Finance 562 - Winter 2011 #2
Find the non-arbitrage futures price of a CME Euro FX futures contract if the , Euro FX spot rate is $1.350, the U.S. interest rate is 0.50 percent the Euro-FX interest rate is 0.50 percent, and the Euro-FX futures contract ha
Each Call Option represents 100 Shares of the underlying stock Google
April 340 Calls
April 380 Calls
April 360 Puts
April 300 Puts
1.
Position
100
-200
300
-500
Last
28.200
12.800
34.200
11.100
Delta
0.572
0.334
-0.545
-0.228
Gamma
0.006
0.006
0.006
0.00
FIN 562
Risk Management
J Mosevich
e-mail: [email protected]
Office Phone: 312-362-5197
Room: 5545 DPC
Course Objective:
The risk management function has evolved beyond focusing solely on financial risk
management. This course embraces a more holistic a
Finance 562 Winter 2011/12-Mid-Term Exam - Name:_
TEST QUESTIONS (Either circle the correct answer or fill in the blank)
(Each Question is worth 2 Points) SHOW ALL of YOUR WORK!
SHOW ANSWERS to ALL Questions to 4 DECIMAL PLACES.
1. Which of the following
Finance 562 Option Exam Questions
Name: _ _
MULTIPLE CHOICE TEST QUESTIONS (circle the correct answer) (Each Answer to Each Multiple Choice Question is worth 3 Points).
SHOW ALL WORK
1.
A call option with a $5 premium, a stock price of $30 and an exercise
Finance 562 Winter 2011 - Mid-Term Exam
Name:_
TEST QUESTIONS (Either circle the correct answer or fill in the blank)
(Each Question is worth 3 Points) SHOW ALL of YOUR WORK!
ALSO: SHOW PRECISION TO 4 DECIMAL PLACES
1.
Which of the following best describe
FIN 562
BROBST WINTER 2017
OPTIONS SUPPLEMENT
Contents
Option types and positions
Option payoff versus value
Intrinsic Value versus Time Value
Impact of Time and Implied Volatility
Greek Review: Option Delta
Put-call Parity
Delta of Call & Put (same str
Value at Risk
Variance - Covariance Method
Homework #1
Using the variance-covariance method, what is the 95%-ile value at risk of the f
Assume no expected return
Please do not change the contents of cells highlighted in blue. Use the cells be
Asset
Weight
FIN 562
Brobst Winter 2017
Week 6 Slides
Class Overview
5:45 6:45
Midterm exam review
6:45 7:15
Risk (Measurement) Analytics
7:30 8:00
Risk Analytics
8:00 9:00
Chase Case / SVA
2
Risk Analytics at Enterprise Level
The primary value of Lam, Chapter 9, is t
Call Price
Option Delta (numerical estimate)
Option Vega (numerical estimate)
1.82
0.3237
0.2540
So I can pay $1.86 for the right to buy an asset at a price of $
Everything else held constant, a change of $.01 in the under
Everything else held constant, a
Exposure
Probability of Default
(Pr(default)
Senior unsecured Recovery
Severity
(severity)
10,000,000.00
5.230%
0.180%
51.13%
48.87%
13.01%
Unexpected Loss
0.0297658214
297,658.21
Unexpected Loss
Portfolio
Session 7
Exposure UnexpectedLoss
A
1,000,000
A
Expected trader profit
Stress Test
Confidence Interval
Trading days
Daily P&L Std Deviation
Normsinv(.999)
VAR
1,000,000
(4,100,000)
99.90%
252
90,000
3.09023
?
trading days
annualized
Conf int
VAR
The stress test is the worse
Trader Salary
Other Expenses
Value at Risk
Variance - Covariance Method
Homework #1
Using the variance-covariance method, what is the 95%-ile value at risk of the f
Assume no expected return
Please do not change the contents of cells highlighted in blue. Use the cells be
Asset
Weight
Value at Risk
Variance - Covariance Method
Session 2
Asset Weights (USD) Volatility
A
1,000,000
10.00%
A
B
1,000,000
12.00%
B
C
1,000,000
8.00%
C
Correlation
A
B
C
Covariance Matrix for N assets (positions)
1.00
0.90
0.80
0.90
1.00
0.90
0.80
0.90
1.00
Std
DePaul University
FIN 362-602 Risk Management
Spring 2016-2017
Lawrence Morgan
_
GRADED ASSIGNMENT UNITS III AND IV
NAME: _ _
43 POINTS
_POINTS _%
FORMULAS ON PAGES 5 AND 6 (if you submit it on paper, tear off the formulas)
1.
Modified Duration:
For this
Kellstadt Graduate School of Business
FIN 524
Financial Statement Analysis
Instructor: Barry Hollingsworth, CPA, CFA
Backdrop for Class
How would we describe the US equity markets
over the past 7 years?
What are the influences of broad equity market
mov
DePauls Kellstadt Graduate
School of Business
Ethics in Financial Markets
Mortgage Finance Essentials
Mark Wegener | [email protected]
http:/localpaper.wordpress.com/ | @thelocalpaper
May 17, 2012
Biography
Mortgage Essentials
What Happened
Ethical