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What is the 99%, one-day expected shortfall (ES) of the portfolio?
What is the standard deviation of a portfolio's returns if the mearn returns are 15%, the variance of retruns is 184, and there are three stocks in the portfolio?
Extreme value theory (EVT) provides valuable insight about the tails of return distributions. Which of the following statements about EVT and its applications is incorrect?
Which of the following statements regarding extreme value theory (EVT) is incorrect?
Which of the following is most accurate with respect to delta-normal VAR?
What rate of return should a investor expect for a stock that has a beta of 0.8 when the market is expected to yield 14% and Treasury bills offer 6%?
Consider company ABC whose stock dividend per share next year is expected to be $30. What is the price s. Share of ABC?
Which of the following statements about VAR estimation methods is wrong?
Specifically the entire forward curve is more volatile during the wintertime. Which of the following statements concerning VAR is correct if the VAR is estimated using unweighted historical simulati
Aperture Science has stocks with a required rate of return of 12%. What is their price earnings ratio? Does this follow the rule of thumb of a PEG ratio of 1?
You are given the following information about the returns of stock P and stock Q: Variance of return of stock P = 100.0. Variance of return of stock Q = 225.0.
The historical simulation (HS) approach is based on the empirical distributions and a large number of risk factors.
At that point is it expected to have a steady state ROE of 10% and a plowback rate of 40%. If the required rate of return is 7% what is the price of the stock?
Does a Yield to Call differ more from the Yield to Maturity at lower interest rates or higher interest rates? Is Yield to Call higher or lower than the Yield to Maturity at those rates? Why?
In early 2000, a risk manager calculates the VAR for a technology stock fund based on the last three years of data.
It requires an initial investment of $470 million and has a NPV of $0.26 million. How would this project affect the Value of the firm?
The government is selling bonds with maturity of 5 years. The face value is $1,000 and coupons are paid annually. If the coupon rate is 3% and the yield to maturity is 8% what is the price of thi
Your firm has just issued five-year floating-rate notes indexed to six-month U.S. dollar LIBOR plus 1/4%. What is the amount of the first coupon payment your firm will pay per U.S. $1,000 of face va
What should a borrower consider before issuing dual-currency bonds? What should an investor consider before investing in dual-currency bonds?
Degree of Operating Leverage 10 Times. Interest expense $720,000.00. Tax Rate 42%. What is the break even point in sales?
Explain the concept of the world beta of a security.
A firm with a WACC of 10% is considering the following mutually exclusive projects. Which project would you recommend? Explain.
Assume that interaffiliate cash flows are uncorrelated with one another. Calculate the standard deviation of the portfolio of cash held by the centralized depository for the following affiliate memb
What is the minimum level of capital according to Basel II the bank must maintain using the standardized approach for valuing credit risk? Be sure to show both the value of the risk-weighted assets
There are 183 days in the FRA period. Determine whether you should buy or sell the FRA and what your expected profit will be if your forecast is correct about the six-month LIBOR rate.