ECOM055 – Risk Management For Banking
Problem Set 4
Based on Book Chapters 6 and 7 银行业风险管理问题代写
6.14.
Suppose that the principals assigned to the senior, mezzanine, and equity tranches for the ABSs and ABS CDO in Figure 6.4 are 70%, 20%, and 10% instead of 75%, 20%, and 5%. How are the results in Table 6.1 affected?
6.15.
Investigate what happens as the width of the mezzanine tranche of the ABS in Figure 6.4 is decreased, with the reduction in the mezzanine tranche principal being divided equally between the equity and senior tranches. In particular, what is the effect on Table 6.1?
7.10. 银行业风险管理问题代写
A stock price has an expected return of 9% and a volatility of 25%. It is currently $40. What is the probability that it will be less than $30 in 18 months?
7.11.
An investor owns 10,000 shares of a particular stock. The current market price is $80.
What is the “worst case” value of the portfolio in six months? For the purposes of this question, define the worst case value of the portfolio as the value which is such that there is only a 1% chance of the actual value being lower. Assume that the expected return and volatility of the stock price are 8% and 20%, respectively.
7.12.
A binary option pays off $500 if a stock price is greater than $60 in three months. The current stock price is $61 and its volatility is 20%. The risk-free rate is 2% and the expected return on the stock is 8%. What is the value of the option? What is the real-world expected payoff?
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