JM Kogan Bank takes large positions in Swiss Franc [CHF). The bank's current exposure to Swiss Franc is $610 million The bank's CEO is concerned about potential loss to the bank in the evenl of a decline in the value 01 Swiss Franc. The spot rate is $1.55,!CHF and the standard deviation based on daily spot price changes in the currency is 0.82%. What is the 30-day Val? of the bank's exposure to Swiss Franc based on adverse changes at the 99m percentile? 

Answer rating: 100% (QA)

Solution 650 Million1559455 mil... View the full answer