MFIN 5800 SOLUTIONS TO ASSIGNMENT #3
Question 21.10 (6 marks)
Explain carefully the distinction between real-world and risk-neutral default probabilities.
Which is higher? A bank enters into a credit derivative where it agrees to pay $100 at the
end of on

MFIN 5800
SOLUTIONS TO ASSIGNMENT #2
Question 10.21 (14 marks)
Suppose that the parameters in a GARCH(1,1) model are 0.03 , 0.95 , and
0.000002 .
(a) What is the long-run average volatility?
(b) If the current volatility is 1.5% per day, what is your est

The Case of the Bankruptcy of Orange County Solution
1) (i) Based on the report of the California State Auditor for 1995 (see page 3 of the
paper, When Government Fails: The Orange County Bankruptcy), the value of the
equity in the portfolio was $7.6 bill

YORK UNIVERSITY
Schulich School of Business
Lecturer: Scott Warlow
Summer 2015
MFIN 5800.030 Financial Risk Management
REVIEW
Instructions:
1.
Thisisanopenbookexam.You may useonetextbook(eitherthecoursetextor
someothertext),copiesofthePowerpointslidespres

MFIN 5800 (M) SAMPLE FINAL EXAM SOLUTIONS
Question #1(8marks)
Supposethatyouareconsideringanexchangetradedoptioncontracton100shares.The
currentpriceoftheoptionisquotedas$600(i.e.$6foranoptiononasingleshare).You
are considering using an identical overtheco

MFIN 5800
SOLUTIONS TO ASSIGNMENT #1
Question 1.16 (5 marks)
The expected return on the market is 12% and the risk-free rate is 7%. The standard
deviation of the return on the market is 15%. One investor creates a portfolio on the
efficient frontier with