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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.
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