1. a. Suppose that for the bank in part (b), the 10-day, 1% VaR for the trading book is $120 million and the multiplier

[answerhappygod]

1.
a. Suppose that for the bank in part (b), the 10-day, 1% VaR for
the trading book is $120 million and the multiplier is 4.0.
Determine the total capital this bank needs to have to attain the
required level of 8%.
b.
Suppose that an investment has 0.5% chance of a loss of $10
million and a 99.5% chance of
a loss of $1 million. What is the Value-at-Risk (VaR) for this
investment when the confidence level is 99%?