Risk value can be defined as a method for assessing and calculating risk in any investment

Question

Compute the Value-at-Risk (VaR) of a six-month forward contract. The transaction requires the investor to deliver $12.7 million in 180 days and receive €10 million in exchange. Assume that the current spot rate is $1.26/1€ and the annualized interest rate is 4% on a six-month zero coupon bond and 3% on a six-month zero coupon Euro bond

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