Mr. Fazli is handling a portfolio has 5 days 98% VAR is $5M. The recommended multiplier (K) for capital allocation was increase from 2 to 2.5 as a part of the restructuring to streamline the market risk policies across the department. Moreover, the streamline comprises the change of 97.5% VAR to 99% VAR. 

a) Compute the capital should be allocated before streamline.

b) Compute the VAR for 99% confidence level for 5 days. 

Answer rating: 100% (QA)

Response for A The use of the RR methods to assess risk financial ... View the full answer