Suppose an FIs portfolio VAR for the previous 60 days was $3 million and stressed VAR for

Question:

Suppose an FI’s VAR for the previous 60 days was $3 million and stressed VAR for the previous 60 days was $8 million using the 1 percent worst case (or 99th percentile). Calculate the minimum capital charge for market risk for this FI.
Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...