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Please use an excel sheet to calculate and give the answers, thank you! Question 5: Estimate the capital requirement under Basel I for a bank
Please use an excel sheet to calculate and give the answers, thank you!
Question 5: Estimate the capital requirement 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, with the following information: Current value of the contract (in $millions): Contract to buy forreign currency worth (in $millions): 4.1 57 (b) A long position in a six-month option on the S&P500, with the following information: The principal (in $millions) Current value of the option (in $millions): 20.9 5.6 (c) A two-year swap involving oil, with the following information: The principal (in $millions) Current value of the swap (in $millions): 32 -3.7 What difference does it make if the netting amendment applies? (You can use the relevant tables on the slides.) Question 5: Estimate the capital requirement 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, with the following information: Current value of the contract (in $millions): Contract to buy forreign currency worth (in $millions): 4.1 57 (b) A long position in a six-month option on the S&P500, with the following information: The principal (in $millions) Current value of the option (in $millions): 20.9 5.6 (c) A two-year swap involving oil, with the following information: The principal (in $millions) Current value of the swap (in $millions): 32 -3.7 What difference does it make if the netting amendment applies? (You can use the relevant tables on the slides.)Step by Step Solution
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