RSK4805 Assignment 3 (COMPLETE QUESTIONS & ANSWERS) 2024 - DUE 15 August 2024
42 vistas 3 veces vendidas
Grado
Market Risk Management (RSK4805)
Institución
University Of South Africa
Book
Enterprise Risk Management
RSK4805 Assignment 3 Full Solutions 2024 - DUE 15 August 2024 ;100 % TRUSTED workings, Expert Solved, Explanations and Solutions. For assistance call or W.h.a.t.s.a.p.p us on ...(.+.2.5.4.7.7.9.5.4.0.1.3.2)...........
The profit next year is normally distributed with a mean of 0.8% and a standard
deviation of 2%. To determine how much equity (as a percentage of assets) is needed
to be 99% sure that the equity remains positive, we need to find the z-score for 99%
confidence and apply it to the profit distribution.
1. Given Data:
o Mean (μ) = 0.8%
o Standard Deviation (σ) = 2%
o Confidence Level = 99%
2. Find the z-score for 99% confidence:
o The z-score corresponding to 99% confidence is approximately 2.33.
3. Calculate the required equity:
The profit next year is normally distributed with a mean of 0.8% and a standard
deviation of 2%. To determine how much equity (as a percentage of assets) is needed
to be 99% sure that the equity remains positive, we need to find the z-score for 99%
confidence and apply it to the profit distribution.
4. Given Data:
o Mean (μ) = 0.8%
o Standard Deviation (σ) = 2%
o Confidence Level = 99%
5. Find the z-score for 99% confidence:
o The z-score corresponding to 99% confidence is approximately 2.33.
6. Calculate the required equity:
X=μ−(z×σ)
X=0.8%−4.66%=−3.86%
X=0.8%−4.66%=−3.86%
To have positive equity, the company needs to cover this shortfall, so the
required equity should be at least 3.86% of assets.
Question 1.2: Variance and Standard Deviation of Expected Return (3 marks)
Given the states of the economy with their respective probabilities and returns:
1. Calculate the Expected Return (E[R]):
E[R]=(0.30×13%)+(0.35×8%)+(0.15×2%)+(0.20×4%)
E[R]=3.9%+2.8%+0.3%+0.8%=7.8%
2. Calculate the Variance (Var[R]):
Los beneficios de comprar resúmenes en Stuvia estan en línea:
Garantiza la calidad de los comentarios
Compradores de Stuvia evaluaron más de 700.000 resúmenes. Así estas seguro que compras los mejores documentos!
Compra fácil y rápido
Puedes pagar rápidamente y en una vez con iDeal, tarjeta de crédito o con tu crédito de Stuvia. Sin tener que hacerte miembro.
Enfócate en lo más importante
Tus compañeros escriben los resúmenes. Por eso tienes la seguridad que tienes un resumen actual y confiable.
Así llegas a la conclusión rapidamente!
Preguntas frecuentes
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.
100% de satisfacción garantizada: ¿Cómo funciona?
Nuestra garantía de satisfacción le asegura que siempre encontrará un documento de estudio a tu medida. Tu rellenas un formulario y nuestro equipo de atención al cliente se encarga del resto.
Who am I buying this summary from?
Stuvia is a marketplace, so you are not buying this document from us, but from seller LIBRARYpro. Stuvia facilitates payment to the seller.
Will I be stuck with a subscription?
No, you only buy this summary for 2,63 €. You're not tied to anything after your purchase.
