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Exam 8008 All Questions
Exam 8008 All Questions

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PRMIA PRM 8008 Question # 86 Topic 9 Discussion

8008 Exam Topic 9 Question 86 Discussion:
Question #: 86
Topic #: 9

For a US based investor, what is the 10-day value-at risk at the 95% confidence level of a long spot position of EUR 15m, where the volatility of the underlying exchange rate is 16% annually. The current spot rate for EUR is 1.5. (Assume 250 trading days in a year).


A.

526400


B.

2632000


C.

1184400


D.

5922000


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