Question
SFS Co. expects to receive 5 million euros in a month as a result of selling goods to a customer in Greece. SFS Co. estimates
SFS Co. expects to receive 5 million euros in a month as a result of selling goods to a customer in Greece. SFS Co. estimates that the standard deviation of monthly percentage changes of the euro to be 1 percent over the last year. Assume that these percentage changes are normally distributed. The current spot rate of the euro (before considering the maximum one-day loss) is A$1.01. What is the maximum one-month loss in Australian dollars if the expected percentage change of the euro tomorrow is 0.45%? Use the value-at-risk (VAR) method based on a 90% (t-stat = 1.65) confidence level.
| A. | -$76,000. | |
| B. | -$60,600. | |
| C. | -$62,100. | |
| D. | -$63,000. | |
| E. | -$64,300. |
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Stock Market Investing For Beginners Your Step By Step Guide To Building Wealth And Passive Income Streams Using Proven Stock Market Strategies
Authors: Michael Ezeanaka
1st Edition
1096335387
