Homework # 15
Using the table below, answer questions 1-3.
Maturity
1
2
3
4
YTM (for zeros)
7.2%
8.6%
10.3%
11.1%
Given the above yield curve:
1. Compute the 2nd-year and 3rd-year and 4th-year forward short rates.
2. If you bought an annual coupon bond wi
Homework #2
Problem #1
Using the table below answer the following questions:
US government bonds and notes
Rate
Maturity
Bid
Ask
97:2
11.50
Dec 13n
2
97:31
A. What is the price at which would you buy this Treasury Note?
B. What is the price at which the d
Homework #1
Problem #1
You heard that there will be another tenge devaluation; this time by 35%. You
notice that Limpopo is offering a bid of 145 and an ask of 147.
A. What would be the new (after devaluation) exchange rates?
B. If you had 10,000 tenge ho
15. An investor's degree of risk aversion will determine his _.
C) mix of risk-free asset and optimal risky asset.
24. Which one of the following focuses more on past price movements of a firm's stock than on
the underlying determinants of its future prof
CAPITALADEQUACY:
BASEL2
FINANCIAL INSTITUTIONS MANAGEMENT
KIMEP
AGENDA:
Importance of Capital Adequacy;
Definitions of Bank Capital, Leverage ratio;
Structure of BASEL 2
Bank Capital and Minimum ratios;
Risk-weighted assets for credit risk, market
risk an
LECTURE:
LIQUIDITY and LIABILITY
MANAGEMENT
FINANCIAL INSTITUTIONS
MANAGEMENT
KIMEP
AGENDA
Functions
of Bank Liquidity management;
Liquidity measurement
Liability management and cost of funds
Deposit insurance scheme in Kazakhstan
I. THE FUNCTIONS OF
CREDITANALYSIS
KIMEP
FINANCIALINSTITUTIONS
MANAGEMENT
AGENDA
I.
II.
III.
IV.
CREDITPROCESSANDTYPESOFLOANS
EVALUATIONOFCOMMERCIALLOANS
REQUEST
EVALUATIONOFCONSUMERLOANSREQUIEST
RETURNONLOAN
I.TwinGoalsofLending
Thebankdoesnothavetheluxuryofbeingoverlyselec
Incorporating Convexity
into the Duration Model
into
Chapter9
Appendix9A
Duration
Duration
Durationshowsthedirectlinearrelationship
betweendPand(D).
Price
changes,
P
P
Error
Truerelationship
-D
Error
Yield changes, R / (1+R)
Convexity
Convexity
Durationme
LECTURE 2. INTEREST
RATE RISK: REPRICING
GAP AND MATURITY
MODEL
Chapter 8
Appendix 8A
(at L drive /Reading)
INTEREST RATE RISK: REPRICING
GAP AND MATURITY MODEL
AGENDA:
I.
Nature and Sources of Interest
Rate Risk
II. Repricing GAP
III. Maturity Model
Refi
DURATION and
DURATION GAP
ANALYSIS
ANALYSIS
KIMEP
MANAGEMENTOFFINANCIAL
INSTITUTIONS
DURATION GAP ANALYSIS
DURATION
AGENDA
AGENDA
Duration
Computation
of duration
Economic interpretation
Immunization using duration
Immunization
of future payments
Im
UNDERSTANDING
BANK FINANCIAL
STATEMENTS for RISK
MANAGEMENT
KIMEP
MANAGEMENT
OF FINANCIAL INSTITUTIONS
AGENDA
I.
Commercial Bank Financial Statements:
II.
III.
IV.
V.
Balance sheet
Income statement
Off balance sheet information
Relationships between the B
Chapter 14 Bond Prices and Yields
Multiple Choice Questions 1. The current yield on a bond is equal to _. A) annual interest divided by the current market price B) the yield to maturity C) annual interest divided by the par value D) the internal rate of r
Chapter 3 How Securities Are Traded
Multiple Choice Questions 1. A purchase of a new issue of stock takes place A) in the secondary market. B) in the primary market. C) usually with the assistance of an investment banker. D) A and B. E) B and C. Answer: E
Chapter 2 Asset Classes and Financial Investments
Multiple Choice Questions 1. Which of the following is not a characteristic of a money market instrument? A) liquidity B) marketability C) long maturity D) liquidity premium E) C and D Answer: E Difficulty
Chapter 1 The Investment Environment
Multiple Choice Questions 1. In 2005, _ was the most significant real asset of U. S. nonfinancial businesses in terms of total value. A) equipment and software B) inventory C) real estate D) trade credit E) marketable
Homework #14
Problem #1
You will be paying $10,000 a year in tuition expenses at the end of the next two years. Bonds
currently yield 8%.
a) What is the present value and duration of your obligation?
b) What maturity zero-coupon bond would immunize your o
Homework # 12
(Problem #3 Links Corrected)
Problem #1
A 4-year 5.8% coupon bond is selling to yield 7%. The bond pays interest annually. One year
later interest rates decrease from 7% to 6.2%.
What is the price of the 4-year 5.8% coupon bond selling to yi
Homework #11
Problem #1
Suppose a bond has 10 years to maturity and a coupon rate of 7
percent. The bond's yield to maturity is 9 percent. Whats the price?
Problem#2
Suppose a bond has 10 years to maturity and a coupon rate of 7
percent. Its price is $103
Homework #9
Problem #1
If markets are efficient what do you think would happen to the summer wheat
prices in Kazakhstan if the crop was badly damaged by a sudden harsh storm?
Problem#2
How would you explain an increase in Shells stock price if they just
a
Homework # 8
Problem #1
Today the price of the stock is $55. The risk-free rate is 6% and the market return is 15%. Its
beta is 1.4. At what price investor should sell the stock at the end of the year?
KMG has a one-year target price of 1,300 tenge and a
Homework #7
The following data apply to the problems 1 through 8
A pension fund manager is considering three mutual funds. The first is a stock fund, the second
is a long-term government and corporate bond fund, and the third is a money market fund that
y
Homework # 6
Problem #1
The end-of-year cash flow derived form the portfolio will be either $100,000 or $ 150,000 with
probabilities of 30 % and 70 %. The alternative risk-free investment in T-bills pays 3%.
Also you require a risk premium of 8%.
a) How m
Homework #5
Problem #1
An analyst developed the following probability distribution of the rate of return for a common
stock:
Scenario
Probability
Rate of Return
1
0.20
0.18
2
0.35
0.22
3
0.45
0.26
Using the table above, find expected return, standard devi
Homework # 4
Problem #1
Describe the process of selling a stock short and discuss an investors likely motivation for
selling short? What are the risks of selling short?
Problem #2
Compare and contrast major types of orders. I you want to not lose more tha
Homework #3
Problem #1
At the market close on Day1, Stock A has a price of $10, Stock B has a price of $20 and Stock C
has a price of $90.
A. What is the value of a price-weighted index of these three stocks at the close of trading?
B. If Stock C splits 2