this questions from BUS 536 it is finance class International Finance Management

11. X Co. will receive 6 million British Pound tomorrow. The standard deviation of daily percentage changes of the BP is 1.5 percent. Using value-at-risk (VAR) method with a 95% confidence level what is the maximum one-day loss. Assume that the expected percentage change of the Pound tomorrow is 0.6%?

a. -0.5%

b. -2.2%

c. -1.5%

d. None of the above

13. Refer to question 11. What is the maximum one-day loss in dollars? Expected % change of the Pound tomorrow is 0.5%? The spot rate of the BP is $1.01.

a. -$75,750.

b. -$60,685.

c. -$119,685.

d. -$25,255.