Suppose that the economic capital estimates for two business units are as follows: Business Units 1 ||2 Market Risk 15 60 Credit Risk 20 50 Operational Risk 30 40 The correlations between losses are as below: MR-1 CR-1 OR-1 MR-2 CR-2 OR-2 MR-11 0.2 0.8 0.6 0 0 CR-1 0.2 1 0.2 |O 0.5 0 OR-1 0.8 0.2 10 |0O MR-210.6 0 0 1 0.4 0.1 CR-210 0.5 0 10.4 1 10.3 OR-2 | 0 ||0 0 1 0.1 0.3 MR, CR, and OR refer to market risk, credit risk, and operational risk; 1 and 2 refer to business units. Using the hybrid approach, the estimated economic capital for the business unit 1 is 51.039; and the estimated economic capital for the business unit 2 is 108.536. The estimated total economic capital for the two business units together is 128.316. Use the incremental effect approach, what are the closest to the allocated economic capital to each business unit? Allocation to business unit 1 = 26.15 and Allocation to business unit 2 = 102.16 Allocation to business unit 1 = 108.53 and Allocation to business unit 2 = 51.039 Allocation to business unit 1 = 51.039 and Allocation to business unit 2 = 109.536 Allocation to business unit 1 = 77.27 and Allocation to business unit 2 = 19.18 Suppose that the economic capital estimates for two business units are as follows: Business Units 1 ||2 Market Risk 15 60 Credit Risk 20 50 Operational Risk 30 40 The correlations between losses are as below: MR-1 CR-1 OR-1 MR-2 CR-2 OR-2 MR-11 0.2 0.8 0.6 0 0 CR-1 0.2 1 0.2 |O 0.5 0 OR-1 0.8 0.2 10 |0O MR-210.6 0 0 1 0.4 0.1 CR-210 0.5 0 10.4 1 10.3 OR-2 | 0 ||0 0 1 0.1 0.3 MR, CR, and OR refer to market risk, credit risk, and operational risk; 1 and 2 refer to business units. Using the hybrid approach, the estimated economic capital for the business unit 1 is 51.039; and the estimated economic capital for the business unit 2 is 108.536. The estimated total economic capital for the two business units together is 128.316. Use the incremental effect approach, what are the closest to the allocated economic capital to each business unit? Allocation to business unit 1 = 26.15 and Allocation to business unit 2 = 102.16 Allocation to business unit 1 = 108.53 and Allocation to business unit 2 = 51.039 Allocation to business unit 1 = 51.039 and Allocation to business unit 2 = 109.536 Allocation to business unit 1 = 77.27 and Allocation to business unit 2 = 19.18