and -$261,640
e. -$21,524 and -$317,642
Over the past 500 days, the 25th worst day for adverse exchange rate changes saw a change in the exchange rates of 0.78 percent for the Yen and 0.30 percent for the Swiss Franc. What is the expected 5%-VAR exposure on December 31? (4 points) a. -$95,368
b. -$2,157,088
c. -$26,375,899
d. -$109,233
e. -$314,848
4. If you were asked to determine the 1%-VAR exposure on December 31, then you would have selected the worst adverse exchange rate of which day? (3 points)
a. 1st worst day
b. 10th worst day
c. 5th worst day
d. 25th worst day
e. 15th worst day
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