An FI has $100,000 of net positions outstanding in British pounds () and $30,000 in Swiss francs (SF) The standard deviation of the net positions as a result of exchange rate changes is 1 percent for the SF and 1 3 percent for the The correlation coefficient between the changes in exchange rates of...

a Since the FI has a positive position an appreciation of the w ...

An FI has $100,000 of net positions outstanding in British pounds () and -$30,000 in Swiss francs

Question:

An FI has $100,000 of net positions outstanding in British pounds (£) and -$30,000 in Swiss francs (SF). The standard deviation of the net positions as a result of changes is 1 percent for the SF and 1.3 percent for the £. The correlation coefficient between the changes in exchange rates of the £ and the SF is 0.80.
a. What is the risk exposure to the FI of fluctuations in the £/$ rate?
b. What is the risk exposure to the FI of fluctuations in the SF/$ rate?
c. What is the risk exposure if both the £ and the SF positions are combined? Exchange Rate
The value of one currency for the purpose of conversion to another. Exchange Rate means on any day, for purposes of determining the Dollar Equivalent of any currency other than Dollars, the rate at which such currency may be exchanged into Dollars...