finance problem any help would be great. thanks in advance

J FIR 4720mm Manage of Financial Institmions errber 2318 VA Metrics Quiz# 12 (10 points) 1. Germantown Tennessee National Bank has deterrri ned that its inventory of 40 nillion euros () is subject to market risk. The spot exchange rate on 1012312318 is $1.1470/ The a of the spot exchange rate of the , based on the daily changes of spot rates over the past six months, is 85 bp (0.85% or .0085). Deterrrine the bank's 10-day Value at Risk (VAR) for Euros Use adverse rate changes inthe 95'rl percentile, 90% Condence Interval, (Zfljs). FX position of = 40,0CD,CDO*$1.1470/ = $45880 million FX volatility are = 1.55xssbp = 140.2pr, or 1.4m as (Input into formula as: (1014025) DEAR = ($Value of position) x (Price volatility) DEAR of VAR of 2 Gern'antown Tennessee National Bank also has a static portfolio with a market value of $40million. The beta of the portfoliois 1.45; whereas, as we know; the market portfolio (l3: 1). The market portfolio's claily standard deviation (am) is estimated at 1.6 percent (input into formula as: 0.016). What is the 5-day VAR of this portfolio, using adverse rate changes in the 99'\" percentile, 98% Condence interval, (26.2:233)? DEAR = (:3 Value of portfolio) x (me Bx om) DEAR = ($ Value of portfolio) x (2.33 x Bx om) = I VAR = 3 _______ 1 J5 = 8________________