ABC Bank of the United States has a portfolio of DM 20 million and BP 25 million. DM (the currency of Germany, and BP is the British pound, the British currency). The spot rates are $0.4/DM and $1.28/BP. The daily standard deviation of the spot rate is 65 bps and 45 bps, for DM and BP. Suppose the correlation between the change in the exchange rate of the two is 0.45, calculate 95% VAR-10 days for the bank's DM and BP portfolio?

Answer rating: 100% (QA)

DM BP Standar Deviasi 65 45 Nilai Investa... View the full answer