Songmyŏng Bank has a trading position in Korean Won and Japanese Yen. On the closing date (25 April 2019), the Songmyŏng Bank had KRW10 billion and ¥300 million. The exchange rate is US$0.08/KRW1000 and US$0.03/100 on 25 April 2019. The exchange rate for the most recent four days are given below: Currency/Date 24/4 Japanese Yen (¥) US$0.02 23/4 US$0.025 Korean Won (W) US$0.09 US$0.10 22/4 21/4 US$0.015 US$0.020 US$0.085 US$0.11 Based on the information given, compute: i) delta value and daily changes position for both currencies. ii) total risk faced by Songmyong Bank on each day.

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Songmyŏng Bank has a trading position in Korean Won and Japanese Yen. On the
closing date (25 April 2019), the Songmyŏng Bank had KRW10 billion and ¥300 million.
The exchange rate is US$0.08/KRW1000 and US$0.03/100 on 25 April 2019. The
exchange rate for the most recent four days are given below:
Currency/Date
24/4
Japanese Yen (¥)
US$0.02
23/4
US$0.025
Korean Won (W)
US$0.09
US$0.10
22/4
21/4
US$0.015 US$0.020
US$0.085 US$0.11
Based on the information given, compute:
i)
delta value and daily changes position for both currencies.
ii)
total risk faced by Songmyong Bank on each day.
Transcribed Image Text:Songmyŏng Bank has a trading position in Korean Won and Japanese Yen. On the closing date (25 April 2019), the Songmyŏng Bank had KRW10 billion and ¥300 million. The exchange rate is US$0.08/KRW1000 and US$0.03/100 on 25 April 2019. The exchange rate for the most recent four days are given below: Currency/Date 24/4 Japanese Yen (¥) US$0.02 23/4 US$0.025 Korean Won (W) US$0.09 US$0.10 22/4 21/4 US$0.015 US$0.020 US$0.085 US$0.11 Based on the information given, compute: i) delta value and daily changes position for both currencies. ii) total risk faced by Songmyong Bank on each day.
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