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You now have two assets: JPY 1 billion + THB 4 billion. What is the risk over a 1-day period?
Solution
| Step | Calculation | Comment |
| 1. Measure value in USD | $200 million | 140 JPY/USD and 40 THB/USD |
| 2. 1-month volatility | JPY/USD 1.78%THB/USD 1.96% | |
| 3. What are risks?/$ | On JPY $ 1.78 millionOn THB $ 1.96 million | Data Set |
| 4. What is total risk? | $ 1.78 + $ 1.96 m = $ 3.74 million | This is incorrect you cannot just add the risks! |
