Question: The current exchange rate between the yen () and the U.S. dollar is $0.0086 per . The yen is expected to depreciate by 0.3% per

The current exchange rate between the yen () and the U.S. dollar is $0.0086 per . The yen is expected to depreciate by 0.3% per day against the dollar and the standard deviation of the daily percentage changes in the yen against the dollar is 0.1%

Part 1

What is the maximum one-day depreciation of the yen against the dollar with a 95% confidence level (VaR_5%)?

Part 2

What is the expected value of the yen if the maximum one-day loss from the previous part occurs (in $ per )?

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