RSK4805 Assignment 3 (DETAILED ANSWERS) 2024 - DISTINCTION GUARANTEED - DISTINCTION GUARANTEED - DISTINCTION GUARANTEED Answers, guidelines, workings and references .. Question 1 (25 marks)
1.1 A bank estimates that its profit next year is normally distributed with a mean of 0.8% of assets and a s...
RSK4805 Assignment 4 (COMPLETE ANSWERS) 2024 - DUE September 2024 ; 100% TRUSTED Complete, trusted solutions and explanations.
RSK4805 Assignment 4 (COMPLETE ANSWERS) 2024 - DUE September 2024 ; 100% TRUSTED Complete, trusted solutions and explanations.
RSK4805 Assignment 4 (COMPLETE ANSWERS) 2024 - DUE September 2024 ; 100% TRUSTED Complete, trusted solutions and explanations.
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Market Risk Management (RSK4805)
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RSK4805
Assignment 3 2024
Unique #:
Due Date: 15 August 2024
Detailed solutions, explanations, workings
and references.
+27 81 278 3372
, QUESTION 1
1.1.
To be 99% sure that the bank will have positive equity at the end of the year, we
need to find the value X where the profit plus equity is greater than zero, given the
normal distribution parameters.
Mean=0.8%
Standard deviation=2%
The z-value for 99% confidence is 2.33.
X=Mean+(z × Standard deviation)
X=0.8%+(2.33×2%)
X=0.8%+4.66%
X=5.46%
Therefore, the bank needs 5.46% equity as a percentage of assets to be 99% sure
it will have positive equity at the end of the year.
1.2.
Step-by-Step Calculation
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