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Business, 11.02.2021 17:50 jjgurl60

Treck Co. expects to pay €250,000 in one month for its imports from Greece. • It also expects to receive €200,000 for its exports to Italy in one month. • They estimate the standard deviation of monthly percentage changes of the euro to be 3%, over the last 40 months (of data). • Assume that these percentage changes are normally distributed. • Using the value-at-risk (VaR) method based on a 95% confidence level, (5% chance of a loss realization greater than this number) what is the maximum one-month loss in dollars if the expected percentage change of the euro during next month is -2%? • Assume that the current spot (exchange) rate of the euro (before considering the maximum one-month loss) is $1.23.

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Treck Co. expects to pay €250,000 in one month for its imports from Greece. • It also expects to rec...
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