What is the maximum one-day percentage loss

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Reference no: EM131969556

1. Cerra Co. expects to receive 5 million euros tomorrow as a result of selling goods to the Netherlands. Cerra estimates the standard deviation of daily percentage changes of the euro to be 1 percent over the last 100 days. Assume that these percentage changes are normally distributed. Use the value-at-risk (VaR) method based on a 95 percent confidence level. What is the maximum one-day percentage loss if the expected percentage change of the euro tomorrow is 0.5 percent?

a. –2.2 percent

b. –1.15 percent

c. –0.5 percent

d. –1.5 percent

2. Cerra Co. expects to receive 5 million euros tomorrow as a result of selling goods to the Netherlands. Cerra estimates the standard deviation of daily percentage changes of the euro to be 1 percent over the last 100 days. Assume that these percentage changes are normally distributed. Use the value-at-risk (VaR) method based on a 95 percent confidence level. What is the maximum one-day loss in dollars if the expected percentage change of the euro tomorrow is 0.5 percent? The current spot rate of the euro (before considering the maximum one-day loss) is $1.01.

a. –$111,100

b. –$57,500

c. –$25,250

d. –$75,750

Reference no: EM131969556

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