this questions from Final exam BUS 536

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.