Question
VAR Example 3 ( FOREX risk =.565% daily ) oYou are a US corporation and hold a AUD140 million Forex position. oAssume the current exchange
VAR Example 3 (FOREX risk =.565% daily)
oYou are a US corporation and hold a AUD140 million Forex position.
oAssume the current exchange rate is $1.40 AUD/USD.
oWhat is your VaR over a 1-day horizon given that there is a 5% chance that the realized loss will be greater than the VaR projection?
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New Venture Creation A Framework For Entrepreneurial Start-ups
Authors: Paul Burns
2nd Edition
1352000504, 978-1352000504
