| 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
- CH2123 Assignnment : Fugacity, VLE Modeling & Henry’s Law Applications
- BAFI1045 Assignment -Constructing and Evaluating Passive and Active Portfolios Based on the Straits Times Index (STI)
- PSB501EN Assignment 1: Engineering Systems Integration: A Multi-Technique Approach to Mechanical Analysis
- FIN2210E/FIN2212E Group Assignment: Financial Risk Management Analysis of Bursa Malaysia Companies
- FLM101 Assignment: A Cinematic Dissection: Stylistic Elements and Their Thematic Significance
- Assignment: Transforming Talent in the AI Era: From War to Wealth through Ecosystem Innovation
- COMP 1105 Assignment: Health-Focused E-Commerce Website: A Web Technologies Project Using HTML5, CSS, and JavaScript
- Assignment: Machine Learning in Robo-Advisory Services: Evolution, Applications, and Future Trends
- OMGT2229 Assignment: Quantitative Forecasting, Economic Order Analysis, and Strategic Sourcing Decision-Making for JB Hi-Fi
- Assignment 2: Corporate Finance and Planning: An In-Depth Financial Analysis of Company