DGMax Corporation is a Canadian firm that has substantial international business in Japan and has cash inflows in Japanese yen. The yen exchange rate over last 6 months were as follows. Month $/yen January $ 0.0218 February $ 0.0227 March $ 0.0218 April $ 0.0203 May $ 0.0204 June $ 0.0203 However, DGMax wants to determine the maximum expected percentage decline in the value of the Japanese yen in one month based on the value-at-risk (VaR) method and a 95 percent probability. Based on the exchange rate information provided above, what is the maximum expected decline in the yen over the next month? A) -8.88% B) -7.84% C) -4.29% D) -6.86%
Thus Option D 6.86%
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