An American bank is estimated to have €20 million and £25 million at risk in the market at the current exchange rates of S0.40/EUR and $1.28/BP. Based on daily changes in spot exchange rates over the past six months, the standard deviations α of the current exchange rates of EUR and BP are estimated to be 65bp and 45bp respectively. The 10-day value at risk for banks in the two currencies is calculated. The confidence level is 95%.