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What is the daily earnings at risk value

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Reference no: EM133122979

  1. US bank invested $10 million in GBP. The spot rate was $1,35/£. The GBP/USD daily FX rate changes follow normal distribution with mean value of 0 and standard deviation of 70 basis points, so 1% of the worst returns lies within 2,33 standard deviations from the mean while 10% worst returns lies 1,28 standard deviations from the mean. 
    • What is the daily earnings at risk value for the bank?
  3. • What is the 5-day Value at Risk for the bank? 

(For both questions assume 90% confidence level and accuracy of $1) 

Reference no: EM133122979

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