Calculate the RAROC capital charge for market risk assuming:
- The appropriate adjustment factor for the day-to day event risk that is not captured in VAR is 3.
- The multiplier used to determine the charge for the unused portion of the VAR limit is −0.20.
- The multiplier used to determine the charge for exceeding the VAR limit is 5.
- The VAR limit is $10 million.
- VAR is $9 million.
A. $28,200,000.
B. $30,200,000.
C. $435,200,000.
D. $26,800,000.
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