foreign exchange

    You have a portfolio comprised of 10000 Japanese Yen and 5000 Swiss Franc. Assume today’s rates are USD/CHF 1.0 and USD/JPY 100. Using historical values of exchange rates of these currencies against the US dollar (use Federal Reserve’s website), calculate the VAR of your portfolio (in dollars) for daily returns with 95% confidence. (Use the values of these rates between 12/16/2013 to 12/31/2013 as the sample for bootstrapping). Use Excel spreadsheet to show your work. Explain how you can hedge your portfolio against the exchange-rates exposure?

                                                                                                                                      Order Now