Financial Risk Manager Part 2

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Explanation:

We were given that Leverage:

L = \frac{A}{K} = \left(\frac{1}{\lambda}\right) \times \left(\frac{A}{\text{VaR}}\right)

Where A is the future value of assets, and $\lambda$ is the proportion of capital to be held per total VaR. Thus:

\Rightarrow L = \left(\frac{1}{2.9} \times \left(\frac{56}{1.6}\right)\right) = 12.07

Q.2832 Branch Bank has the proportion of capital to be held per total VaR as 2.9 while the future value of its assets is `$56` million. Calculate the leverage for Branch Bank if the Value at Risk is `$1.6` million.

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Last updated: July 5, 2026 at 07:08