1)Illustrate the process of using Historical Simulation Method in computing Value at Risk (VaR) under 99%...
1)Illustrate the process of using Historical Simulation Method in computing Value at Risk (VaR) under 99% confidence level and over 1-day.
2) Discuss advantages and drawbacks of using Historical Simulation methodology in computing VaR.
3) Illustrate the process of using Monte Carlo Simulation Method in computing Value at Risk (VaR) under 99% confidence level and over 1-day.
4) Discuss advantages and drawbacks of using Monte Carlo Simulation in computing VaR.
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1)Illustrate the process of using Historical Simulation Method
in computing Value at Risk (VaR) under 99%...
23) Which of the following statements is not true about historical simulation approach using weighing of...
23) Which of the following statements is not true about historical simulation approach using weighing of observations? Recent observations are given more weight than more distant observations in the past In order to find VaR at a given confidence level, weights are summed up starting from the worst outcome until the required percentile of the distribution is reached It incorporates volatility updating procedures such as EWMA The method reflects better current volatilities and macroeconomic conditions as compared to the basic...
Section B) A bank has written a call option on one stock and a put option on another stock. For the first option the sto...
Section B) A bank has written a call option on one stock and a put option on another stock. For the first option the stock price is 50, the strike price is 51, the volatility is 28% per annum, and the time to maturity is 9 months. For the second option the stock price is 20, the strike price is 19, and the volatility is 25% per annum, and the time to maturity is 1 year. Neither stock pays a...
Consider the European digital option that pays a constant H if the stock price is above...
Consider the European digital option that pays a constant H if the stock price is above strike price X at maturity and zero otherwise. Assuming stock price S follows the following SDE under physical measure dS Assuming the risk-free rate is constant r. Please write down the price of this option and explain how it is related to the price of the standard Black-Scholes European call option. A bank has written a call option on one stock and a put...
QUESTION 2 1 points Save a Tina Ming is a senior portfolio manager at Flusk Pension...
QUESTION 2 1 points Save a Tina Ming is a senior portfolio manager at Flusk Pension Fund (Flusk). Flusk's portfoliois composed of fixed Income instruments structured to match Flusk's liabilities. Mingworks with Shrikant McKee, Flusk's risk analyst.Ming and McKee discuss the latest risk report. McKee calculated value at risk (VaR)for the entire portfolio using the historical method and assuming a lookback period offive years and 250 trading days per year. McKee presents VaR measures in Exhibit 1. Exhibit 1: Flusk...
QUESTION 4 1 points Save Answer Tina Ming is a senior portfolio Manager at Flusk Pension...
QUESTION 4 1 points Save Answer Tina Ming is a senior portfolio Manager at Flusk Pension Fund (Flusk). Flusk's portfoliois composed of fixed Income Instruments structured to match Flusk's liabilities. Mingworks with Shrikant Mckee, Flusk's risk analyst.Ming and McKee discuss the latest risk report. McKee calculated value at risk (VaR for the entire portfolio using the historical method and assuming a lookback period offive years and 250 trading days per year. McKee presents VaR measures in Exhibit 1. Exhibit 1:...
1 points se QUESTION 1 Tina Ming is a senior portfolio manager at Flusk Pension Fund...
1 points se QUESTION 1 Tina Ming is a senior portfolio manager at Flusk Pension Fund (Flusk). Flusk's portfolios composed of fixed-income Instruments structured to match Flusk's liabilities. Mingworks with Shrikant McKee, Flusk's risk analyst.Ming and McKee discuss the latest risk report. McKee calculated value at risk (VaR for the entire portfolio using the historical method and assuming a lookback period offive years and 250 trading days per year. McKee presents VaR measures in Exhibit 1. Exhibit 1: Flusk Portfolio...
[10:10 AM, 3/31/2020] M: Tina Ming is a senior portfolio manager at Flusk Pension Fund (Flusk)....
[10:10 AM, 3/31/2020] M: Tina Ming is a senior portfolio manager at Flusk Pension Fund (Flusk). Flusk’s portfoliois composed of fixed- income instruments structured to match Flusk’s liabilities. Mingworks with Shrikant McKee, Flusk’s risk analyst.Ming and McKee discuss the latest risk report. McKee calculated value at risk (VaR)for the entire portfolio using the historical method and assuming a lookback period offive years and 250 trading days per year. McKee presents VaR measures in Exhibit 1. Exhibit 1: Flusk Portfolio VaR...
1.VAR is the __________loss over a target, horizon within a confidence interval (or, under normal market...
1.VAR is the __________loss over a target, horizon within a confidence interval (or, under normal market conditions) Options: a.Maximium b.Minimum 2.Ownership, vintage, credit background of the promoters owning a borrower should be considered in credit assessment process Options: a.True b.False 3.Analytics has been recent addition in international stock markets and banks. Options: a.True b.False 4. Based on markowitz efficient frontier which kind of portfolio would you select for the investor who wants highest return for the risk taken. Options: a.100%...
Solve the following Monte-Carlo simulation problem both with Excel data tables and @Risk. Include all your...
Solve the following Monte-Carlo simulation problem both with
Excel data tables and @Risk. Include all your answers directly in
your Excel file using text boxes or comment boxes. Please show
formulas used within excel.
NCAA Sweatshirt Problem
An enterprising OU student is trying to decide how many
sweatshirts to print for an upcoming NCAA Basketball Tournament
game. The final four teams have emerged from the quarterfinal
round, and there is a week left until the semi-finals, which are
then followed...
Solve the following Monte-Carlo simulation problem both with Excel data tables and @Risk. Include all your...
Solve the following Monte-Carlo simulation problem both with
Excel data tables and @Risk. Include all your answers directly in
your Excel file using text boxes or comment boxes. Please show
formulas used within excel.
NCAA Sweatshirt Problem
An enterprising OU student is trying to decide how many
sweatshirts to print for an upcoming NCAA Basketball Tournament
game. The final four teams have emerged from the quarterfinal
round, and there is a week left until the semi-finals, which are
then followed...
23) Which of the following statements is not true about historical simulation approach using weighing of observations? Recent observations are given more weight than more distant observations in the past In order to find VaR at a given confidence level, weights are summed up starting from the worst outcome until the required percentile of the distribution is reached It incorporates volatility updating procedures such as EWMA The method reflects better current volatilities and macroeconomic conditions as compared to the basic...
Consider the European digital option that pays a constant H if the stock price is above strike price X at maturity and zero otherwise. Assuming stock price S follows the following SDE under physical measure dS Assuming the risk-free rate is constant r. Please write down the price of this option and explain how it is related to the price of the standard Black-Scholes European call option. A bank has written a call option on one stock and a put...
QUESTION 2 1 points Save a Tina Ming is a senior portfolio manager at Flusk Pension Fund (Flusk). Flusk's portfoliois composed of fixed Income instruments structured to match Flusk's liabilities. Mingworks with Shrikant McKee, Flusk's risk analyst.Ming and McKee discuss the latest risk report. McKee calculated value at risk (VaR)for the entire portfolio using the historical method and assuming a lookback period offive years and 250 trading days per year. McKee presents VaR measures in Exhibit 1. Exhibit 1: Flusk...
QUESTION 4 1 points Save Answer Tina Ming is a senior portfolio Manager at Flusk Pension Fund (Flusk). Flusk's portfoliois composed of fixed Income Instruments structured to match Flusk's liabilities. Mingworks with Shrikant Mckee, Flusk's risk analyst.Ming and McKee discuss the latest risk report. McKee calculated value at risk (VaR for the entire portfolio using the historical method and assuming a lookback period offive years and 250 trading days per year. McKee presents VaR measures in Exhibit 1. Exhibit 1:...
1 points se QUESTION 1 Tina Ming is a senior portfolio manager at Flusk Pension Fund (Flusk). Flusk's portfolios composed of fixed-income Instruments structured to match Flusk's liabilities. Mingworks with Shrikant McKee, Flusk's risk analyst.Ming and McKee discuss the latest risk report. McKee calculated value at risk (VaR for the entire portfolio using the historical method and assuming a lookback period offive years and 250 trading days per year. McKee presents VaR measures in Exhibit 1. Exhibit 1: Flusk Portfolio...
Solve the following Monte-Carlo simulation problem both with
Excel data tables and @Risk. Include all your answers directly in
your Excel file using text boxes or comment boxes. Please show
formulas used within excel.
NCAA Sweatshirt Problem
An enterprising OU student is trying to decide how many
sweatshirts to print for an upcoming NCAA Basketball Tournament
game. The final four teams have emerged from the quarterfinal
round, and there is a week left until the semi-finals, which are
then followed...
Solve the following Monte-Carlo simulation problem both with
Excel data tables and @Risk. Include all your answers directly in
your Excel file using text boxes or comment boxes. Please show
formulas used within excel.
NCAA Sweatshirt Problem
An enterprising OU student is trying to decide how many
sweatshirts to print for an upcoming NCAA Basketball Tournament
game. The final four teams have emerged from the quarterfinal
round, and there is a week left until the semi-finals, which are
then followed...
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