1. Assume that for 3 consecutive periods, the losses incurred were P25M, P15M and P20M. The volatility of the transaction is valued at P5M. What is the 20day Var considering a 90% confidence level?

2. Suppose the stock price is 40 and we need to price a call option with a strike of 45 maturing in 4 months. The stock is not expected to pay dividends. The continuously-compounded riskfree rate is 3%/year, the mean return on the stock is 7%/year, and the standard deviation of the stock return is 40%/year. How much is the call option price?

3. Assume that a bank has a total of $20million of small exposures of a certain type with one year probability of default at 5% and the recovery rate averages 30%. Estimate the 99% one-year credit VaR using Vasicek's model if the copula correlation parameter is 0.3. What is the Worst Case Default Rate?

4. Given that the hazard rate is at 20%, what would be the probability of default of a loan after 3 years?

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