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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.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92319668

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