Bank of Bentley has determined that its inventory of yen () and Swiss franc (SF) denominated securities

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Bank of Bentley has determined that its inventory of yen (¥) and Swiss franc (SF) denominated securities is subject to market risk. The spot exchange rates are ¥80.00/$ and SF0.9600/$, respectively. The σ’s of the spot exchange rates of the ¥ and SF, based on the daily changes of spot rates over the past six months, are 75 bp and 55 bp, respectively. Using adverse rate changes in the 99th percentile, the 10-day VARs for the two currencies, ¥ and SF, are $350,000 and $500,000, respectively. Calculate the yen and Swiss franc-denominated value positions for Bank of Bentley.
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Financial Institutions Management A Risk Management Approach

ISBN: 978-0071051590

8th edition

Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders

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