admin

Back testing routinely compares daily profits and losses with model-generated risk measures to gauge the quality and accuracy of their risk measurement systems. The 1996 Market […]

You are implementing a portfolio insurance strategy using index futures designed to protect the value of a portfolio of stocks not paying any dividends. Assuming the […]

Worse-than-VAR scenarios are defined as scenarios that lead to losses in the extreme left tail of the return distribution equal to or exceeding VAR at a […]

Mr. Black has been asked by a client to write a large put option on the S&P 500 index. The option has an exercise price and […]

Jennifer Durrant is evaluating the existing risk management system of Silverman Asset Management. She is asked to match the following events to the corresponding type of […]

Consider a bond that promises the following cash flows. The yield to maturity is 12%. You plan to buy this bond hold it for 2.5 years […]

Suppose XYZ Corporation has two bonds paying semiannually according to the following table: Remaining Coupon T-Bill Rate Maturity (sa 30/360) Price (Bank discount) 6 months 8.0% […]

You are the credit risk manager for Bank Happy. Bank Happy holds Treasuries for USD 500 million one large loan that has a positive probability of […]

As a result of the credit crunch a small retail bank wants to better predict and model the likelihood that its larger commercial loans might default. […]