What would be the market risk capital requirement for a bank with a 1-day VAR of $250 and a specific risk surcharge of $75, based on the current BIS minimum capital requirements?
 
A. $835.
 
B. $866.
 
C. $2,372.
 
D. $2,447.
 
Answer:D
 
The capital requirement would be based on the multiplier (assumed to be three), the VAR scaled for ten days, and the specific risk charge: (3x$250*10^1/2) +$75 = $2,447

 
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