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Your portfolio value today is $10,000,000. You calculate VaR for the daily return of the portfolio and found that 99%-VaR = VaR 1% = 0.013.

Your portfolio value today is $10,000,000. You calculate VaR for the daily return of the portfolio and found that 99%-VaR = VaR 1% = 0.013. The average of VaR for past 60 days is 0.11. You are in green zone and the capital charge for specific risk is $10,000. Calculate the value of the capital requirement.

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