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3:46 Close FIR 4720-6720 Risk Metrics.1 DOC-47 KB 1. Germantown Tennessee National Bank has determined that its inventory of 40 million euros () is subject to market risk. The spot exchange rate on 10/23/2018 is $1.1470. The S of the spot exchange rate of the , based on the daily changes of spot rates over the past is 85 bp (0.85% or .0085). Determine the bank's 10-day Value at Risk (VAR) for Euros. Use adverse rate changes in the 95th percentile, 90% Confidence Interval, (Za,-1.65). six months, FX position of -40,000,000 S1.1470 $45.880 million FX volatility SVE 1.65 x 85 bp 140.25 bp, or 1.4025 % Input into formula as: 0.014025) DEAR = ($ Value of position) x (Price volatility) DEAR of E VAR of 2. Germantown Tennessee National Bank also has a stock portfolio with a market value of $40 million. The beta of the portfolio is 1.45; whereas, as we know, the market portfolio (B-1). The market portfolio's daily standard deviation (Sm) is estimated at 1.6 percent (Input into formula as: 0.016). What is the 5-day VAR of this portfolio, using adverse rate changes in the 99 percentile, 98% Confidence Interval, (z,,-2.33)? DEAR(S Value of portfolio) x (Zz x Bx S) DEAR(S Value of portfolio) x (2.33 x Bx s)- VARS