| University | Singapore Management University (SMU) |
| Subject | Finance |
- A firm holds a bond with a value of 5250 million and an estimated probability of default of 3% over the coming 12 months. The policy of the firm sets its risk limit to 95% VaR (Value at Risk) and 95% ES (expected shortfall) for any individual security. Assume the bond bears a G2 risk of loss due to changes in the market price or in the traded value.
(a) Categorise the exact class of risk to which the bond is exposed here.
(b) Compute the 95% VaR measure for this bond and explain your result.
(c) Compute the 95% ES measure for this bond and explain your result.
(d) Assume now that the confidence level is increased to 99% on both limits. Compute the new VaR and ES measures and explain your results.
Hire a Professional Essay & Assignment Writer for completing your Academic Assessments
Native Singapore Writers Team
- 100% Plagiarism-Free Essay
- Highest Satisfaction Rate
- Free Revision
- On-Time Delivery
Get Help By Expert
Are you a student in Singapore struggling to keep up with your assignments and essays? Look no further than our assignment help service! Our team of experienced writers is dedicated to providing high-quality and personalized essay assistance to help you succeed in your academic pursuits. We understand the challenges of balancing school, work, and personal life, which is why we offer flexible and affordable options to fit your needs. So why wait? Contact us today to start achieving your academic goals with confidence.
Answer
Looking for Plagiarism free Answers for your college/ university Assignments.
Recent Solved Questions
- INDIVIDUAL RESEARCH PROJECT: MERGERS AND THEIR IMPACT
- PSS388 End of Course Assessment January Semester 2025 SUSS : Integrated Public Safety And Security Management
- PSY205 Tutor-Marked Assignment 02 SUSS January 2025 : Social Psychology
- Math255 S1 Assignment-2025 SUSS : Mathematics for Computing
- BUS100 Tutor-Marked Assignment January 2025 SUSS : Business Skills And Management
- CSCXXX SUSS : New System Development Using Java : Soft Dev Pte Ltd Project
- Cloud Computing: Fundamentals, Networking, and Advanced Concepts
- COS364 Tutor-Marked Assignment January 2025 Sem SUSS : Interventions for At-Risk Youth
- FMT309 Tutor-Marked Assignment 01 SUSS January 2025 : Building Diagnostics
- HBC203 Tutor-Marked Assignment 01 January 2025 SUSS : Statistics and Data Analysis for the Social and Behavioural Sciences