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【FRM每日一题】二级:巴塞尔协议(5)

发表时间:2015/9/21 10:46:07 编辑: 告诉小伙伴:
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[编考按]As a risk manager for Bank ABC, John is asked to calculate the market risk capital charge of the bank’s trading portfolio under the internal models approach using the information given in the table below...

        As a risk manager for Bank ABC, John is asked to calculate the market risk capital charge of the bank’s trading portfolio under the internal models approach using the information given in the table below. Assuming the return of the bank’s trading portfolio is normally distributed, what is the market risk charge of the trading portfolio?

        VaR (95%, 1-day) of last trading dayUSD 40,000

        Average VaR (95%, 1-day) for last 60 trading daysUSD 25,000

        Multiplication Factor2

        A.USD 84,582

        B.USD 134,594

        C.USD 189,737

        D.USD 222,893

        Answer: D

        Market Risk Capital Charge

        = Max [40,000×sqrt(10)/1.65×2.326, 2×25,000×sqrt(10)/1.65×2.326] = 222,893 >>>FRM五月真题
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