Financial Risk Manager Part 1

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Explanation:

The position value in USD is:

2{,}000{,}000 \times 1.40 = 2{,}800{,}000

A daily volatility of 34 bps means:

0.34\% = 0.0034

For a 95% one-tailed VaR, use a z-score of about 1.645:

\text{VaR} = 2{,}800{,}000 \times 0.0034 \times 1.645 \approx 15{,}659

So the 95% daily DEAR is $15,659.

Explanation:

The position value in USD is:

2{,}000{,}000 \times 1.40 = 2{,}800{,}000

A daily volatility of 34 bps means:

0.34\% = 0.0034

For a 95% one-tailed VaR, use a z-score of about 1.645:

\text{VaR} = 2{,}800{,}000 \times 0.0034 \times 1.645 \approx 15{,}659

So the 95% daily DEAR is $15,659.

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MManit

Last updated: April 18, 2026 at 11:32

$7,997

0.0%

$11,185

0.0%

$15,659

100.0%

$28,642