国际金融seminar

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,w