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Describe the capital charge for the bank

A bank contains a $500 million portfolio of investments & bank credits. The daily standard deviation of return on this portfolio is .666 %. Capital adequacy standards need the bank to maintain capital equivalent to its VAR computed over a ten-day holding period. Describe the capital charge for the bank?

         VAR = $500 million x .00666 x 2.236 x √10 = $24.49 million.

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