Internal model for measurement of market risk

Assignment Help Financial Management
Reference no: EM131510940

As of the end of trading today, a bank has used its internal models to estimate the regular and stressed value-at-risk for its trading book as $250,000 and $500,000, respectively. The sixty-day averages of these same figures, which are known to be based on a drastically different portfolio, are reported to be $100,000 and $150,000. Compute the capital charge that would be imposed on the bank by regulators due to its market risk exposure if the bank decides to use its internal model for measurement of market risk.

Reference no: EM131510940

Questions Cloud

Odd dividend policy-how much will you pay for a share today : Hot Wings, Inc. has an odd dividend policy. If you require a return of 15 percent on the company’s stock, how much will you pay for a share today?
What should you be willing to pay for this stock : what should you be willing to pay for this stock?
Find the terminal stock price using a benchmark : find the “terminal” stock price using a benchmark PE ratio. What is the target stock price in five years? What is the stock price today?
Government bonds and weighted average cost of capital : Interest rates are at the base of Corporate Finance; Government bonds-weighted average cost of capital-required rate of return,
Internal model for measurement of market risk : the bank decides to use its internal model for measurement of market risk.
What is the amount of the cash flow to creditors : What is the amount of the cash flow to creditors?
A bank recently announced an instant cash plan for holders : A bank recently announced an "instant cash" plan for holders of its bank credit cards. How much interest is paid?
What is value of your retirement plan : What is the value of your retirement plan after the 40 years?
Implementation of supply chain management initiative : What are the salient factors that contribute to the successful implementation of a supply chain management initiative?

Reviews

Write a Review

Financial Management Questions & Answers

  Foreign company acquisition

Acquisition by a foreign company and the effects of that decision and the results of foreign exchange in Euro and the exchange rate differences.

  Financial management for profit and non profit organizations

In this essay, we are going to discuss the issues of financial management in a non-profit organisation.

  Method for estimating a venture''s value

Evaluate venture's present value, cash and surplus cash and basic venture capital.

  Replacement analysis

This document show the Replacement Analysis of modling machine. Is replacement give profit to company or not?

  Business finance task - capital budgeting

Your company is considering using the payback period for capital-budgeting. Discuss the advantages and disadvantages of this technique.

  Analysis of the investment

In this project, you will focus on one of these: the additional cost resulting from the purchase of an apple press (a piece of equipment required to manufacture apple juice).

  Conduct a what-if analysis

Review the readings and media for this unit, including the Anthony's Orchard case study media. Familiarise yourself with the Anthony's Orchard company and its current situation.

  Determine operational expenditures

Organisations' behaviour is guided by financial data. In the short term, such data will help determine operational expenditures; in the long term, historical data may help generate forecasts aimed at determining strategic plans. In both instances.

  Personal financial management

How much will you have left over each half year if you adopt the latter course of action?

  Sources of finance for expansion into new foreign markets

A quoted company is considering several long-term sources of finance for expansion into new foreign markets.

  Long term financial planning

This assignment is designed for analyze Long term financial planning begins with the sales forecast and the key input in the long term fincial planning.

  Explain the role of fincial manager

This assignment explain the role of fincial manager, function of manger. And what are the motives of financial manager.

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd