Is the bank meeting its current capital reserve requirement How much more is

Is the bank meeting its current capital reserve

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Is the bank meeting its current capital reserve requirement? How much more is required? Problem Set 6: #8 M M M W z 09 . 1 $ 68 . 14 $ 031873 . 33 . 2 68 . 14 $ 252 10 16 . 33 . 2 VaR Since 3 x $1.09M = $3.27M is required and the bank only has $2.77 in reserves, they do not have enough. An additional $.5M is required (3.27 – 2.77= .5). Problem Set 6: #9 Your portfolio currently consists of $50, $50, $100, and $200 in each of four stocks. The standard deviations of the stocks are 50%, 20%, 30%, and 40%, respectively. The return correlations among all four stocks are zero. What is your greatest expected loss in the coming year with 95% probability? What is your greatest expected loss in the coming year with 99% probability? Problem Set 6: #9 The percentage weights in each stock are out of $400 invested. Since the stocks are uncorrelated, the covariances in the covariance matrix are all zero: The portfolio variance is then found as . The variance is 0.050156, and the standard deviation is 0.223956. The 95% 1-year VaR = 1.65 * 0.223956 * $400 = $147.81. The 99% 1-year VaR = 2.33 * 0.223956 * $400 = $208.73. 16 . 0 0 0 0 0 09 . 0 0 0 0 0 04 . 0 0 0 0 0 25 . 0 Σ , 500 . 0 250 . 0 125 . 0 125 . 0 w Σ w w' Problem Set 6: #10 Shares of Chumbucket Restaurants Inc. sell for $100 and have a standard deviation of 40%. Consider a portfolio that is long 50 shares of stock, long 100 call options with strike price $110, and short 100 put options with strike price $90. A graph of the distribution of annual portfolio
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