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Question
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 Swf1.89/$.
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?
A. -$96,332.
B. -$2,157,088.
C. -$26,375,899.
D. -$109,233.
E. -$314,848.
Answer
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