Question

As a portfolio manager for Bank of America Merrill Lynch, you
are managing a portfolio of $48.50 million. You would like to
estimate how much your portfolio might be losing over the next 9
trading days. Suppose the portfolio has a daily volatility of
2.5%.

a. What is 9 day volatility? (sample answer: 15.50% or
0.1550)

b. What is the VaR (in dollars) over a 9 day time period at a 95%
confidence level?

Answer #1

**SEE THE IMAGE. ANY DOUBTS,
FEEL FREE TO ASK. THUMBS UP PLEASE**

As a portfolio manager for Bank of America Merrill
Lynch, you are managing a portfolio of $48.50 million. You would
like to estimate how much your portfolio might be losing over the
next 9 trading days. Suppose the portfolio has a daily volatility
of 2.5%.
a. What is 9 day volatility?
(sample answer: 15.50% or 0.1550)
b. What is the VaR (in dollars) over a 9 day time period
at a 95% confidence level?
(Sample answer: $2.5 million; or
$2,500,000.0)

As a financial analyst at Bank of America Merrill Lynch,
you want to find out how the credit risks impact the yield to
maturity on a bond. A 12% bond maturing in three years is priced at
85% of the face value. Suppose that there is a 20% chance that at
maturity the bond will default and you will receive only $400
payment.
a. What is the bond’s promised yield to
maturity?
(sample answer: 15.50%)
b. What is its expected...

As a financial analyst at Bank of America Merrill Lynch, you
want to find out how the credit risks impact the yield to maturity
on a bond. A 12% bond maturing in three years is priced at 85% of
the face value. Suppose that there is a 20% chance that at maturity
the bond will default and you will receive only $400 payment.
a. What is the bond’s promised yield to
maturity? (sample answer: 15.50%)
b. What is its expected yield...

As a financial analyst at Bank of America Merrill Lynch, you
want to find out how the credit risks impact the yield to maturity
on a bond. A 12% bond maturing in three years is priced at 85% of
the face value. Suppose that there is a 20% chance that at maturity
the bond will default and you will receive only $400 payment.
a. What is the bond’s promised yield to
maturity? (sample answer: 15.50%)
b. What is its expected yield...

As a financial analyst at Bank of America Merrill Lynch, you
want to find out how the credit risks impact the yield to maturity
on a bond. A 12% bond maturing in three years is priced at 85% of
the face value. Suppose that there is a 20% chance that at maturity
the bond will default and you will receive only $400 payment.
a. What is the bond’s promised yield to
maturity? (sample answer: 15.50%)
b. What is its expected yield...

An FI has £5 million in its trading portfolio on the close of
business on a particular day. The current exchange rate of pounds
for dollars is £0.6400/$, or dollars for pounds is $1.5625, at the
daily close. The volatility, or the standard deviation (σ), of
daily percentage changes in the spot £/$ exchange rate over the
past year was 58.5 bp. The FI is interested in adverse moves–bad
moves that will not occur more than 1 percent of the...

Treat each situation separately; show all calculations.
Critical value: 1.65(95%); 2.33(99%)
(a) You are holding a stock whose current value is s 4, 000.
Over the last year, histoncal data show that daily returns of this
share have averaged 0.012 percent per day, and the daily standard
deviation has been 0.06 percent. Assume that the daily retums
follow a normal distribution. At a 99% level of confidence, how
large a loss might occur on this stock luring the next 10...

You are the manager of a U.S. company situated in Los Angeles
and manages the import/export division of the company. The company
distributes (resells) a variety of consumer products imported to
the U.S.A from Europe and also exports goods manufactured in the
U.S.A. to Canada.
The first transaction is for the import of good
quality wines from France, since a retail liquor trading chain
customer in the United States, for who you have been doing imports
over the past five...

You are the manager of a U.S. company situated in Los Angeles
and manages the import/export division of the company. The company
distributes (resells) a variety of consumer products imported to
the U.S.A from Europe and also exports goods manufactured in the
U.S.A. to Canada.
Therefore, your company is very much dependent on the impact of
current and future exchange rates on the performance of the
company.
Scenario 1:
You have to estimate the expected exchange rates between your
home...

ADVERTISEMENT

Get Answers For Free

Most questions answered within 1 hours.

ADVERTISEMENT

asked 16 minutes ago

asked 18 minutes ago

asked 25 minutes ago

asked 26 minutes ago

asked 31 minutes ago

asked 36 minutes ago

asked 43 minutes ago

asked 48 minutes ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago