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Assignment 6 ( 5 points ) Suppose that the price of Asset X at close of trading yesterday was 1 0 0 and its volatility
Assignment points
Suppose that the price of Asset X at close of trading yesterday was and its volatility
was estimated as XX per day. The price of X at the close of trading today is
Suppose that daily gains losses are normally distributed with standard deviation of $
million.
Estimate the minimum regulatory capital the bank is required to hold. Assume a
multiplicative factor of
Assignment points
A fund's risk appetite is such that it wants to be certain it will not lose more than
in any one year.
The performance of the S&P between and shows a mean and standard
deviation of returns over the period of and
Assume an annual riskfree rate of
Using the performance of the S&P between and determine the beta the fund
should have.
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