TNB Inc. is a U.S. firm that has substantial international business in Singapore and will receive 420 million Singapore
Posted: Thu May 05, 2022 8:26 am
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.
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.