Use the transition matrix in Table 21.1 and software on the author’s web site to calculate the transition matrix over 1.25 years.
Answer to relevant QuestionsA bank estimates that its profit next year is normally distributed with a mean of 0.8% of assets and the standard deviation of 2% of assets. How much equity (as a percentage of assets) does the company need to be (a) 99% ...An investor buys 100 shares in a mutual fund on January 1, 2015, for $50 each. The fund earns dividends of $2 and $3 per share during 2015 and 2016. These are reinvested in the fund. The fund’s realized capital gains in ...What difference does it make to the worst-case scenario in Example 22.1 if (a) the options are American rather than European and (b) the options are barrier options that are knocked out if the asset price reaches $65? Use ...Discuss whether hedge funds are good or bad for the liquidity of markets. Suppose that daily gains (losses) are normally distributed with standard deviation of $5 million. (a) Estimate the minimum regulatory capital the bank is required to hold. (Assume a multiplicative factor of 4.0.) (b) ...
Post your question