hard · FRM Part 1 Foundations of Risk Management
A financial institution is aggregating economic capital across its market risk and credit risk departments. The standalone economic capital is $400 million for market risk and $700 million for credit risk.
If the correlation of losses between the two units is estimated to be ρ = 0.30, what is the total aggregate economic capital for the enterprise?
- $1,100.00 million
- $806.23 million
- $910.49 million
- $904.43 million
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