Mock test

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Joined: Sat Sep 22, 2012 12:35 pm

Mock test

Postby AMITAG1990 » Thu Nov 15, 2012 8:38 pm

Bank has a cash position of 1M Euro. The Euro exchange rate is 0.95 USD/EUR. The one-day Euro exchange rate is normally distributed with mean 0.95 and standard deviation 0.01. Compute the one-day Value at Risk with 95% confidence (in dollars).
Choose one answer.
a. 19,600 Incorrect
b. 15,675 Correct
c. 18,850 Incorrect
d. 21,650 Incorrect

whether this is right..??
I think answer should be 16450.


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