the correlation of Bank of America and Euribor 1 is :-- 1- -1- 0 Average yieldsStandard deviationKurtoBetaCitigroup0,01%0,50%0,80,5Bank of america0,35%0,20%-0,81,2S&P0,24%0,04% Libor 3 mois-0,18% Euribor 1 mois-0,12% FTSE1000,30%0,05% Rendernents moyensecart typeKurtoBétaCitigroup0,01%out of0,50%0,80,5Bank of America0,35%0,20%-0,81,2S&P 5000,24%0,04%Libor 3 mois0,18%Euribor 1 mois0,12%FTSE1000,30%0,05%La correlation entre Bank of America et Eurbormas est oeSelect oneDFocus

Answered: Rendernents moyens ecart type Kurto…

FINANCIAL ACCOUNTING

10th Edition

ISBN:9781259964947

Author:Libby

Publisher:Libby

Chapter1: Financial Statements And Business Decisions

Section: Chapter Questions

Problem 1Q

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Consider the following returns and states of the economy for TZ.Com.: Economy ProbabilityReturn Weak 15% Normal 50% Strong 35% -9% 2% 6% What is the standard deviation of TZ's returns? SET YOUR CALCULATOR TO FOUR DECIMAL PLACES AND ROUND TO 2 DECIMAL PLACES AT THE END. DO NOT ENTER THE %. FOR EXAMPLE, IF YOUR ANSWER IS 7.7011% ENTER IT AS 7.70.
man.1 The standard deviation for Stock A is 13.01%. The standard deviation for the market is 15.65%. The Correlation Coefficient of Stock A and the market is .5526. Calculate the Beta for Stock A.
QC 59.
5- Which of the following statements about "Cash From Operations/Interest Payments" ratio is correct? a) If it is 40% or less, it is safe, an decrease in the trend analysis is a positive indicator. b) 1 and above is safe, an decrease in trend analysis is a positive indicator 3 and above is safe, an increase in trend analysis is a positive indicator d) 2 and below is safe, an increase in trend analysis is a positive indicator
A Bank has the following Credit Portfolio Loan Expected Portfolio Volatility Amount Return Credit A $1.0 10.0% 1.0% Credit B $1.5 12.0% 2.0% Credit C $3.0 14.0% 3.0% Credit D $0.5 16.0% 4.0% Credit E $0.2 18.0% 5.0% Credit F $2.0 20.0% 6.0% What is the risk in decimals on the bank's loan portfolio if loan returns are correlated as follows? (Round to two decimals) Credit A Credit B Credit C Credit D Credit E Credit F Credit A 0.4 -0.5 0.2 -0.3 -0.8 Credit B 0.7 0.6 0.5 0.4 Credit C -0.1 -0.8 -0.9 Credit D 0.2 0.4 Credit E -0.2 Credit F
State of Economy Probability of State Security Returns if State Occurs of Economy Roll Ross Bust Boom 0.40 0.60 -10% 21% 28 8 Calculate the standard deviations for Roll and Ross by filling in the following table Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 4 decimal places. State of Economy Probability of State of Economy Return Deviation from Expected Return Squared Return Deviation Product Roll Bust 0.40 Boom 0.60 02 Ross Bust 0.40 Boom 0.60 -0.0520 0.0027 02=
Calculate the correlation coefficient (PAB) for the following situation: (Round intermediate calculations and the final answer to 4 decimal place, e.g. 0.2921.) State of the economy High growth Moderate Recession Probability of occurrence 25% 20% 55% Correlation coefficient Expected return on stock A in this state 44.0% 23.0% -11.0% Expected return on stock B in this state 61.0% 31.0% -21.0%
Find out the 1- standard deviation 2- variance weight Investment*expected return stock weight Investment Investment Amount expected return stock stocks 0.261 1.45 75000 0.18 Alba Co. 0.0504 0.56 75000 0.09 Batelco Co. 0.0371 0.1 75000 0.371 Delmon poultry. 0.3485 225000 Total
Consider the following portfolio of assets: Loan Weight 1 0.30 2 0.70 Expected returni ம σ2 13% 11% 9.06% 82.0% P12=-0.87 8.72% 76.0% 012-75.0% What is the variance of the portfolio (round to two decimals)? Note: a^2 denotes the square of a. For example, 2^2 = 4, 3^2=9 (0.3)^2*(82.0%) + (0.7)^2*(76.0%) + (0.3) (0.7)(-0.87) (9.06%) (8.72%) = 30.19 (0.3)^2 (82.0%) + (0.7)^2*(76.0%) + 2(0.3) (0.7)(-0.87) (9.06 %) (8.72%) = 15.75 (0.3)^2*(82.0%) + (0.7)^2*(76.0%) + [(0.3) (0.7)]^2 (-0.87) (9.06%) (8.72%) = 41.59 (0.3) (82.0%) + (0.7) (76.0%) + 2(0.3) (0.7)(-0.87) (9.06 %) (8.72%) = 48.93
A bank holds a loan portfolio with the following characteristics: Loan i Xi Annual spread between loan rate and bank’s cost of funds Annual fees Loss to bank given default Expected default frequency Correlation 1 .6 6% 3% 20% 3% -0.2 2 .4 5% 2% 30% 5% Question 1: what is the return and standard deviation on loan 1? Question 2: what is the return and standard deviation on loan 2?
mni.0
Exercice 5 ( Answer question 7 to 9) The expected return on treasury bills E(RF)= 4% Calculate the expected return E(.) for the market portfolio, the FGL security and the SDL Calculate the variance and standard deviation for the market portfolio, FGL security and SDL Calculate the covariance between the market portfolio and the FGL security, and the covariance between the market portfolio and the SDL Calculate the correlation coefficient between the market portfolio and the FGL security, and the correlation coefficient between the market portfolio and the SDL security. Calculate the beta of FGL stock relative to the market portfolio with two different methods. Calculate the beta of the SDL stock relative to the market portfolio with two different Calculate the expected return of the Pfl portfolio composed of 70% FGL stock and 30% SDL stock, what is the beta of this portfolio? Using CAPM assess the performance of FGL and SDL securities, Are they overvalued or undervalued? Which of…

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	Average yields	Standard deviation	Kurto	Beta
Citigroup	0,01%	0,50%	0,8	0,5
Bank of america	0,35%	0,20%	-0,8	1,2
S&P	0,24%	0,04%
Libor 3 mois	-0,18%
Euribor 1 mois	-0,12%
FTSE100	0,30%	0,05%

Rendernents moyens ecart type Kurto Béta Citigroup 0,01% out of 0,50% 0,8 0,5 Bank of America 0,35% 0,20% -0,8 1,2 S&P 500 0,24% 0,04% Libor 3 mois 0,18% Euribor 1 mois 0,12% FTSE100 0,30% 0,05% La correlation entre Bank of America et Eurbor mas est oe Select one DFocus