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.

International Financial Management
14th Edition
ISBN:9780357130698
Author:Madura
Publisher:Madura
Chapter10: Measuring Exposure To Exchange Rate Fluctuations
Section: Chapter Questions
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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.
$
Transcribed Image Text: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. $
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