A company has a $20 million portfolio with a beta of 1.2. It would like to use futures
contracts on the S&P 500 to hedge its risk. The index futures is currently standing at
1080, and each contract is for delivery of $250 times the index. Wha
Guvernanta corporative in Japonia
Japonia este n mod tradiional clasificat ca fiind de tip insider, avnd un sistem financiar bazat
pe credit, datorit faptului c economia a fost caracterizat de acionariat ncruciat, directorat ncruciat
i implicare frecvent
Guvernana corporativ n cadrul economiilor dezvoltate
Abstract: Prin lucrarea de fa se dorete prezentarea rolului pe care diverse modele de
conducere ale unei corporaii l au n cadrul ansamblului economic mondial, n general i n
cadrul economiilor naionale,
Integrating Risk Management into Corporate Governance: The Turnbull Guidance
Author(s): Michael McCrae and Lee Balthazor
Source: Risk Management, Vol. 2, No. 3 (2000), pp. 35-45
Published by: Palgrave Macmillan Journals
Stable URL: http:/www.jstor.org/sta
' Financial risk management is the process by whitih ﬁnancial risks are identiﬁed,
assessed, measured, and managed in order to create economic value.
Some risks can be measured reasonably well. For those, risk can be quantiﬁed
Interest Rate Futures
The price of a 90-day Treasury bill is quoted as 10.00. What continuously compounded
return (on an actual/365 basis) does an investor earn on the Treasury bill for the 90-day
Explain why a bank is subject to credit risk when it enters into two offsetting swap contracts.
At the start of the swap, both contracts have a value of approximately zero. As time passes, it
is likely that
The cash prices of six-month and one-year Treasury bills are 94.0 and 89.0. A 1.5-year bond
that will pay coupons of $4 every six months currently sells for $94.84. A two-year bond that
will pay cou
Interest Rate Futures
A U.S. Treasury bond pays a 7% coupon on January 7 and July 7. How much interest
accrues per $100 of principal to the bond holder between July 7, 2011 and August 9, 2011?
How would your answe
Properties of Stock Options
Explain why the arguments leading to putcall parity for European options cannot be used to
give a similar result for American options.
When early exercise is not possible, we can argu
A bank quotes you an interest rate of 14% per annum with quarterly compounding. What is the
equivalent rate with (a) continuous compounding and (b) annual compounding?
(a) The rate with continuous c
Mechanics of Options Markets
N otes for the Instructor
This chapter provides information on how options markets work. 1 usually go through
the chapter fairly quickly leaving students to read the details for themselves. Points 1
spend time on are
APLICAII PRIVIND ESTIMAREA PIB-ului POTENIAL
1. Metode statistice de estimare a PIB-ului potenial trimestrial
1.1. Proprieti ale metodelor
Metodele statistice cele mai des folosite n cazul seriilor trimestriale pentru
MANAGEMENTUL RISCURILOR UNUI PROIECT
10.1. Introducere n teoria riscului unui proiect
Managementul riscului reprezint procesul de identificare, de msurare, de evaluare a riscului,
urmat de dezvoltarea de strategii pentru managementul (gestion
Options, Futures, and Other Derivatives, 9th Edition,
Copyright John C. Hull 2014
What is a Derivative?
A derivative is an instrument whose value
depends on, or is derived from, the value of
Examples: futures, forwa
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a) depozite clearing;
b) cont n marj;
c) fonduri mutuale;
d) aciuni de garantare;
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REVIEW OF ECONOMIC THEORIES OF REGULATION
(compilation by Johan den Hertog, Utrecht School of Economics, Utrecht University,
This paper reviews the economic theories of regulation. It discusses the public
and private interest theor
Hedging Strategies Using Futures
Under what circumstances are (a) a short hedge and (b) a long hedge appropriate?
A short hedge is appropriate when a company owns an asset and expects to sell that asset in the
Mechanics of Futures Markets
Distinguish between the terms open interest and trading volume.
The open interest of a futures contract at a particular time is the total number of long positions
STUDIU DE CAZ:
CE SE POATE NTMPLA? MANAGEMENTUL RISCULUI LA JET PROPULSION
Organizaiile trebuie s-i gestioneze riscurile n mod strategic. Dincolo de aceast afirmaie, nu este deloc uor
s faci din managementul riscului strategic o practic curent