What is your dollar VaR when holding a UK portfolio of 100m if the current exchange rate
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What is your dollar VaR when holding a UK portfolio of £100m if the current exchange rate is \($1.5\) per £, the correlation between the return on the UK portfolio and the exchange rate is ρ = 0.5, the standard deviation of the UK portfolio is σ1 =1.896%, and the standard deviation of the exchange rate is σ2 =1.5%?
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Related Book For
Economics Of Banking The
ISBN: 237539
4th Edition
Authors: Kent Matthews ,John Thompson ,Tiantian Zhang
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