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 = $16,956.52. For Swiss Francs: 50,000,000 * 0.0030 / 1.89 = $79,375.40. Total VAR = $16,956.52 + $79,375.40 = $96,331.92, rounded to $96,332.

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