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Suppose that daily gains (losses) are normally distributed with standard

Suppose that daily gains (losses) are normally distributed with standard

Suppose that daily gains (losses) are normally distributed with standard deviation of $5 million.
(a) Estimate the minimum regulatory capital the bank is required to hold. (Assume a multiplicative factor of 4.0.)
(b) Estimate the economic capital using a one-year time horizon and a 99.9% confidence level assuming that there is a correlation of 0.05 between gains (losses) on successive days.

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