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Estimate the capital required under Basel I for a bank that has the following transactions with another bank. Assume no netting. (a) A two-year forward
Estimate the capital required under Basel I for a bank that has the following transactions with another bank. Assume no netting. (a) A two-year forward contract on a foreign currency, currently worth $2 million, to buy foreign currency worth $50 million (b) A long position in a six-month option on the S&P 500. The principal is $20 million and the current value is $4 million. (c) A two-year swap involving oil. The principal is $30 million and the current value of the swap is $5 million
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