b) Anda bertanggungjawab terhadap pengurusan risiko di Syarikat Pengurusan Aset Antarabangsa. Syarikat anda mempunyai pendedahan kepada saham- saham di Malaysia. Data berikut telah disediakan: You are in charge of risk management at an International Asset Management Company Your company has exposure to Malaysian stocks. The following data has been provided: Nilai Portfolio Malaysia / Value of Malaysian Portfolio RM15 Juta/Million Beta Portfolio Malaysia / Beta or Malaysian Portfolio 1.00 Tahap semasa KLCI / KLCI current level 515 matalpoints 0.55 KLCI 90 hari, 500 panggilan@ 3 mata; delta/ KLCI 90 days, 500 call@ 3 points delta KLCI 90 hari, 500 jualan 7 mata; delta / KLCI 90 days, 500 put@ 7 points; delta 0.45 0 Katakan syarikat anda akan memegang saham-saham Malaysia sekurang-kurangnya 90 hari akan datang, gariskan strategi untuk melindung nilai sepenuhnya kedudukan anda. Suppose your company will hold the Malaysian stocks position for at least the next 90 days, outline the strategy to fully hedge the position (5 markah/marks) Jika syarikat anda mungkin memunggah semua saham Malaysia sebelum tempoh 90 hari, gariskan strategi lindung nilai. If your company might sollall Malaysian stocks prior to the 90-day period, outline the hedge strategy (5 markah/marks) b) Anda bertanggungjawab terhadap pengurusan risiko di Syarikat Pengurusan Aset Antarabangsa. Syarikat anda mempunyai pendedahan kepada saham- saham di Malaysia. Data berikut telah disediakan: You are in charge of risk management at an International Asset Management Company Your company has exposure to Malaysian stocks. The following data has been provided: Nilai Portfolio Malaysia / Value of Malaysian Portfolio RM15 Juta/Million Beta Portfolio Malaysia / Beta or Malaysian Portfolio 1.00 Tahap semasa KLCI / KLCI current level 515 matalpoints 0.55 KLCI 90 hari, 500 panggilan@ 3 mata; delta/ KLCI 90 days, 500 call@ 3 points delta KLCI 90 hari, 500 jualan 7 mata; delta / KLCI 90 days, 500 put@ 7 points; delta 0.45 0 Katakan syarikat anda akan memegang saham-saham Malaysia sekurang-kurangnya 90 hari akan datang, gariskan strategi untuk melindung nilai sepenuhnya kedudukan anda. Suppose your company will hold the Malaysian stocks position for at least the next 90 days, outline the strategy to fully hedge the position (5 markah/marks) Jika syarikat anda mungkin memunggah semua saham Malaysia sebelum tempoh 90 hari, gariskan strategi lindung nilai. If your company might sollall Malaysian stocks prior to the 90-day period, outline the hedge strategy (5 markah/marks)
