An FI has 5 million in its trading portfolio on the close of business on a particular

Question:

An FI has ₤5 million in its trading on the close of business on a particular day. The current of pounds for dollars is ₤0.6400/$, or dollars for pounds is $1.5625, at the daily close. The volatility, or standard deviation (σ), of daily percentage changes in the spot ₤/$ over the past year was 58.5 bp. The FI is interested in adverse moves – bad moves that will not occur more than 1 percent of the time, or 1 day in every 100. Calculate the one-day VAR and ES from this position. 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... Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...