TNB Inc. is a U.S. firm that has substantial international business in Singapore and will receive 420 million Singapore

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TNB Inc. is a U.S. firm that has substantial international
business in Singapore and
will receive 420 million Singapore dollars (SGD). The spot rate of
the SGD today is
$0.72. The standard deviation of daily percentage changes of SGD is
2.59% over the
last 200 days. If these daily percentage changes are normally
distributed with an
expected percentage change of 1.32% (i.e., (E(et)) = 1.32%), what
is the maximum 1-
day loss (VaR) under the following two cases:
a) Using a 95% conference level
b) Using a 99% confidence level
In both cases, find the VaR (the maximum one-day loss) in
percentage change and in
dollar amount.
Please show all your work.