The Alpha bank is long in 15 year zero-coupon bond priced at $2 million. The current annual yield on thebond is estimated as 6.5%. Assume that the change in bond yield follows a normal distribution with a meanof zero and a standard deviation of 10 basis points. Calculate the DEAR (Daily Earnings at Risk) for thisbond (define adverse market circumstances as the 5% worst case) [please round off decimals].

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Answered: The Alpha bank is long in 15 year…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Along with interest rates, life expectancy is a component in pricing financial annuities. Suppose that you know that last year average life expectancy was 77 years for your annuity holders. Now you want to know if your clients this year have a longer life expectancy, on average, so you randomly sample n=20 of your recently deceased annuity holders to see actual age at death. Using a 5% level of significance, test whether or not the new data shows evidence of your annuity holders now live longer than 77 years, on average. The data below are the sample data (in years of life): (78,75,83,81,81,77,78,79,79,81,76,79,77,76,79,81,73,74,78,79) Does this sample indicate that life expectancy has increased? Test an appropriate hypothesis and state your conclusion (use a 5% level of significance). Be sure to check the necessary assumptions and conditions before conducting your test. Construct A 90% confidence interval for the true average age of death for the…
Suppose sales for the past 6 months have been94, 91, 102, 99, 109, and 118 Using a smoothing coefficient of 0.7, what is the exponentially smoothed value for the 4th period? (please round your answer to 1 decimal place)
The accompanying data represent the annual rates of return of two companies' stock for the past 12 years. Complete parts (a) through (k). O A. OB. 0.50- 0.50- 0.00- 0.00- -0.50- -0.50- -0.3 RR of Company 2 0.0 0.3 -0.3 0.0 0.3 RR of Company 1 OC. 0.30- 0.50- 0.00- 0.00- -0.30- -0.50- o.0 0'5 0.0 0.3 -0.5 RR of Company 2 0.5 -0.3 RR of Company 1 (b) Determine the correlation coefficient between rate of return of Company 1 and Company 2. The correlation coefficient is 0.966. (Round to three decimal places as needed.) (c) Based on the scatter diagram and correlation coefficient, is there a linear relation between rate of return of Company 1 and Company 2? Yes No (d) Find the least-squares regression line treating the rate of return of Company 1 as the explanatory variable. y=x+O (Round to four decimal places as needed.) RR of Company 1 RR of Company 1 RR of Company 2 RR of Company 2
Suppose sales for the past 6 months have been82, 104, 107, 116, 92, and 116 Using a smoothing coefficient of 0.5, what is the exponentially smoothed value for the 3rd period? (please round your answer to 1 decimal place)
3
Historically, the proportion of students entering a university who finished in 4 years or less was 63%. To test whether this proportion has decreased, 120 students were examined and 52% had finished in 4 years or less. To determine whether the proportion of students who finish in 4 year or less has statistically significantly decreased (at the 5% level of signficance), what is the p-value? (please round your answer to 4 decimal places)
The inflation adjusted annual return of a diversified asset portfolio is assumed to have a normal distribution with a mean of 3.5% and a standard deviation of 1.25%. Represent the value for the inflation adjusted annual return that 95% of outcomes would exceed on a diagram and determine this value.
In a recent year, grade 6 Ohio State public school students taking a mathematics assessment test had a mean score of 303.1 with a standard deviation of 36. Possible test scores could range from 0 to 1000. Assume that the scores were normally distributed. This is not a normal approximation, so do not correct for continuity. Find the probability that a student had a score higher than 295. Find the probability that a student had a score between 230 and 305. What is the highest score that would still place a student in the bottom 16% of the scores? If 4000 students are randomly selected, how many will have a test score that is less than 300? A random sample of 40 students is drawn from this population. What is the probability that the mean test score is greater than 290?
A life insurance company sells annuities to men aged exactly60. Each policyholder pays a single net premium, P, and then receives anannuity of $30 000 a year in arrear (so that the first annuity payment is on the61st birthday). Assume that mortality follows the Standard Select Life Table,and that the interest rate is 5% per year. Calculate the standard deviation of the present value of profit on a singlepolicy.
If the expected return on the market is 8% and the risk for your rate is 4%. What is the expected return for a stock with a beta equal to 2.00?
The Abendigo Division of Block C Enterprises has a product designed to operate for 1700 hours with a failure rate of 3.0%. Calculate the Mean Time to Failure.

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