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Suppose an FIs portfolio VaR for the previous 60 days was $3 million and stressed VaR for the previous 60 days was $8 million using
Suppose an FIs 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.
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