Question
You expect that Mexican peso will depreciate by 1% for the next month. The current spot exchange rate is MXN14/USD. The monthly standard deviation of
You expect that Mexican peso will depreciate by 1% for the next month. The current spot exchange rate is MXN14/USD. The monthly standard deviation of percentage changes in Mexican peso is 6%. Use the value-at-risk (VaR) method to determine the maximum percentage loss of the Mexican peso over the next month at the 95 percent confidential level ?
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The Complete Guide To Capital Markets For Quantitative Professionals
Authors: Alex Kuznetsov
1st Edition
0071468293, 978-0071468299
