A financial institution owns a portfolio of options on the USD/GBP exchange rate. The delta of the
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A financial institution owns a portfolio of options on the USD/GBP exchange rate. The delta of the portfolio is 56.0.
The current exchange rate is 1.5000. Derive an approximate linear relationship between the change in the portfolio value and the percentage change in the exchange rate. If the daily volatility of the exchange rate is 0.7%, estimate the tenday 99% VaR.
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