Portfolio Ltd., a company based in Munich, has foreign trading assets in three major currencies, JPY, USD, and GBP. Baye

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Portfolio Ltd., a company based in Munich, has foreign trading
assets in three major currencies, JPY, USD, and GBP. Bayes has a
short position of JPY 720 million, a long position of USD 7.7
million, and a long position of GBP 6.3 million. Daily observations
for the last 12 months show that the spot rates’ standard
deviations are 0.5% for both EUR/JPY and EUR/GBP and 1% for
EUR/USD. The correlation between EUR/JPY and EUR/GBP is +50%,
between EUR/JPY and EUR/USD is +40%, and between EUR/USD and
EUR/GBP is +60%. What is the risk (VaR) of the overall position
over a 5-day interval at the 95% confidence level? Assume 0.90 GBP
= 1 EUR, 1.1 USD = 1 EUR and 120 JPY = 1EUR