怎么做的

问题如下：

As a result of the credit crisis, the Basel Committee revised themarket risk framework and introduced a stressed VaR requirement. A bank usesthe internal models approach for market risk and has generated the followingrisk measures (in USD million) for the current trading book positions:

The supervisory authority has set the multiplicationfactors for both the VaR and stressed VaR values to 3. What is the capitalrequirement for general market risk? (Practice Exam)

选项：

A.

USD 1,665 million

B.

USD 3,977 million

C.

USD 6,132 million

D.

USD 8,502 million

解释：

The revised market risk capital requirement is:

Market Risk Capital =max(VaR_t-1, m_c*VaR_{60-day Avg}) + max(SVaR_t-1,m_s*SVaR_{60-day Avg})

= max(588, 3*555) + max(1345, 3*1489) = USD 6,132million