Volatility Volatility smiles, 532-535, Volatility surfaces, 533-534, 687 Volcker rule, 28, 93, 367, 369 Yield curve, 175, 179, I nonparallel shifts, 189-191 Waterfall, 124-126, 687 rotation of, 191 WCDR. See Worst case default rate Yield curve play, 596 Weather derivatives, 108-109, 687 Young, Peter, $51 Weatherstone, Dennis, 256 Weighted Monte Carlo simulation, 538 Zero-coupon bonds, 182, 187, 310, 528, Weighting schemes, 211-212 597-598, 687 Wells Fargo, 479 Zero-coupon interest rates, 595-596, 687 West Texas Intermediate (WTI) crude oil, 110 Zero-coupon yield curve, 188, 189, 190, 191 White, A., 147, 285 197 , 687 Whitelaw, R., 284 Zero curve, 595-598 Whole life insurance, 46-48, 687 Zero rates, 595-596, 597-598 Wholesale banking, 25, 687 Zhu, Y., 317, 393 Wholesale deposits, 509-510 . Zimmerman, T., 123 Winkler, R., 465 Z-score, 400-401, 687 Two stocks, x and Y, have the following characteristics: E (x) = $50 E ( Y ) = $100 62 x =91000 5 2y = 151000 5 xy = 71 500 If the weight of portfolio assets assigned to investment X 15 0.4, compute the : a. Portfolio expected return b. portfolio risk c. Would you Invest In stock x or stock Y ? Explain