Create an Account

Already have account?

Forgot Your Password ?

Home / Questions / Export Bank has a trading position in euros and Australian dollars At the close of busines...

Export Bank has a trading position in euros and Australian dollars At the close of business on October 20 the bank had €22 million and A$40 million The exchange rates for the most recent six days

Export Bank has a trading position in euros and Australian dollars. At the close of business on October 20, the bank had €22 million and A$40 million. The exchange rates for the most recent six days are given below: Exchange Rates per U.S. Dollar at the Close of Business 10/20 10/19 10/18 10/17 10/16 10/15 Euros 0.8800 0.8770 0.8575 0.8675 0.8750 0.8915 Australian $s 1.2660 1.2900 1.2750 1.3000 1.2855 1.2705 a. What is the foreign exchange (FX) position in dollar equivalents using the FX rates on October 20? b. What is the sensitivity of each FX position; that is, what is the value of delta for each currency on October 20? c. What is the daily percentage change in exchange rates for each currency over the five-day period? d. What is the total risk faced by the bank on each day? What is the worst-case day? What is the best-case day?

 

Apr 28 2020 View more View Less

Answer (Solved)

question Subscribe To Get Solution

Related Questions