In its trading portfolio, an FI holds 5,000 shares of HSBC at a share price of $43.50,
Question:
In its trading portfolio, an FI holds 5,000 shares of HSBC at a share price of $43.50, 4,000 shares of China Construction Bank at a price of $16.40, and 2,500 shares of Whirlpool at $170.00. The FI also has sold 3,000 McDonald’s at $96.75 and 1,500 of China Construction Bank. 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 1500 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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