URFENAREE RISK MANAGEMENT Section Total: 60 marks This section consists of THREE (3) questions. Answer ANY TWO (2) questions. Each question carties THIRTY (30) marks. 01. (a) What are the major functions of derivative markets in an economy? (6 marks) (b) PNB bond currently traded at RM100 at pur. The 4-year bond is paying an annual coupes of 7 Calculate macan lay and modified duration (6 marks) Calculate convexity (6 mar I (c) Value risk VaR) is meest comment method wed by investment and commercial bank to determine the extent and occurrence ratio of potential losses on their part What are the THREE (3) advantages of VaR in particular for portfolio risk managemeni? Explain (12 marks) Total: 30 mars] 02 Astock currently trade at RM40 and required cum is percent. At first period, the stock price can go either up or down by 10 and 15 percent. Al second period, the slock price may increase 10 percent or decise 20 percent. A put option experingat the end of the second period has an exercise price of RM45. Consider it is a two- period stock. Us 3 decimal print How the hedge portfolio weeks and cams above required return over both (24 marks) b) What would you do if the power RM 120 time 0) What would you dit te putere RM ORO time -09 rts Total: o marks) URFENAREE RISK MANAGEMENT Section Total: 60 marks This section consists of THREE (3) questions. Answer ANY TWO (2) questions. Each question carties THIRTY (30) marks. 01. (a) What are the major functions of derivative markets in an economy? (6 marks) (b) PNB bond currently traded at RM100 at pur. The 4-year bond is paying an annual coupes of 7 Calculate macan lay and modified duration (6 marks) Calculate convexity (6 mar I (c) Value risk VaR) is meest comment method wed by investment and commercial bank to determine the extent and occurrence ratio of potential losses on their part What are the THREE (3) advantages of VaR in particular for portfolio risk managemeni? Explain (12 marks) Total: 30 mars] 02 Astock currently trade at RM40 and required cum is percent. At first period, the stock price can go either up or down by 10 and 15 percent. Al second period, the slock price may increase 10 percent or decise 20 percent. A put option experingat the end of the second period has an exercise price of RM45. Consider it is a two- period stock. Us 3 decimal print How the hedge portfolio weeks and cams above required return over both (24 marks) b) What would you do if the power RM 120 time 0) What would you dit te putere RM ORO time -09 rts Total: o marks)