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程序代写案例-ECON 7780-Assignment 1

时间：2021-02-21

ECON 7780 Economic and Financial Risk Management for Financial Institutions

Assignment 1

Due Date: 2 March, 2021

*Submission: Moodle Turnitin

Following questions are adopted from Risk management and financial institutions, J. Hull

(2018):

Chapter 1, Practice Questions and Problems

Q1.1: An investment has probabilities 0.1, 0.2, 0.35, 0.25, and 0.1 of giving returns equal to

40%, 30%, 15%, -5% and -15%. What are the expected returns and the standard deviation of

the returns?

Q1.2: Suppose that there are two investments with the same probability distribution of return

as in Q1.1. The correlation between the returns is 0.15. What is the expected return and the

standards deviation of return from a portfolio where money id divided 1/3 and 2/3 between

the investment?

Q1.4: What is the difference between systematic and non-systematic risk? Which is more

important to an equity investor? Which can lead to the bankruptcy of a corporation.

Q1.11: A bank’s profit next year will be normally distributed with a mean of 0.6% of assets and

a standard deviation of 1.5% of assets. The bank’s equity is 4% of assets. What is the probability

that the bank will have a positive equity at the end of the year? Ignore taxes.

Q1.18: A portfolio manager has maintained an actively managed portfolio with a beta of 0.2.

During the last year, the risk-free rate was 5% and major equity indices performed very badly,

providing returns of about -30%. The portfolio manager produced a return of -10% and claims

that in the circumstances it was good. Discuss this claim.

Additional Question

What is the present value of a 10-year bond with a $100 face value, which pays a 6% coupon

annually? Use an 8% annual discount rate.

学霸联盟

Assignment 1

Due Date: 2 March, 2021

*Submission: Moodle Turnitin

Following questions are adopted from Risk management and financial institutions, J. Hull

(2018):

Chapter 1, Practice Questions and Problems

Q1.1: An investment has probabilities 0.1, 0.2, 0.35, 0.25, and 0.1 of giving returns equal to

40%, 30%, 15%, -5% and -15%. What are the expected returns and the standard deviation of

the returns?

Q1.2: Suppose that there are two investments with the same probability distribution of return

as in Q1.1. The correlation between the returns is 0.15. What is the expected return and the

standards deviation of return from a portfolio where money id divided 1/3 and 2/3 between

the investment?

Q1.4: What is the difference between systematic and non-systematic risk? Which is more

important to an equity investor? Which can lead to the bankruptcy of a corporation.

Q1.11: A bank’s profit next year will be normally distributed with a mean of 0.6% of assets and

a standard deviation of 1.5% of assets. The bank’s equity is 4% of assets. What is the probability

that the bank will have a positive equity at the end of the year? Ignore taxes.

Q1.18: A portfolio manager has maintained an actively managed portfolio with a beta of 0.2.

During the last year, the risk-free rate was 5% and major equity indices performed very badly,

providing returns of about -30%. The portfolio manager produced a return of -10% and claims

that in the circumstances it was good. Discuss this claim.

Additional Question

What is the present value of a 10-year bond with a $100 face value, which pays a 6% coupon

annually? Use an 8% annual discount rate.

学霸联盟