CHAPTER 10 QUIZ 33

CHAPTER 10 QUIZ 33
Applying the Value-at-Risk Method. You use today- spot rate of the Brazilian real to forecast
the spot rate of the real for one month ahead. Today- spot rate is $.4558. Use the value-at-risk
method to determine the maximum percentage loss of the Brazilian real over the next month based
on a 95 percent confidence level. Use the spot exchange rates at the end of each of the last 6
months as shown below to conduct your analysis. Forecast the exchange rate that would exist
under these conditions.

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