In its trading portfolio, an FI holds 2,000 shares of Under Armour at a share price of
Question:
In its trading portfolio, an FI holds 2,000 shares of Under Armour at a share price of $84.50, 3,000 shares of BT Group (British telecommunication firm) at a price of $68.50, and 4,500 shares of AT&T at $34.40. The FI also has sold 5,000 Swatch Group (a Swiss watchmaker) at $19.00 and 2,500 of AT&T shares. Calculate the market risk capital charge on these securities.
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Step by Step Answer:
Step 1 Offset equities in the same equity name Long and short notional positions in the same equity name are allowed offset each other So the 2500 sha...View the full answer
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Related Book For 
Financial Institutions Management A Risk Management Approach
ISBN: 978-1259717772
9th edition
Authors: Anthony Saunders, Marcia Millon Cornett
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