BFF5280
Institutional asset and liability management
Unit Guide
Semester 1, 2014
Copyright Monash University 2014. All rights reserved. Except as provided in the Copyright Act 1968,
this work may not be reproduced in any form without the written permissio

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e.
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Tutorial questions on the Repricing model
Source: Saunders and Cornett (2014), Ch. 8
2.
How has the increased level of financial market integration affected interest rates?
Increased financial market integration, or globalization, increases the speed with

Name: Kevan Vuong
Authcate:kvuo5
Given:
Up
Down
10%
-3%
Bond price
1.06
Initial stock price
Interest rate
Exercise price
Problem I
50
6%
50
1
1.06
Calculate the two possible share prices based on the information given above (I.e. increase by 10% and
decre

Name: Kevan Vuong
Authcate:kvuo5
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.959085
R Square
0.919845
Adjusted R Square
0.899806
Standard Error
0.003948
Observations
6
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
SS
MS
F Significance F

Name:
Kevan Vuong
Authcate: kvuo5
IF Statement Experimentation
The first part is not graded. The second part is.
First Part:
Use the following input and output cells to play with IF statements
Second Part:
Copy the returns for six stocks into the blue cel

Name: Kevan Vuong
Authcate:kvuo5
Note:
There are errors in the videos for this spreadsheet! Do not copy
the code on the video verbatim. You must think carefully about
what you are doing.
Variance-Covariance Calculations
Given:
BHP
9/28/2015
10/5/2015
10/1

Name: Kevan Vuong
Authcate:kvuo5
Note:
There are errors in the videos for this spreadsheet so do not
blindly copy them! Think carefully about what you are doing
Variance-Covariance Calculations
Given:
BHP
9/28/2015
10/5/2015
10/12/2015
10/19/2015
10/26/20

BFC3540 In tute Q&A VBA Test 1
Name:_ Tutor:_ Authcate:_
Instructions
1. You will have the last hour of the tutorial to complete the assessment.
2. Its worth is set out in the Unit guide for the subject.
3. It is to be taken under exam conditions.
4. Your

No Short Sales
Aim
To understand short sales and the Capital
Market Line.
Learning Objectives
To know the definition of short sales.
To evaluate what problems short sales cause for the
CML.
To understand why short sales must be constrained in
practice

Binomial Option Pricing
Exact Option Pricing Formula?
Option pricing problem:
At expiration:
Prior to expiration:
C = f(S, t)
C* = max[ 0, S* - K ]
S C max[0, S - K, Sd-t - Kr-t]
Can we derive an exact formula?
4.2 Single-Period Model
4. Binomial Option P

BFC3540
Modelling in Finance
1
Content
1.
2.
3.
4.
5.
6.
Lets meet: Who I am. Who are you?
BFC3540 Subject Content & Resources.
Assessment.
Resources.
Introduction to VBA
First Lecture: Dividends & Stock
Valuation
2
Background: Paul Lajbcygier
Paul Lajbc

Modeling the statistical
properties of a portfolio of
equities
Outline
Part 1: The statistical properties of a single
asset portfolio.
Part 2: The statistical properties of a twoasset portfolio.
Part 3: The multi-asset portfolio
Part 1: Learning object

Share Ratios
Learning Objectives
To appreciate that accounting data can be transformed into
financial ratios.
To understand that financial ratios can be useful for aiding
investment decisions.
To know how to calculate various financial ratios and understa

The Capital Market Line
Introduction
The Capital Market Line (CML) is the equation
that describes the relationship between risk and
return for a multi-asset portfolio.
It tells us, given a portfolio variance, how much
return we should expect.
Main learn

Estimating the Beta and the SML
Aim
To understand Beta and the Security Market
Line.
Learning objectives
To understand how to calculate Beta.
To appreciate that the Beta of a portfolio is
the weighted sum of the Betas of the
individual shares in the po

How to Calculate the varianceCovariance Matrix using Excel
and Visual Basic for Applications
Aim
We have seen, in the previous lectures on multiasset portfolios, that the variance/covariance
matrix can be used to calculate the variance of a
multi-asset p

Name:
Kevan Vuong
Authcate: kvuo5
Using Range().Cells()
Write "Hello" into each blue cell. You MUST use Range().Cells()
Hello
Hello
Hello
Hello
Hello
Hello
Below are returns for BHP and RIO. Copy the returns into the blue cells below.
You MUST use Range()

Name:
Kevan Vuong
Authcate: kvuo5
Columns and Descriptive Statistics
Create the Message Boxes to do the following tasks:
(1) Find the average of the numbers 1,2,3,4,5,6
(2) Find the sample standard deviation of the numbers 1,2,3,4,5,6
(3) Find the populat

Share Ratios
Summary
In the previous lecture we introduced dividend discount models. Although dividend
discount models are the fundamental approach to pricing shares they have inherent
limitations. Therefore, an alternative approach is presented in this l

How to Calculate the VarianceCovariance Matrix using Excel and
Visual Basic for Applications
Summary
The variance of a portfolio is a proxy to the riskiness of the portfolio. In the previous lecture on
multi-asset portfolio, we learnt how the variance-cov