2006FRM真题3
A risk manager for ABC bank has compiled the following date regarding a bond trader and an equity trader. Assume that the returns are normally distributed and that there are 52 trading weeks per year. ABC bank computes its capital using a 99% VAR, the after tax profits are all inclusive
After tax profit Net bok market value Weekly volatility tax rate
bond trader USD 8 USD 120 1.1% 40%
equity trader USD 18 USD 180 1.94% 40%