32. Example : I nternal funds transfer pricing 2-year loan financed by a 3-month deposit
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39. Value-at-risk estimate for foreign exchange Identify the maximum expected loss given the bank’s recent history of daily returns on the trading portfolio. Empirical distribution approach to value-at-risk involves: 1. Identify the lowest 1 % of daily price moves. 2. Assuming that the value of the 1% lowest price move is 7.54 percent, 99 percent of the daily returns exceed this figure.
40. Value-at-risk estimates for market risk associated with the trading portfolios at Credit Suisse First Boston (CSFB) in 1999 and 2000.