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Question: You are running a hedge fund with a long position of 4,000 shares of IBM, and a short position of 5,000 shares of Intel. IBM is currently trading at $270 per share, and Intel is trading at $10 per share. Over the past year, the volatility of IBM's stock was 8% per day, the volatility of Intel's stock was 8% per day, and the correlation between the two company stocks was 0.7. Suppose your hedge fund's capital equals the value of its current positions. What is the delta-normal VAR with a 1-day holding period and 99% confidence for your portfolio?
When the portfolio is a combination of a long and a short position, the correlation coefficient between the two should be multiplied by -1.
Using terminology from the chapter, what are the valuation bases used by KeyCorp for its investments?
Purchase a zero coupon bond that pays off $84,000 in three years' time. No such bond exists in the market on the date you wish to transact, so you decide to create a synthetic 3-year zero coupon bond which will pay out $84,000 at the end of 3 y..
Consider a 10 year bond which pays 6% coupon semi-annually and has a yield-to-maturity of 8%. How much would the price of bond change if investors required return changes to 7% per year?
Company A needs $30 million at a floating-rate to fund a 5-year project while Company B desires $30 million at a fixed rate to complete its 5-year construction plans.
Micah buys a new car for ?$15,000. She makes a down payment of ?$1,000 and the dealer gives her an? add-on loan, charging her an annual interest rate of 8.2?%.
Traditional banking business has declined in both size and profitability. Four major financial innovations take the blame. What are they?
What is the pre- and post-money value of the firm based on the three sets of deal terms offered by the VC? Why are the estimates different for each of the deal structures?
Last year Janet purchased a $1,000 face value corporate bond with an 12% annual coupon rate and a 10-year maturity.
several years ago an article in the economist stated ldquo. . . foreign central banks seem to have reduced their
new-project analysis you obtain been asked by the chair of your company to evaluate the proposed acquirement of a new
You have $42,180.53 in a brokerage account, and you plan to deposit an additional $5,000 at the end of every future year until your account totals $250,000. You expect to earn 12% annually on the account. How many years will it take to reach your goa..
If the company expects annual net income to increase by $2,000,000 because of the project, compute the payback period, ignoring the time value of money.
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