Use the value-at-risk method to determine the maximum percentage loss of the Brazilian real over the next month based on a 95 percent confidence level. Do not round intermediate calculations. Round your answer to two decimal places. % Forecast the exchange rate that would exist under these conditions. Do not round intermediate calculations. Round your answer to four decimal places. $

Use the value-at-risk method to determine the maximum percentage loss of the Brazilian real over the next month based on a 95 percent confidence level. Do not round intermediate calculations. Round your answer to two decimal places. % Forecast the exchange rate that would exist under these conditions. Do not round intermediate calculations. Round your answer to four decimal places. $

International Financial Management

14th Edition

ISBN:9780357130698

Author:Madura

Publisher:Madura

Chapter10: Measuring Exposure To Exchange Rate Fluctuations

Section: Chapter Questions

Problem 33QA

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You use today's spot rate of the Brazilian real to forecast the spot rate of the real for one month ahead. Today's spot rate is $0.4500. Assume that you obtain the end-of-month spot exchange rates of the Brazilian real during the end of each of the last 6 months. End of Value of Month Brazilian real 1 $0.4243 2 0.4292 3 0.4300 4 0.4639 5 6 0.4535 0.4500 Use the value-at-risk method to determine the maximum percentage loss of the Brazilian real over the next month based on a 95 percent confidence level. Do not round intermediate calculations. Round your answer to two decimal places. % Forecast the exchange rate that would exist under these conditions. Do not round intermediate calculations. Round your answer to four decimal places. $
nswered Today you observe the folowing quotes: Spot EURUSD= $1.14 60 Day Forward EURUSD = $1.04 In 60 day you expec to receive 447,014 Euros. In 60 days you expect the EURUSD exchange rate to be $1.23. In 60 days the EURUSD actually is $1.03. You decided to not hedge your receivables. How many USD will you receive? 433,994.17
Suppose the spot rate for the Canadian dollar is CAD1.034 = USD1, the 3-month forward rate is CAD1.036 = USD1, and the 1-year forward rate is CADS1.039. = USD1. If no other information is available, what will be your guess about the spot rate in 1 year?
You Answered Today you observe the folowing quotes: Spot EURUSD $1.37 60 Day Forward EURUSD = $1.15 In 60 day you expec to receive 281,718 Euros. In 60 days you expect the EURUSD exchange rate to be $1.17. In 60 days the EURUSD actually is $1.21. You decided to hedge your receivables with a forward. How many USD will you receive? 232,824.79
Suppose that S ¥180/S. The annualized risk - free rates are 4.6% and 2.75% in Japan and the U.S., respectively. Find the one-year forward rate. Do not write any symbol. Make sure to round your answers to the nearest 100th decimal points.
Assume that Volt Cars Co. (a European company with headquarters in Luxembourg) will receive E154000 in 45 days. Today's spot rate of the British pound is €0.41. The 45-day forward rate is €O.43. Volt Cars Co. has developed the following probability distribution for the spot rate in 45 days: Possible Spot Rate in 45 Days Probability €0.40 17% €0.42 22% €0.44 35% €0.46 26% The probability that the forward hedge will result in a lower Euro-amount received than not hedging is:
Use the information below to answer the following questions. Currency per U.S. $ 1.2380 1.2353 Australia dollar 6-months forward Japan Yen 6-months forward U.K. Pound 6-months forward 100.3600 100.0200 .6789 .6784 Suppose interest rate parity holds, and the current six month risk-free rate in the United States is 5 percent. Use the approximate interest rate parity equation to answer the following questions. a. What must the six-month risk-free rate be in Australia? (Enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) b. What must the six-month risk-free rate be in Japan? (Enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) a. Australian risk-free rate b. Japanese risk-free rate c. Great Britain risk-free rate c. What must the six-month risk-free rate be in Great Britain? (Enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) % % %
eBook You use today's spot rate of the Brazilian real to forecast the spot rate of the real for one month ahead. Today's spot rate is $0.4517. Assume that you obtain the end-of-month spot exchange rates of the Brazilian real during the end of each of the last 6 months. End of Value of Month Brazilian real 1 $0.4255 2 0.4202 3 0.4194 4 0.4502 5 6 0.4598 0.4517 Use the value-at-risk method to determine the maximum percentage loss of the Brazilian real over the next month based on a 5 percent confidence level. Do not round intermediate calculations. Round your answer to two decimal places. % Forecast the exchange rate that would exist under these conditions. Do not round intermediate calculations. Round your answer to four decimal places.
Suppose the spot and six-month forward rates on the Norwegian krone are NKr 9.14 and NKr 9.27, respectively. The annual risk-free rate in the United States is 3.8 percent, and the annual risk-free rate in Norway is 5.7 percent. What must the six-month forward rate be to prevent arbitrage? Note: Do not include the Norwegian krone sign (NKr). Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16. Forward rate NKr
Spot rate OMR 0.061666 = 1 CNY = Chinese Yuan Renminbi. It is expected that CNY may depreciate by 3% after one month. What will be new exchange rate after depreciation?
Currently, you canexchange 1 euro for 1.25 dollars in the 180-dayforward market, and the risk-free rate on 180-daysecurities is 6% in the United States and 4% inFrance. Does interest rate parity hold? If not, whichsecurities offer the highest expected return?
Question 2 In 6-month from today, a U.S. based company will receive 2,000,000 Australian dollars (AUD) and the company wants to hedge the exchange rate risk. The expected AUD spot rate in 6-month will either appreciate by 5% (p.a) with 40% probability or depreciate by 10% (p.a.) with 60% probability. All rates are continuous compounding (please round your answers to 4 decimals in the exchange rate calculations). As the financial manager of the company, you look at Bloomberg and collect the following information: • U.S. interest rate: . . 4% p.a. 5% p.a. 1 AUD=0.63 USD Spot rate: Call option premium 0.03 USD, with exercise exchange rate 1 AUD-0.65 USD and 6-month maturity Put option premium 0.02 USD, with exercise exchange rate 1 AUD-0.64 USD and 6-month maturity Australian interest rate: 1) Calculate the 6-month forward exchange rate, describe how a forward agreement can be used to hedge the receivable money, and calculate the resulting amount of USD in 6 months.