Questions from Business Statistics

Q: Suppose that the daily change in the value of a portfolio is

Suppose that the daily change in the value of a portfolio is, to a good approximation, linearly dependent on two factors, calculated from a principal components analysis. The delta of a portfolio with...

Q: Explain how a forward contract to sell foreign currency is mapped into

Explain how a forward contract to sell foreign currency is mapped into a portfolio of zero-coupon bonds with standard maturities for the purposes of a VaR calculation.

Q: Explain the difference between value at risk and expected shortfall.

Explain the difference between value at risk and expected shortfall.

Q: Suppose that you enter into a 6-month forward contract on

Suppose that you enter into a 6-month forward contract on a non-dividend-paying stock when the stock price is $30 and the risk-free interest rate (with continuous compounding) is 5% per annum. What is...

Q: A stock index currently stands at 350. The risk-free

A stock index currently stands at 350. The risk-free interest rate is 4% per annum (with continuous compounding) and the dividend yield on the index is 3% per annum. What should the futures price for...

Q: The risk-free rate of interest is 7% per annum

The risk-free rate of interest is 7% per annum with continuous compounding, and the dividend yield on a stock index is 3.2% per annum. The current value of the index is 150. What is the 6-month future...

Q: Section 11.1 gives an example of a situation where the

Section 11.1 gives an example of a situation where the value of a European call option decreases as the time to maturity is increased. Give an example of a situation where the same thing happens for a...

Q: In an interest rate swap, a financial institution has agreed to

In an interest rate swap, a financial institution has agreed to pay 3.6% per annum and to receive three-month LIBOR in return on a notional principal of $100 million with payments being exchanged ever...

Q: Assume that the risk-free interest rate is 4% per

Assume that the risk-free interest rate is 4% per annum with continuous compounding and that the dividend yield on a stock index varies throughout the year. In February, May, August, and November, div...

Q: Suppose that the risk-free interest rate is 6% per

Suppose that the risk-free interest rate is 6% per annum with continuous compounding and that the dividend yield on a stock index is 4% per annum. The index is standing at 400, and the futures price f...