Assignment 3 (MGFD30)
1.
A)
The market price of the risky bond (continuous compounding):
3(PVA2.0%, 8) + 100(PV2.0%, 8) = $107.1718 (note: PV2.0%, 8 is the same as PV4.0%, 4)
The market price of the risk-free bond (continuous compounding):
3(PVA1.25%, 8)

IF-2016-003
INFORME FINANCIERO
INFORMACIN
FECHA DE LA
AUDITORIA
AREA AUDITADA
PREPARADO POR:
22 de marzo de 2016
MANUFACTURAS UNIDAS S.A.
Eco. Gustavo Rosales V.
Ing. Danny Alvear
Ing. Malena Mora
Ing. Elena Villegas
1. ANTECEDENTES
El objeto de informe e

Extra Exercise Questions III
Part A. Multiple Choice Questions
1. A bond paying an 8% coupon (semi-annually) with one-year remaining maturity is
currently priced at 102.9. What is the yield of the bond?
a) 8%
b) 7%
c) 6%
d) 5%
2. A number of terms in Fina

Thought Provoking Questions
The following questions are meant to stimulate deeper thinking of risk management issues. You are
welcome to discuss with me your thoughts and reactions.
1. Please read the article in Appendix 1. Do you agree with the authors t

Extra Exercise Questions II
1. The VaR of one asset is $3,000 and that of another is $5,000. If the correlation between
changes in asset prices is 1/15, what is the combined VaR?
2. Barclays has a substantial position in 5-year AA grade Eurobonds. It has

Extra Exercise Questions I
1.
A)
Microsoft and Apple both need a 3-year loan of $100 million. Their floating rate
and fixed rate are given below with Apples floating rate missing:
Floating Rate
Fixed Rate
Microsoft
prime + 1.5%
5.80%
Apple
6.15%
What shou

Assignment 2 (MGFD30)
1.
A)
Calculate the daily returns squared and use the exponential weights to weight them,
the sum is the forecast. In this method, we assign the most weight to the most recent
observation (todays), the least to the most distant (Janu

Assignment 3 (MGFD30)
Due Date: November 24, 2014 (beginning of class)
1.
A)
Suppose a 4-year corporate bond provides a coupon of 6% per year payable
semiannually and has a yield of 4% (continuous compounding). The yields for all
maturities on risk-free b

Assignment 1 (MGFD30)
1.
A)
calculate the changes of both series, and calculate the standard deviations and
correlation. They are, respectively, s = $48,747,438 (for the portfolio), F = 3,450
(the futures contract), and =0.7624. The optimal hedge ratio is

Assignment 2 (MGFD30)
Due Date: October 27, 2014 (beginning of class)
1.
The Excel file Z_data_assignment2_TSX on the Blackboard contains daily closes
for the S&P/TSX composite index from January 1, 2010 to December 31, 2013.
Assuming that December 31, 20

Assignment 1 (MGFD30)
Due Date: September 29, 2014 (beginning of class)
1.
The Excel file Z_data_assignment1_hedge on the Blackboard contains data on S&P
500 futures prices (in dollars) and a portfolios value (in million dollars). They come
in daily frequ