Lion Star Inc. will
receive
50
million
Australian
dollars (AUD)
tomorrow. Current FX rate = $0.64/Euro....
Lion Star Inc. will
receive
50
million
Australian
dollars (AUD)
tomorrow. Current FX rate = $0.64/Euro.
Standard deviation of daily percentage change of
AUD
is 0.76
% over the last 200
days. Assume normal distribution, and the expected % change
in
Euro
is 0.15%.
A)
What
is the maximum one-day loss
(in % and in dollar amount)
with 99% confidence level?
B) What is the maximum one-day loss
(in % and in dollar amount)
with 95% confidence level?
Solutions
Expert Solution
The handwritten solution consists of both the parts that is A
and B in an elaborate manner . Kindly refer to the same to conclude
the concept of VaR has been used that is Value At Risk.
An Indonesian lady wishes to convert 1 million Indonesian rupiah
(IDR) to Australian dollars (AUD). Exchange rates are 13,125 IDR
per USD and 0.79 USD per AUD. How many AUD is the IDR 1 million
worth? (a) AUD 16,613,924,050.63 (b) AUD 10,368,750,000.00 (c) AUD
10,368.75 (d) AUD 96.44 (e) AUD 60.19
On May 14, 2020, the spot rate for Australian Dollars was 0.7306
USD/ 1 AUD. The 180-day (6 month) forward rate quoted in
the market was for 0.7340 USD/1 AUD and the risk-free rate on
180-day securities was 2.90 percent APR for United States LIBOR and
1.96 percent APR for Australian LIBOR. (LIBOR rates are
widely used as a reference rate for financial
instruments.) Assume that the US is the home
country.
Are the quotes for AUD above relative to the USD direct...
The current exchange rate is one Australian dollar (AUD) equal
to 1.349 USD. In the United States, the 6 months T-bill
rate is 2.84%. The 6-month forward rate for AUD is .75 USD/AUD.
Assuming that interest rate parity exists, what is the implied
interest rate for Australia?
A.
5.19%
B.
-2.35%
C.
2.35%
D.
.49%
Henry borrows ¥100,000 at an interest rate i¥=1.5%; converts it
into Australian dollars(AU$) at the current spot rate S(¥/AU$)=80;
deposits the funds in a Australian savings account for a year at
interest rate iAU$=7.5%. At the end of year, Henry converts his
revenue in back into funding currency at the spot rate S1(¥/AU$).
If the spot rate is S1(¥/AU$)=75, Henry’s net profit/loss is
a. - ¥13166.67
b. - ¥718.75
c. ¥13166.67
d. ¥718.75
e. ¥781.25