| 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
- RBP020L056 A Strategic Management Assignment Report: External & Internal Analysis with Strategic Options for Business Growth
- Capital Budgeting Assignment Report: PIONG Corporation Case Study on Risk & Investment Analysis
- BCAF003 Business Accounting Assignment : Temasek Polytechnic Case Study on Transactions, Equity & Trial Balance
- 304SE Energy Systems Assignment: Boiler Efficiency & 3-Bus Power Flow Case Study with Carbon Emission Analysis
- SM9532 International Expansion Strategy Assignment Report: CAGE, PND & AAA Analysis for Global Market Entry
- PSB6023CL Strategy and International Business Simulation Assignment Report: Automotive Case Study on Strategic Decision-Making and Performance Review
- ESG in Maritime Industry Assignment : Literature Review on Environmental, Social and Governance Practices
- CVE2332 Seepage and Flownet Analysis Assignment : Singapore River Cofferdam Case Study for Cost-Effective Sheet Pile Design
- DSWSH MC2 Electronic Security Assignment: Protection in Depth Plan for American International School (AIS) Singapore
- 6WBS0035/6 Digital Strategy Presentation Assignment: MNC Innovation Proposal for Global Growth