本次加拿大金融代写主要是风险管理相关的作业
RM 432: Risk Management for Financial Managers
Assignment 2 April 2, 2021
作业问题应以两人一组的形式完成。不要与其他团体的学生分享您的作品。仅提交您的小组成员所做的原始工作。。作业的标记将基于（1）您如何得出解决方案的；（2）解决方案的逻辑是否与课堂上讲授的材料一致？ （3）您的结果的介绍。请记住，您必须以简明扼要的方式介绍您的作品。您在视觉和语言上交流工作的方式很重要。您需要提交一个电子表格，其中包含您对数字问题的计算结果，并提交一个单独的文档，其中包含有关概念性问题的答案，并在其中显示获取数字问题解决方案所涉及的关键步骤。
作业交期：美国东部时间4月10日晚上11:59。
问题1（10分）
公司股权的价值为250万美元，股权的波动性为50％。三年内必须偿还的债务为1000万美元。无风险利率为每年2.5％。
1.中性风险概率与实际概率之间有什么区别？
2.使用Merton模型估算未来三年债务违约的可能性。
问题2（20分）
假设您观察到股票X和Y的以下经验分布。
1个
值z P {X≤z} P {Y≤z}
0.1 8％3％
0.2 18％10％
0.3 40％20％
0.4 50％32％
0.5 5％65％48％
0.6的78％65％
0.7的90％80％
0.8的95％90％
0.9的98％95％
绘制两种股票的概率密度函数（pdf）。 （5分）
计算（5分）
（a）库存X和Y的危险率。 （b）E {X}和E {Y}
假设股票X和Y的相关系数为0.7。使用高斯copula进行计算（10分）
（a）P {X≤0.6，Y≤0.9}
（b）P {X≤0.8，0.3≤Y≤0.6}
（c）E {X | Y = 0.7}（d）E {Y | X = 0.5}
问题3（10分）
考虑与同一交易对手进行以下交易1.三年远期外汇交易
（a）校长900
（b）当前值-90
2. 2年股票期权
（a）校长600
（b）当前值55
3. 7年期利率掉期。
2个
（a）校长600
（b）现值90
在巴塞尔协议I下，如果交易对手是一家公司，那么RWA有净额和无净额是多少？必须留出多少资本？
The assignment questions are to be completed in groups of two. Do not share your work with students from other groups. Only original work done by your group members is to be submitted. Plagiarism will not be tolerated in this class. The assignment will be marked based on (1) How you arrive at the solution, (2) Is the solution logical, consistent with the materials taught in class? (3) The presentation of your results. Remember, you must present your work in a clear and concise manner. How you communicate your work visually and verbally matters. You are require to submit a spreadsheet with your calculations for the numerical questions and a separate document with the answer for the conceptual questions and where you show the key steps involved to get the solution of the numerical questions.
Assignment due: April 10th by 11:59 pm (EST).
Question 1 (10 points)
The value of a company’s equity is $2.5 million and the volatility of the equity is 50%. The debt that will have to be paid in three years is $10 million. The risk-free interest rate is 2.5% per annum.
1. What is the difference between risk-neutral versus real-world probabilities?
2. Use Merton’s model to estimate the probability of a default on the debt in the next three years.
Question 2 (20 points)
Suppose that you observe the following empirical distributions for stocks X and Y .
1
Valuez P{X≤z} P{Y≤z}
- 0.1 8% 3%
- 0.2 18% 10%
- 0.3 40% 20%
- 0.4 50% 32%
- 0.5 65% 48%
- 0.6 78% 65%
- 0.7 90% 80%
- 0.8 95% 90%
- 0.9 98% 95%
- Plot the probability density functions (pdf) for both stocks. (5 pts)
- Compute (5 pts)
(a) The hazard rates of stocks X and Y . (b) E{X}andE{Y}
- Assume that stocks X and Y have a correlation coefficient of 0.7. Use the gaussian copula to compute (10 pts)
(a) P{X ≤ 0.6,Y ≤ 0.9}
(b) P {X ≤ 0.8, 0.3 ≤ Y ≤ 0.6}(c) E{X|Y =0.7} (d) E {Y |X = 0.5}
Question 3 (10 points)
Consider following transactions with the same counterparty 1. 3 year foreign exchange forward
(a) Principal 900
(b) Current Value -90
2. 2 year option on stock
(a) Principal 600
(b) Current Value 55
3. 7 year interest rate swap.
2
(a) Principal 600
(b) Current Value 90
Under Basel I, what is RWA WITH and WITHOUT netting if counterparty is a corporation? How much capital has to be set aside?