*AT THE END OF THE DAY**From Chapter 2 of Global
Financial Markets*

The precise amount of the exposure in US dollar terms = 90,000,000/5.80
= $15.517 million

A movement of one standard deviation is equivalent to: 0.005*15.517
million = $77,585

From the properties of the normal distribution, the potential gains
or losses corresponding to moves in the range of 1, 2 and 3 standard deviations,
and the probabilities of these moves, are as follows:

Range | Value | Probability |

+/- 1 SD | +/- 77,585 | 0.6826 |

+/- 2 SD | +/- 155,170 | 0.9544 |

+/- 3 SD | +/- 232,755 | 0.9974 |

Click on the diagram below to download Allan Bluman's lecture notes
on probability distributions

Ian Giddy

www.giddy.org