A portfolio of $$400,000$ is composed of $2$ assets:

A stock whose expected return is $16\%$ with a standard deviation of $18\%$

A bond whose expected annual return is $10\%$ with a standard deviation of $15\%.$

The investor puts $40\%$ in the stock

a$.$ Calculate the VaR of each asset

b$.$ What is the expected annual return, standard deviation and $95\%$VaR of the portfolio assuming a correlation of $0\mathrm{.}2.$ To reduce the VaR of the portfolio, what should the investor do$?$

c$.$ If the correlation of return of two assets increases to $1,$ what happens to VaR? Explain

$2.$ Consider the Balance Sheet of a bank as below:

$\backslash$table$[[$Cash$,10,$Overnight Repos,$70],[1-$month, $5\%$ Treasury bill,$75,6-$month, $6\mathrm{.}5\%$ deposit,$60],[\backslash$table$[[1-$year, $7\%$ Treasury note$],[3-$year, $8\mathrm{.}2\%$ loans $($interest rate$],[$reset every $6$ months$)]],50,1-$year, $7\mathrm{.}5\%$ deposit,$50],[$Total assets,$215,$Equity,$35]]$

a$.$ Calculating $30-$day, $91-$day, $1-$year, $2-$year repricing gaps.

b$.$ How does Net interest income $($NII$)$ change due to $0\mathrm{.}5\%$ rise in all $0-1$ year interest rates?

c$.$ How can the Bank hedge against interest rate risk?

$3.$ Make comments about the statement: "currencies trading is a kind of zero sum game. Therefore, there is no need of exchange rate risk management".

$4.$ Describe some pros and cons of loan classification by qualitative and quantitative methods. Why some Vietnamese banks decide to use both qualitative and quantitative methods for classifying loans.

$5.$ Choose the most suitable answer and briefly explain:

$5\mathrm{.}1$ which derivatives is known as "a string of one$-$day forward contract"?

a$.$ Spot

c$.$ Futures

b$.$ American Options

d$.$ European options

$5\mathrm{.}2$ Which kind of derivatives is typically used for speculating?

a$.$ Futures

c$.$ Swaps

b$.$ Options

d$.$ Spots