frm07真题104请教

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104. Your bank is using the internal models approach to estimate its general market risk charge. The multiplication factor ‘k’, set by the regulator, is 3 and banks are allowed to use the square root rule to scale daily VaR. The previous day’s one-day VaR estimate is EUR 3 million, and the average of the daily VaR over the last 60 days is EUR 2 million. Given the above information, what will be the market risk charge for your bank?

a.
EUR 9.49 million
b.
EUR 28.46 million
c.
EUR 6.32 million
d.
EUR 18.97 million


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关键词：FRM market risk information Informatio Regulator 请教

max（3*2，3）=6     market risk charge在basel下是10天计量的。所以6*(10)^0.5=18.97