Calculation Of Currency Position And Delta Position For Japanese Yen and Swiss Francs


On December 31, 2001 Historic Bank had long positions of 200,000,000 Japanese Yen and 50,000,000 Swiss Francs. The closing exchange rates were ¥92/$ and Swf1.89/$.

1. What were the respective positions of the two currencies in dollars?
    a. $2,173,913 and $94,500,000.
    b. $18,400,000,000 and $26,455,026.
    c. $2,173,913 and $26,455,026.
    d. $18,400,000,000 and $94,500,000.
    e. None of the above.

2. What is the value of delta for the respective positions of the two currencies in dollars?
    a. –$200,000,000 and -$50,000,000.
    b. –$21,524 and -$261,930.
    c. –$21,524 and -$50,000,000.
    d. –$200,000,000 and -$261,640.
    e. –$21,524 and -$317,642.

3. Over the past 500 days, the 25th worst day for adverse exchange rate changes saw a change in the exchange rates of 0.78 percent for the Yen and 0.30 percent for the Swiss Franc. What is the expected VAR exposure on December 31?
    a. –$95,368.
    b. –$2,157,088.
    c. –$26,375,899.
    d. –$109,233.
    e. –$314,848.


These short questions belong to Finance and it is about calculation of currency positions against dollar. The currencies are Japanese Yen and Swiss Francs. Questions like the positions of the currencies in respect to dollar, the value of delta for the positions of the currencies and value at risk.

Total Word Count 211

Download Full Solution


  • HWA

    this is a very good website

  • HWA

    I have 50 questions for the same test your page is showing only 28

  • HWA

    hi can you please help or guide me to answer my assignments. thanks

  • HWA

    hi can anyone help or guide me to my assignments. thanks

  • HWA

  • HWA

    This solution is perfect ...thanks

  • HWA

    Hello Allison,I love the 2nd image that you did! I also, had never heard of SumoPaint, is something that I will have to exolpre a bit! I understand completely the 52 (or so) youtube videos that you probably watched. Sometimes they have what you want, sometimes they don't! However, it is always satisfying when you are able to produce something that you have taught yourself. Great job!Debra 0 likes

  • HWA

    Perfect bank of solution. 

  • HWA

    great !

  • HWA
    Paul Brandon-Fritzius

    thanks for the quick response. the solution looks good. :)

  • HWA
    tina Johnson

    thnx for the answer. it was perfect. just the way i wanted it. 

  • HWA

    works fine.