PLEASE ANSWER FULL QUESTION

3. (18 points) (Ch. 10) Extending VaR. River Plate, an Argentine soccer club, sold a player to Spain for EUR 9M. Payments are in installments of EUR 3M each, every 30 days. River Plate wants to calculate the VaR(99%) for the next payment in 30 days. River Plate believes monthly EURARS changes (eft) follow a normal distribution. River Plate estimates the mean and the variance from the empirical distribution from the past 5 years: u = Monthly mean = 0.054 o? = Monthly variance = 0.0105 St= 15 EURARS i) Calculate the Transaction Exposure (TE) (6 points) 2 ii) Calculate the 30-day VaR(99%) (HINT: use z= 2.33). (12 points) 3. (18 points) (Ch. 10) Extending VaR. River Plate, an Argentine soccer club, sold a player to Spain for EUR 9M. Payments are in installments of EUR 3M each, every 30 days. River Plate wants to calculate the VaR(99%) for the next payment in 30 days. River Plate believes monthly EURARS changes (eft) follow a normal distribution. River Plate estimates the mean and the variance from the empirical distribution from the past 5 years: u = Monthly mean = 0.054 o? = Monthly variance = 0.0105 St= 15 EURARS i) Calculate the Transaction Exposure (TE) (6 points) 2 ii) Calculate the 30-day VaR(99%) (HINT: use z= 2.33). (12 points)