Suppose your firm expects to receive 1 million Australian dollars from exports and wants to assess the
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Suppose your firm expects to receive 1 million Australian dollars from exports and wants to assess the Value-at-Risk (VaR) of the US$ value of those exports if the US dollar appreciates against the AUD. Suppose today’s spot exchange rate is $0.72/AUD, the mean expected daily % change in the #USD/AUD is zero, and the standard deviation of the daily percent changes is 0.6%. Assuming a normal distribution for these daily percent changes, what is the VaR using a 95% confidence interval and a one day time horizon?
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