Question: VAR Example 3 ( FOREX risk =.565% daily ) oYou are a US corporation and hold a AUD140 million Forex position. oAssume the current exchange

VAR Example 3 (FOREX risk =.565% daily)

oYou are a US corporation and hold a AUD140 million Forex position.

oAssume the current exchange rate is $1.40 AUD/USD.

oWhat is your VaR over a 1-day horizon given that there is a 5% chance that the realized loss will be greater than the VaR projection?

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