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Answer: USD 4,557 million
The correct capital requirement for general market risk for the bank under Basel II.5 is calculated using the formula provided in the file content. The formula is applied at a 99.0% confidence level and takes into account both the VaR (Value at Risk) and stressed VaR values. The multiplication factors for both VaR and stressed VaR are set to 3 by the supervisory authority. The calculation is as follows: 1. Calculate the maximum of the latest available VaR and three times the average 10-day VaR: - max(451, 3 * 413) = max(451, 1239) = 1239 2. Calculate the maximum of the latest available stressed VaR and three times the average 60-day stressed VaR: - max(995, 3 * 1106) = max(995, 3318) = 3318 3. Add the results from step 1 and step 2 to get the total market risk capital requirement: - 1239 + 3318 = 4557 Therefore, the correct capital requirement is USD 4,557 million, which corresponds to option C.
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In accordance with Basel II.5 standards, the regulatory body has mandated a multiplication factor of 3 to be applied to both the Value-at-Risk (VaR) and the stressed Value-at-Risk (stressed VaR) figures. Given this information, what would be the precise capital requirement for general market risk that the bank must adhere to?
A
USD1,248 million
B
USD 1,533 million
C
USD 4,557 million
D
USD 4,799 million
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