Exercise 4(17 points) Imagine that you work for a US-based trading company as a financial manager. At this moment there

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Exercise 4 17 Points Imagine That You Work For A Us Based Trading Company As A Financial Manager At This Moment There 1 (30.07 KiB) Viewed 91 times

Exercise 4(17 points) Imagine that you work for a US-based trading company as a financial manager. At this moment there are receivables maturing in 60 days in the total value of 3.5 million EUR and one payable maturing also in 60 days that amounts to 1 million EUR. Current spot rate is 1.2800 EUR/USD What is the net position of your company in EUR? (1) Using VaR method, calculate the maximum expected loss on the value of your net position within one week on the 95% confidence level. Expected percentage change of the exchange rate within one week is - 0.15%. Standard deviation of these week changes is 0.65 %. Our next presumption is that percentage changes of EUR USD have normal distribution, Interpret the result. (4) The price of FED contracts with suitable due date is 129.00 USD per 100 EUR. The size of 1 FED contract is 20,000 EUR. (5) What position would you open in futures market to hedge your open position? Calculate the cash flow of the company after hedging if at the due date the prices are following: EUR/USD 1.33 and PRED - 132.00 bi EUR/USD 1.24 and PhD = 123.50