On December 31, 2001, Historic Bank had long positions of 200,000,000 Japanese Yen and 50,000,000 Swiss Francs.  The closing exchange rates were ¥92/$ and SF 1.89/$.

(keep 4 decimal places in your computation) 

Question 1: What is the value of delta in dollars for the Japanese Yen position?

Question 2: What is the value of delta in dollars for the Swiss Francs position?

Question 3: Over the past 500 days, the 25th worst day for adverse exchange rate changes saw a change in the exchange rates of 0.78 percent for the Yen and 0.30 percent for the Swiss Franc. What is the expected VAR exposure on December 31?

Answer rating: 100% (QA)

1 Calculation of the value of delta in dollars for Japanese Yen ... View the full answer