Answers%20to%20Revision%20EXAM%202 - Task 1 Bond Market...

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Task 1 Market yield 7% Bond coupon PV Duration 1 800,000 747,664 747,664 2 800,000 698,751 1,397,502 3 800,000 653,038 1,959,115 4 800,000 610,316 2,441,265 5 10,800,000 7,700,251 38,501,254 Price 10,410,020 Duration 4.33 Years a) 4.33 b) Standard deviation (given) 12 basis points = 0.12% Adverse change % that happen 1 time in 20 days 0.00198 = 0.198% adverse change in % c) Price volatility=Duration/(1+r)*Adverse change in % Price volatility 0.8% d) Dollar value of position (given) 10,410,010 Daily earnings at risk = Dollar value of position*Price volatiliy Daily earnings at risk 83,358 Task 2 Portfolio value 10,000,000 Beta 1.3 Market standard dev. 1.50% Firm specific risk 0 Standard deviation of portfolio 1.95% Daily earnings at risk 195,000 Task 3 Current spot rate Japanese yen 100,000 0.2$/yen British pound 1,000,000 1.28$/pound Dollar equivalen of Yen 20,000 Dollar equivalen of Pound 1,280,000 FX (yen) volatility 55 basis points FX (pound) volatility 35 basis points FX (yen) volatility in 5% cases
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This note was uploaded on 03/11/2012 for the course FIN FIN 3230 taught by Professor Petrivanov during the Spring '12 term at Kazakhstan Institute of Management, Economics and Strategic Research.

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