As per Basel 2.5, the market risk is given by:

$$\text{MR}_{2.5} = \max(\text{VaR}_{t-1}, m_r \text{VaR}_{\text{avg}}) + \max(\text{SVaR}_{t-1}, m_s \text{SVaR}_{\text{avg}})$$

Where:

• $\text{VaR}_{t-1}$ is the traditional 10-day, 99% VaR from the previous day.
• $\text{VaR}_{\text{avg}}$ is the 99% average VaR of the most recent days.
• $\text{SVaR}_{t-1}$ is the stressed 10-day, 99% VaR.
• $\text{SVaR}_{\text{avg}}$ is the 99% average stressed VaR.
• $m_r$ and $m_s$ are the respective multipliers.

Applying the given values: $\text{MR}_{2.5} = \max(800, 3.0 \times 360) + \max(950, 3.5 \times 370)$ $\text{MR}_{2.5} = \max(800, 1080) + \max(950, 1295)$ $\text{MR}_{2.5} = 1080 + 1295 = 2375$

Therefore, the estimated market risk capital charge for this bank is $2,375.