3. (18 points) (Ch. 10) Extending VaR. River Plate, an Argentine soccer club, sold a player to England for GBP 6M. Payments are in installments of GBP 2M each, every 30 days. River Plate wants to calculate the VaR(95%) for the next payment in 30 days. River Plate believes monthly GBPARS changes (eft) follow a normal distribution. River Plate estimates the mean and the variance from the empirical distribution from the past 10 years: u = Monthly mean = 0.058 o2= Monthly variance = 0.0124 St= 18 GBPARS i) Calculate the Transaction Exposure (TE) (6 points) ii) Calculate the 30-day VaR(95%) (HINT: use z = 1.96). (12 points) = = = 3. (18 points) (Ch. 10) Extending VaR. River Plate, an Argentine soccer club, sold a player to England for GBP 6M. Payments are in installments of GBP 2M each, every 30 days. River Plate wants to calculate the VaR(95%) for the next payment in 30 days. River Plate believes monthly GBPARS changes (eft) follow a normal distribution. River Plate estimates the mean and the variance from the empirical distribution from the past 10 years: u = Monthly mean = 0.058 o2= Monthly variance = 0.0124 St= 18 GBPARS i) Calculate the Transaction Exposure (TE) (6 points) ii) Calculate the 30-day VaR(95%) (HINT: use z = 1.96). (12 points) = = =