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US bank invested $10 million in GBP. The spot rate was $1,35/. The GBP/USD daily FX rate changes follow normal distribution with mean value of
- US bank invested $10 million in GBP. The spot rate was $1,35/. The GBP/USD daily FX rate changes follow normal distribution with mean value of 0 and standard deviation of 70 basis points, so 1% of the worst returns lies within 2,33 standard deviations from the mean while 10% worst returns lies 1,28 standard deviations from the mean.
- What is the daily earnings at risk value for the bank?
- What is the 5-day Value at Risk for the bank?
(assume 90% confidence level and accuracy of $1)
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Calculus For Scientists And Engineers Early Transcendentals
Authors: William L Briggs, Bernard Gillett, Bill L Briggs, Lyle Cochran
1st Edition
0321849213, 9780321849212
