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RSK4805 Assignment 3 Full Solutions 2024 - DUE 15 August 2024 R52,69
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RSK4805 Assignment 3 Full Solutions 2024 - DUE 15 August 2024

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RSK4805 Assignment 3 (COMPLETE QUESTIONS & ANSWERS) 2024 - DUE 15 August 2024 ;100 % TRUSTED workings, Expert Solved, Explanations and Solutions. For assistance call or W.h.a.t.s.a.p.p us on ...(.+.2.5.4.7.7.9.5.4.0.1.3.2)........... Question 1 (25 marks) 1.1 A bank estimates that its profit next ...

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  • August 8, 2024
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RSK4805
Assignment 3 2024


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Due date: 15 August 2024


Market Risk Management


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Question 1.1: Equity Requirement Calculation (2 marks)

The profit next year is normally distributed with a mean of 0.8% and a standard
deviation of 2%. To determine how much equity (as a percentage of assets) is needed
to be 99% sure that the equity remains positive, we need to find the z-score for 99%
confidence and apply it to the profit distribution.

1. Given Data:
o Mean (μ) = 0.8%
o Standard Deviation (σ) = 2%
o Confidence Level = 99%
2. Find the z-score for 99% confidence:
o The z-score corresponding to 99% confidence is approximately 2.33.
3. Calculate the required equity:

X=μ−(z×σ)

X=0.8%−4.66%=−3.86%

X=0.8%−4.66%=−3.86%



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