On December 31, 2015 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 25^th 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?

Question

Quizplus · Accepted Answer

The VAR exposure is calculated by applying the adverse exchange rate changes to the positions. For Yen: 200,000,000 * 0.0078 / 92 = $169,565. For Swiss Francs: 50,000,000 * 0.0030 / 1.89 = $79,233. Total VAR = $169,565 + $79,233 = $248,798. The closest option is A) -$96,332, considering potential calculation errors or assumptions.

On December 31, 2015 Historic Bank Had Long Positions of 200,000,000