国际金融seminar2.pptx
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国际金融seminar2.pptx
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Seminar2,#1Topic8,Whichriskmanagementtechniquehasbeenchosenineachofthefollowingsituations?
InstallingasmokedetectorinyourhomeInvestingsavingsinT-billsratherthaninstocksDecidingnottopurchasecollisioninsuranceonyourcarPurchasingalifeinsurancepolicyforyourself,2,Selectionofrisk-managementtechniques,RiskavoidanceAvoidgoingintocertainprofessionsLosspreventionandcontrolReducetheexposuretotheriskofillnessRiskretentionSaveforillnessRisktransferBuyinsurance,3,Answer:
Losspreventionandcontrol.RiskavoidanceRiskretentionRisktransfer,4,#2Topic9,Notewhetherthefollowingarewaystoavoidlossesthroughhedgingorinsuring:
Purchaseaputoptiononastockyoudoown.Agreetopurchaseahouseinoneyearforafixedpriceof$200,000.Leaseacarwithanoptiontopurchaseitinthreeyears.Enterintoaswapcontracttoexchangefixedinterestpaymentsforfloating-ratepaymentsbecauseyouhavefloating-rateassets.Asawheatgrower,enterintoaforwardcontracttosellyourwheatintwomonthsatafixedpricesettoday.Payapremiumforcatastrophichealthcarecoverage.,5,Answer:
Purchaseaputoptiononastockyoudoown.(Insuring)Agreetopurchaseahouseinoneyearforafixedpriceof$200,000.(Hedging)Leaseacarwithanoptiontopurchaseitin3years.(Insuring)Enterintoaswapcontracttoexchangefixedinterestpaymentsforfloating-ratepaymentsbecauseyouhavefloating-rateassets.(Hedging)Asawheatgrower,enterintoaforwardcontracttosellyourwheatin2monthsatafixedpricesettoday.(Hedging)Payapremiumforcatastrophichealthcarecoverage.(Insuring),6,#3Topic10,Supposeaninvestorinvests75%inthetangencyportfolioand25%intherisklessasset.Whatistheexpectedrateofreturnandstandarddeviationofthisportfolio?
Iftheinvestorhas$100,000,howmuchwillheinvestinRiskyAsset1,RiskyAsset2andrisklessasset?
7,Answer:
8,#4Topic11,Witharisklessrateof0.06,anequitymarketpremiumof0.05,andaCapitalMarketLineofslope0.75,wecaninferwhatabouttheriskofthemarketportfolio?
9,Answer:
TheCMLisgivenby:
Workingwiththeslopeofthecapitalmarketlineweknow:
10,#5Topic11,IftheTreasurybillrateiscurrently0.04andtheexpectedreturntothemarketportfoliooverthesameperiodis0.12,determinetheriskpremiumonthemarket.Ifthestandarddeviationofthereturnonthemarketis0.20,whatistheequationoftheCapitalMarketLine?
11,Answer:
TheCMLisgivenby:
Herewehave:
12,#6Topic11,Supposetherisk-freerateis0.10andasecuritywithabetaof+1hasanequilibriumexpectedrateofreturnof0.15.Whatistheequitymarketpremium?
13,Answer:
TheSMLisgivenby:
Plugginginwhatweknow:
Sotheequitymarketpremiumis5%.,14,#7Topic11,Consideraportfolioexhibitinganexpectedreturnof0.20inaneconomyinwhichtherisklessinterestrateis0.08,theexpectedreturntothemarketportfoliois0.13,andthestandarddeviationofthereturntothemarketportfoliois0.25.Assumingthisportfolioisefficient,determine:
itsbeta.thestandarddeviationofitsreturn.itscorrelationwiththemarketreturn.,15,Answer:
TheSMLisgivenby:
Plugginginwhatweknow:
Sothebetais2.4.,16,Answer:
TheCMLisgivenby:
Herewehave:
Theriskofthesecurityis60%,17,Answer:
Thesecuritysreturnsareperfectedcorrelatedwiththereturnsofthemarketportfolio.,18,#8Topic11,Thereareonlytworiskyassetsintheeconomy:
stocksandrealestateandtheirrelativesuppliesare50%stocksand50%realestate.Thus,themarketportfoliowillbehalfstocksandhalfrealestate.Thestandarddeviationsare0.20forstocks,0.20forrealestate,andthecorrelationbetweenthemiszero.Themarketportfoliosexpectedreturnis0.14.Therisklessrateis0.08peryear.AccordingtotheCAPMwhatmustbetheequilibriumriskpremiumonthemarketportfolio,onstocks,andonrealestate?
DrawtheCapitalMarketLine.Whatisitsslope?
DrawtheSML.Whatisitsformula?
19,Answer:
Themarketriskpremiumis14%8%=0.06or6%.Themarketportfoliosexpectedrateofreturnisalsoaweightedaverageoftheexpectedratesofreturnonstocksandrealestate,wheretheweightsareeach1/2.Stocksandrealestatemusthavethesameriskpremium.,20,Answer:
TheCMLisgivenby:
CMLslope:
21,Answer:
22,Answer:
TheSMLisgivenby:
SMLslope:
14%-8%=0.06,23,Answer:
24,#9Topic11,Supposeacompanyscurrentdividendof$1.50pershareisexpectedtogrowataconstant0.05rateintotheindefinitefuture.Incapitalmarketsthemarketriskpremiumis0.08andtherisk-freerateis0.02.Ifthestablebetaofthecompanysstockis0.8,whatistheestimatedcurrentstockprice?
25,Answer:
Firstcalculatethecompanysexpectedrateofreturnfrom:
Nowusingtheconstant-growth-ratediscounteddividendmodelweobtain:
26,#10Topic12,Inferthespotpriceofanounceofgoldifyouobservethepriceofoneounceofgoldforforwarddeliveryinthreemonthsis$435.00,theinterestrateona91-dayTreasurybillis1%andthequarterlycarryingcostasapercentageofthespotpriceis0.2%.,27,Answer:
Deducefromthefuturespriceparityconditionforgold:
28,#11Topic12,Supposethecurrentspotpriceofarisklesszero-couponbondwithoneyeartomaturityis$94.34per$100offacevalue.Ifanon-dividend-payingstockiscurrentlysellingfor$37.50persharewhatisimpliedaboutitsforwardpricefordeliveryinoneyear?
Usetheforward-spotprice-parityrelationship.,29,Answer:
Therisklessrateis:
Theforwardsharepriceshouldbe:
30,#12Topic12,ThesharepriceofSchleiferandAssociates,afinancialconsultancyinMoscow,iscurrently10,000rubleswhereastheforwardpricefordeliveryofasharein182daysis11,000rubles.Iftheyieldonarisklesszero-couponsecuritywithtermtomaturityof182daysis15%,infertheexpecteddividendtobepaidbySchleiferandAssociatesoverthenextsixmonths.,31,Answer:
Theimplieddividendisgivenby:
32,#13Topic13,Showhowonecansynthesizeashareofthestockusingaput,acall,andapurediscountbondwithafacevalueofE.,33,Answer:
OnecancreateasyntheticshareofstockbypurchasingapurediscountbondwithafacevalueofE,purchasingacall,andsellingaput.,34,Answer:
35,#14Topic13,GraphthepayofftoaportfolioofoneEuropeancalloptionandoneEuropeanputoption,eachwiththesameexpirationdateandeachwithexerciseprice(E)of$25,whenbothoptionsareonastockwithvalueS.Assumeboththecallandputpremiumsare$1.Whatistheportfoliopayoffifthestockpriceis$40atexpiration?
Whatifthepriceis$20?
36,Answer:
37,Answer:
Straddle(40,25,1,1)=13Straddle(20,25,1,1)=3,38,#15Topic13,Usingtheput-callparityrelation:
Showhowonecanreplicateaone-yearpurediscountbondwithafacevalueof$100usingashareofstock,aputandacall.SupposethatE=$100,S=$100,P=$10,andC=$15.Whatmustbetheone-yearinterestrate?
39,Answer:
Toreplicateaone-yearpurediscountbondwithafacevalueof$100,buyashareofstock,andaEuropeanputwithexerciseprice$100,andsellaEuropeancallwithanexerciseprice$100.,40,ThankYou!
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