100% satisfaction guarantee Immediately available after payment Both online and in PDF No strings attached
Previously searched by you
RSK4805 Assignment 2 (COMPLETE ANSWERS) 2024 - DUE 12 July 2024 Course Market Risk Management (RSK4805) Institution University Of South Africa (Unisa) Book Market Risk ManagementR49,86
RSK4805 Assignment 2 (COMPLETE ANSWERS) 2024 - DUE 12 July 2024 Course Market Risk Management (RSK4805) Institution University Of South Africa (Unisa) Book Market Risk Management
RSK4805 Assignment 2 (COMPLETE ANSWERS) 2024 - DUE 12 July 2024
Course
Market Risk Management (RSK4805)
Institution
University Of South Africa (Unisa)
Book
Market Risk Management
RSK4805 Assignment 2
(COMPLETE ANSWERS) 2024 -
DUE 12 July 2024 ; 100%
TRUSTED
ADMIN
[COMPANY NAME]
,Question text The volatility of an asset is 2% per day. What is the
standard deviation of the percentage price change in sixteen days?
Percentage change in price is Answer%. What extra information do
you need to calculate the covariance if you know the correlation
between two variables? standard deviation of the two variables
covariance between the asset and the market standard deviation on
only one of the variables correlation between the two variables
To calculate the standard deviation of the percentage price change
over sixteen days when the volatility is 2% per day, we can proceed
as follows:
Given:
• Volatility (standard deviation of daily percentage change) =
2% per day
We need to find the standard deviation of the percentage price
change over 16 days.
Step-by-step calculation:
1. Calculate the standard deviation over 16 days:
Since volatility is given as 2% per day, the standard deviation
over 16 days (σ16\sigma_{16}σ16) is:
σ16=n⋅σdaily\sigma_{16} = \sqrt{n} \cdot
\sigma_{\text{daily}}σ16=n⋅σdaily
where nnn is the number of days (16 in this case), and
σdaily\sigma_{\text{daily}}σdaily is the daily volatility.
, σ16=16⋅2%=4⋅2%=8%\sigma_{16} = \sqrt{16} \cdot 2\% = 4
\cdot 2\% = 8\%σ16=16⋅2%=4⋅2%=8%
So, the standard deviation of the percentage price change over
sixteen days is 8%.
Answer: Percentage change in price is 8%.
Regarding the extra information needed to calculate covariance
when you know the correlation between two variables:
• If you know the correlation between two variables, you can
calculate the covariance with just the standard deviations of the
two variables and the correlation coefficient.
Therefore, the correct answer is:
• correlation between the two variable
Question 2 Not yet answered Marked out of 5.00 Flag question
Question text An analyst for Bloom Ltd gathered the following
information with regards to futures contract: • Current spot-market
price of R60 • A risk-free interest rate of 8.87% per annum • The
six-month futures contract is priced at R62.60 The actual futures
price of the contract is R59. The actual futures price is Answer less
thanmore thanthe same as the theoretical futures price. The futures
price is Answer underpricedoverpricedcorrectly priced. Arbitrage
strategy: • Answer buysell futures contract at R59 • Answer buysell
The benefits of buying summaries with Stuvia:
Guaranteed quality through customer reviews
Stuvia customers have reviewed more than 700,000 summaries. This how you know that you are buying the best documents.
Quick and easy check-out
You can quickly pay through EFT, credit card or Stuvia-credit for the summaries. There is no membership needed.
Focus on what matters
Your fellow students write the study notes themselves, which is why the documents are always reliable and up-to-date. This ensures you quickly get to the core!
Frequently asked questions
What do I get when I buy this document?
You get a PDF, available immediately after your purchase. The purchased document is accessible anytime, anywhere and indefinitely through your profile.
Satisfaction guarantee: how does it work?
Our satisfaction guarantee ensures that you always find a study document that suits you well. You fill out a form, and our customer service team takes care of the rest.
Who am I buying this summary from?
Stuvia is a marketplace, so you are not buying this document from us, but from seller Jennifer2024. Stuvia facilitates payment to the seller.
Will I be stuck with a subscription?
No, you only buy this summary for R49,86. You're not tied to anything after your purchase.
