Company A is based in country A with the AS as its functional currency.

Exposure: Company A will receive B$20 million.

Spot rate: A$1 = B$2 ⇒ 1 B$ = A$0.5

Current A$ value of the receipt:

20,000,000×0.5=A$10,000,00020{,}000{,}000 \times 0.5 = A\$10{,}000{,}00020,000,000×0.5=A$10,000,000

Daily standard deviation of the exchange rate = 0.5% = 0.005

1-day 95% VaR uses Z ≈ 1.645

VaR:

VaR=Z×σ×exposure=1.645×0.005×10,000,000\text{VaR} = Z \times \sigma \times \text{exposure} = 1.645 \times 0.005 \times 10{,}000{,}000VaR=Z×σ×exposure=1.645×0.005×10,000,000 0.005×10,000,000=50,0000.005 \times 10{,}000{,}000 = 50{,}0000.005×10,000,000=50,000 1.645×50,000=82,2501.645 \times 50{,}000 = 82{,}2501.645×50,000=82,250

So the 1-day 95% VaR is A$82,250 → Option C.