User Account

All Pages

What is the 10-day value at risk of aggregate portfolio

Assignment Help Finance Basics
Reference no: EM133001691

The portfolio manager of ABC Bank is estimating the aggregate DEAR of the bank's portfolio of assets consisting of loans (L), foreign currencies (FX), and common stock (EQ). The individual DEARs are $300 000, $250 000 and $125 000, respectively. If the correlation coefficients between L and FX, L and EQ, and FX and EQ are -0.5, 0.3, and 0.2, respectively, what is the 10-day Value at Risk (VaR) of the aggregate portfolio? Why is the sum of the individual DEARs greater than the DEAR of the aggregate portfolio?

Reference no: EM133001691

Questions Cloud

Journalize the transactions and the adjusting entries : Journalize the transactions and the adjusting entries. Paid garage $230 for changing the oil, replacing the oil filter, and tuning the engine
Explain how a change in general economic circumstances : Explain how a change in general economic circumstances may affect the value of a firm. Give a practical example
What is the equivalent annual cost of the tool : If the discount rate is 12 percent and the polisher will last for 5 years, what is the equivalent annual cost of the tool?
Calculate the after-tax weighted average cost of capital : The weight of preference shares is 15% and debt is 45%. The tax rate is 25%. Calculate the after-tax Weighted Average Cost of Capital (WACC)
What is the 10-day value at risk of aggregate portfolio : The portfolio manager of ABC Bank is estimating the aggregate DEAR of the bank's portfolio of assets consisting of loans (L), foreign currencies (FX), and commo
What nominal annual interest rate on the second investment : What nominal annual interest rate on the second investment would you have to receive to make you indifferent (same effective rate) between the two investments?
What is sustainable growth rate : Its balance sheet shows debt of $20,000 and equity of $74,000. If the total dividend paid was $8,500, what is its sustainable growth rate?
What is the spot exchange rate pounds per dollar : Suppose you expect to receive five million pounds sterling within ten months and you commit to a forward transaction to exchange pounds for dollars.
Calculate the future value of an annuity : Use the formulas to calculate the PV or FV Future Value of Single AmountFV Future ValuePV Present Value

Reviews

Write a Review

Finance Basics Questions & Answers

  Financial reporting and analysis

Finance is about Gunns Ltd, a company in dealing with forestry products in Australia. The company has also been listed in Australian Stock Exchange. As many companies producing forestry products, even Gunns Ltd is facing various problems. Due to the ..

  A report on financial accounting

This report is specific for a core understanding for Financial Accounting and its relevant factors.

  Describe the types of financial ratios

Describe the types of financial ratios and other financial performance measures that are used during venture's successful life cycle.

  Differences between sole proprietorship and corporation

Briefly describe the major differences between a sole proprietorship and a corporation

  Prepare a cash budget statement

Calculate the expected value of the apartment in 20 years' time. What is the mortgage loan repayment at the beginning of each month

  What are the implied interest rates

What are the implied interest rates in Europe and the U.S.?

  State pricing theory and no-arbitrage pricing theory

State pricing theory and no-arbitrage pricing theory

  Small business administration

Identify the likely stage for each venture and describe the type of financing each venture is likely to be seeking and identify potential sources for that financing.

  Effect of financial leverage

The Effect of Financial Leverage and working capital management

  Evaluate the basis for the payment to the lender

Evaluate the basis for the payment to the lender and basis for the payment to the company-counterparty.

  Importance of opps, ipps, mpfs and dmepos

Research and discuss the differences and importance of : OPPS, IPPS, MPFS and DMEPOS.

  Time value of money

Time Value of Money project

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

Submit Assignment

Academics

Major Subjects

Majors

Get In Touch

whatsapp: +1-415-670-9521

Phone: +1-415-670-9521

Email: [email protected]

TERMS & POLICIES

HELP & SUPPORT

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd