So, Bank ANZ owns a portfolio of options on the USD/GBP exchange rate. The delta equivalent position of the portfolio is GBP 56.00. The current exchange rate is 1.5, with a daily volatility of 0.7 percent. Using the given information and assuming that changes in portfolio value are normally distributed, the 99 percent /10-day VaR for this portfolio is:
I have noted that: Daily VaR = Daily Volatility * Delta Equivalent Position * Exchange Rate)
How do I use this to calculate the 10-day VaR?