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VAR Example 4 ( interest rate risk = .605% daily) oSuppose the AUD 140 million Forex position is in Australian government bond. oAssume the current

VAR Example 4 (interest rate risk = .605% daily)

oSuppose the AUD 140 million Forex position is in Australian government bond.

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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