| 导语 | |
| 栏目一 | |
| 栏目二 | |
| 栏目三 | |
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| 栏目五 | |
| 背景图片 | 无图片信息！ |
| 设计 | |
| 策划 | |
| 正文 |
What would be the market risk capital requirement for a bank with a 1-day VAR of $250 and a specific risk surcharge of $75, based on the current BIS minimum capital requirements?
A. $835.
B. $866.
C. $2,372.
D. $2,447.
Answer:D
The capital requirement would be based on the multiplier (assumed to be three), the VAR scaled for ten days, and the specific risk charge: (3x$250*10^1/2) +$75 = $2,447
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