1.Suppose that the gain from a portfolio during a 6-month holding period is normally distributed with mean $12 million and standard deviation $18 million. What of the following is closest to the VaR for the portfolio with a 6-month time horizon and a 97.5% confidence level?

A.-10

B.-12

C.-18

D.-23.28

E.None of the above

2.Suppose that for a one-year project all outcomes between a loss of $200 million and a gain of $350 million are equally likely. Which of the following is closest to the VaR for a one-year time horizon and a 95% confidence level?

A.-$100 million

B.-$120 million

C.-$145.5 million

D.-$172.5 million

E.None of the above

3.If a stock price decreases, the price of a put option on the stock will __________ and the price of a call option on the stock will __________.

A.decrease; decrease

B.decrease; increase

C.increase; decrease

D.increase; increase

4.You are a risk manager and use options position to customize the risk profile of your firm that sells oil as the major product. If the cost of oil extraction is fixed, which oil option strategy is best given that your firm's objective is to maximize the chances to earning positive profits and minimize the chances of suffering losses, while they expect the oil prices to decrease or increase by large amount between now and end of the year?

A.Protective put

B.Covered call

C.Long straddle

D.Short Straddle

E.Long bullish spread