The profit earnings reported for Euro Disney SCA was 23.63 million Euro. Given that the Walt Disney Group has a 39 percent ownership stake in Euro Disney SCA, the total exposure value for them is approximately 9.6 million Euro (or dollars). It should be noted that the Euro-Dollar exchange rate as quoted on December 3, 1999 was approximately 1-to-1.

In the past the Walt Disney Group has been in situations in which foreign currency fluctuations have negatively impacted the corporation, thus the company employs a very conservative strategy with regard to currency and transaction exposure. Therefore, management has specified that it wants only a 5 percent chance of losing 5 percent of its investment, or $480,000.

We want only a 5.0 percent (or 1.65 standard deviations) chance of losing more than $480,000.