Adequate to measure institution value at risk

Assignment Help Financial Management

Reference no: EM131982979

1. What is the duration of a $1 million face value 90-day Treasury bill futures contract?

2. Bank of Detroit has estimated that its inventory of 5 million euros is subject to market risk. The spot exchange rate is €1=$1.40. Over the past six months, the spot exchange rate has a mean 3 basis points and a standard deviation 60 basis points. Determine the bank's DEAR for this € position using a 99 percent confidence level.

3. Suppose a bank holds a $2 million trading position in stocks that reflect a U.S. stock market index (e.g., the Wilshire 5000 index). Suppose that the daily changes in returns for Wilshire 5000 have a mean 0 and standard deviation 2%. Determine the bank's DEAR for this equity position using a 99 percent confidence level.

4. is RiskMetrics model always adequate to measure an institution’s value at risk?

Reference no: EM131982979

Questions Cloud

Airline pilot flying international routes : You are an airline pilot flying international routes for a major U.S. airline. During an overnight stay in a foreign country

What action should administrators take for the existing user : What action should administrators take for the existing local users to allow a single user account to be used for local and remote access?

Calculate the standard deviations for roll and ross : Calculate the standard deviations for Roll and Ross by filling in the following table.

Experience a health problem : You are a pilot with a current aviation medical certificate but experience a health problem.

Adequate to measure institution value at risk : Is RiskMetrics model always adequate to measure an institution’s value at risk? Determine the bank's DEAR for this € position using 99 percent confidence level

Discussion on topic of Concepts of infectious disease : Discussion up around the general topic of Concepts of infectious disease. Take an active role in presenting this topic to the other students

Non-commercial cross-country flight : You are a piloting a light general aviation aircraft solo within the U.S. on a non-commercial cross-country flight under visual flight rules (VFR).

Did operating activities consume cash or generate cash : Looking at the company's 2005 Annual Statement of Cash Flows, did operating activities consume cash or generate cash? How much?

Women feelings about the death of the body : What does Noddings say about women's feelings about the death of the body?

User Account

All Pages