Estimate and total capital required to lower market risk

Assignment Help Finance Basics

Reference no: EM13827796

Problem:

TransAmerica Bank has estimated its previous day's DEAR to be -1.28 million. It has also estimated its average VAR over the last sixty working days to be -$1.75 million. It uses its own internal model to estimate its capital requirements following the BIS guidelines. It currently has $2.75 million in Tier I capital, $2.80 million in Tier II capital, and $1.25 million in Tier III capital.

1. What is the 10-day VAR using the previous day's DEAR estimate?

a. $1.28 million.
b. $3.24 million.
c. $4.05 million.
d. $10.05 million.
e. $12.80 million.

2. Using the BIS internal guidelines, what is the total capital (Tier I, II and III) required to lower market risk?

a. $1.28 million.
b. $3.24 million.
c. $4.05 million.
d. $5.25 million.
e. $12.80 million.

Additional Information:

These short questions is from Finance and it is about computing 10 day VAR for a bank based on its DEAR estimate and the total capital required to lower market risk under BIS guidelines.

Reference no: EM13827796

Questions Cloud

Conduct business intelligence analysis on phoenix it group : Conduct Business Intelligence Analysis On Phoenix IT Group And Write A Report

Business decision analysis : A daily diet must be constructed determining the type and amount of foods to meet certain nutritional requirements at minimum cost. The foods that can be included are tuna fish, milk, spinach and whole-wheat bread; the nutrients we consider are vitam..

Z score for bank with asset to debt ratio : What is the Z-score if the debt to asset ratio is 40 percent, net income is 12 percent, and the dividend payout ratio is 60 percent?

Explore the own practice when working with families : The problem belongs to Sociology and the problem explore the own practice when working with families in reducing and preventing anti-social behavior and increase in positive behavior.

Estimate and total capital required to lower market risk : TransAmerica Bank has estimated its previous day's DEAR to be -1.28 million. It has also estimated its average VAR over the last sixty working days to be -$1.75 million. It uses its own internal model to estimate its capital requirements following..

Risk management and employee relations : risk management and employee relations

Discuss about calculation of range and interquartile range : This question related to Basic Statistics and discuss about calculation of range, interquartile range, variance and standard deviation

Describe the own practice in building relationships : The problem belongs to Sociology and the problem is describe the own practice in building relationships and the use of persistent and proactive intervention methods.

What is the capital charge for unsystematic risk : What is the capital charge for unsystematic risk (x-factor) under the BIS proposals?

User Account

All Pages