Dark Star Bank has estimated its average VAR for the previous 60 days to be $35.5 million.
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Dark Star Bank has estimated its average VAR for the previous 60 days to be $35.5 million. DEAR for the previous day was $30.2 million. Under the latest BIS standards, what is the amount of capital required to be held for market risk? Dark Star has $15 million of Tier 1 capital, $37.5 million of Tier 2 capital, and $55 million of Tier 3 capital. Is this amount of capital sufficient? If not, what minimum amount of new capital should be raised? Of what type?
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Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 9780077211332
6th Edition
Authors: Anthony Saunders, Marcia Cornett
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