Explanation:
The calculation of SVAR is defined as follows:
\text{max (previous SVAR, M × average SVAR)} \\ = \text{max}[\`$20` \text{ million or } \`$28` \text{ million } (4 \times \`$7` \text{ million})]Therefore, the max amount is $28 million.
Ultimate access to all questions.
No comments yet.
Q.3242 A bank has a previous-period stressed VAR of $20 million, a multiplication factor (M) of 4, and a stressed VAR average over the previous 60 trading days of $7 million. Which of the following values is the correct stressed VAR amount for this bank?
A
$28 million
B
$20 million
C
$48 million
D
$8 million