Suppose an FIs portfolio VaR for the previous 60 days was $3 million and stressed VaR for
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Suppose an FI’s portfolio VaR for the previous 60 days was $3 million and stressed VaR for the previous 60 days was $8 million using the 1 per cent worst case (or 99th percentile). Calculate the minimum capital charge for market risk for this FI. LO 9.3
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Related Book For 
Financial Institutions Management A Risk Management
ISBN: 9781743073551
4th Edition
Authors: Helen Lange, Anthony Saunders, Marcia Millon Cornett
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