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

Question

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.

Summary

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

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