Solution Library

Calculate Bond Duration, Bond Price And Change In Price With Change In Interest Rate

Question A bond is scheduled to mature in five years. Its coupon rate is 9 percent with interest paid annually. This $1,000 par value bond carries a yield to maturity of 10 percent.1. What is the bond's price?    a. $962.09.    b. $961.39.    c. $1,000. ... Read More

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Calculate Leverage Adjusted Duration Gap And Interest Rate Risk Exposure For Bank

Question   Assets Amount Rate Duration Cash $75 million     Loans $750 million 12 percent 1.75 years Treasuries $175 million 9 percent 7.00 years Liabilities and Equity   ... Read More

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Calculate Treasury Note Price With Asked Price Method

QuestionU.S. Treasury quotes from the WSJ on Oct. 15, 1993: Rate Maturity Ask Change Ask yield 7.1250 Oct 15, 1995 102.08 -1 5.9156 1. What is the duration of the above Treasury note? Use the asked price to calculate the duration. Re ... Read More

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Calculate Weighted Average Duration Of Assets And Liabilities Of A Bank

QuestionThe numbers provided are in millions of dollars and reflect market values: Cash   20 Deposits historical avg. maturity = 4 years; historical average duration = 3.5 years 200 T-Bills 30 days (4.5 percent, par) 50 Certificates of D ... Read More

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Calculate Leverage Adjusted Duration Gap And Reducing Interest Rate Exposure Of Bank

QuestionThe numbers provided are in millions of dollars and reflect market values: Cash   20 Deposits historical avg. maturity = 4 years; historical average duration = 3.5 years 200 T-Bills 30 days (4.5 percent, par) 50 Certificates of D ... Read More

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Calculate The Value Of Municipal Notes Selling At Par

QuestionThe following is an FI’s balance sheet ($millions). Assets Amount Duration Liabilities Amount Duration Cash $ 1 0 years Dem. Deposits $100 0 years FF&RP 20 0.01 years FF&RP 50 ... Read More

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Calculate Maximum Yield Change Expected For Portfolio Of Trading Assets

QuestionThe mean change in the value of a portfolio of trading assets has been estimated to be 0 with a standard deviation of 20 percent. Yield changes are assumed to be normally distributed.1. What is the maximum yield change expected if a 90 percent confidence (one-tailed) limit is used? &nbs ... Read More

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Calculation Of DEARs Of Bank’s Trading Portfolio

QuestionSumitomo Bank’s risk manager has estimated that the DEARs of two of its major assets in its trading portfolio, foreign exchange and bonds, are –$150,000 and –$250,000, respectively.1. What is the total DEAR of Sumitomo’s trading portfolio if the correlations among ass ... Read More

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Calculation Of Bank’s Trading Portfolio And DEARs

QuestionSumitomo Bank’s risk manager has estimated that the DEARs of two of its major assets in its trading portfolio, foreign exchange and bonds, are –$150,000 and –$250,000, respectively.1. What is the total DEAR of Sumitomo’s trading portfolio if the correlation among asse ... Read More

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Calculation Of Currency Position And Delta Position For Japanese Yen and Swiss Francs

QuestionOn December 31, 2001 Historic Bank had long positions of 200,000,000 Japanese Yen and 50,000,000 Swiss Francs. The closing exchange rates were ¥92/$ and Swf1.89/$.1. What were the respective positions of the two currencies in dollars?    a. $2,173,913 and $94,500,000.  ... Read More

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Calculation Of Net Position And Foreign Exchange Holdings By A Bank

QuestionSwiss Bank USA has the following foreign exchange positions in its trading portfolio, reported in dollars: $40 long in Swiss francs (SF), $20 million short in Swiss francs, $35 million long in Euros (€) and $20 million short in €, $30 million long in British pounds (£) and $5 ... Read More

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Calculate Capital Charge For Systematic Risks, Unsystematic Risks And Portfolio Of Stocks

QuestionAn FI has the following stocks in its portfolio:Company                Long              Short       ABN-AMRO          $20 million      $ ... Read More

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