题目
Bank Omega's foreign currency trading desk is composed of 2 dealers: dealer A, who holds a long position of 10 million CHF against the USD, and dealer B, who holds a long position of 10 million SGD against the USD. The current spot rates for USD/CHF and USD/SGD are 1.2350 and 1.5905 respectively. Using the variance/covariance approach, you worked out the 1 day, 95% VaR of dealer A to be USD77,632 and that of dealer B to be USD27,911. If the correlation coefficient between the SGD and CHF is +0.602 and assuming that these are the only trading exposures for dealer A and dealer B, what would you report as the 1 day, 95% VaR of Bank Omega’s foreign currency trading desk using the variance/covariance approach?
选项
A.USD 97,027
B.USD 105,543
C.USD 113,932
D.Cannot be determined due to insufficient data
答案
A
解析
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