Questions from Business Statistics

Q: Suppose the periodic payments made by a CDS buyer to a CDS

Suppose the periodic payments made by a CDS buyer to a CDS seller are worth $1 per $100 notional value of debt per quarter. Explain how this figure is related to the value of the debt and the value of...

Q: Consider a portfolio consisting of $10 million invested in the S&

Consider a portfolio consisting of $10 million invested in the S&P 500 and $7.5 million invested in U.S. Treasury bonds. The S&P 500has an expected return of 14 percent and a standard deviation of 16...

Q: Calculate the VAR for the following situations: a. Use

Calculate the VAR for the following situations: a. Use the analytical method and determine the VAR at a probability of 0.05 for a portfolio in which the standard deviation of annual returns is $2.5 m...

Q: The following table lists three financial instruments and their deltas, gammas

The following table lists three financial instruments and their deltas, gammas, and vegas for each $1 million notional amount under the assumption of a long position. (Long in a swap or FRA means to p...

Q: Identify and explain four forms of netting.

Identify and explain four forms of netting.

Q: How can one make a profit from a transaction in light of

How can one make a profit from a transaction in light of the bid–ask spread, assuming the spread remains constant?

Q: Suppose you own 50,000 shares of stock valued at $

Suppose you own 50,000 shares of stock valued at $35.50 per share. You are interested in protecting it with a put that would have a delta of 0.62. Assume however, that the put is not available or is u...

Q: Company CPN and dealer Swap Fin are engaged in three transactions with

Company CPN and dealer Swap Fin are engaged in three transactions with each other. From Swap Fin’s perspective, the market values are as follows: Explain the consequences to SwapFin...

Q: Suppose an investor is considering buying one of two call options on

Suppose an investor is considering buying one of two call options on a particular stock with the same maturity. The only difference between the two call options is the strike prices. The rate of retur...

Q: Suppose you enter into a bet with someone in which you pay

Suppose you enter into a bet with someone in which you pay $5 up front and are allowed to throw a pair of dice. You receive a payoff equal to the total in dollars of the numbers on the two dice. In ot...