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On December 9 of a particular year, a January Swiss franc call option with an exercise price of 46 had a price of 1.63.
The January 46 put was at 0.14. The spot rate was 47.28. All prices are in cents per Swiss franc. The option expired on January 13. The U.S. risk-free rate was 7.1 percent, while the Swiss risk-free rate was 3.6 percent. Do the following:
a. Determine the intrinsic value of the call.
b. Determine the lower bound of the call.
c. Determine the time value of the call.
d. Determine the intrinsic value of the put.
e. Determine the lower bound of the put.
f. Determine the time value of the put.
g. Determine whether put-call parity holds.
Might an effective risk management plan be considered a process that may restore all systems, businesses, processes, facilities, and people? What are the major issues to consider
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you have been asked to write a financial risk brief report for first national banks senior management. your work should
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In presentation format (slides), explain risk management to your new staff and distinguish between the 3 factors of financial risk as it pertains to the banking industry.
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Identify a "risky" and a "safe" investment and provide rationale to justify your choices. Also, discuss the trade-off of risk and reward between your two investments.
If a portfolio has an expected excess return of 6 percent and risk of 20 percent, what is your certainty equivalent return, the certain expected excess return that you would fairly trade for this portfolio?
Consider a three-year receiver swaption with an exercise rate of 11.75 percent, in which the underlying swap is a $20 million notional principal four-year swap. Determine the payoff value of the swaption.
Identify the steps you would initiate to protect the company from fluctuating fuel costs and achieve your above two objectives.
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