The company has invested $400,000,000 in stocksand $600,000,000 in bonds. Stocks has a standardof 7%, while bonds have 10%. The correlationbetween stocks and bonds is 0.10. Calculate theportfolio VaR (DEAR) at 99% given mean of 10%.Calculate the 1-year expected loss of a $100 millionportfolio comprising 10 B-rated issuers. Assumethat the 1-year probability of default for each issueris 6% and the average recovery value for eachissuer in the event of default is 40%.

“Since you have asked multiple question, we will solve the first question for you. If you want any…

The company has invested $400,000,000 in stocks and $600,000,000 in bonds. Stocks has a standard of 7%, while bonds have 10%. The correlation between stocks and bonds is 0.10. Calculate the portfolio VaR (DEAR) at 99% given mean of 10%.

The company has invested $400,000,000 in stocks and $600,000,000 in bonds. Stocks has a standard of 7%, while bonds have 10%. The correlation between stocks and bonds is 0.10. Calculate the portfolio VaR (DEAR) at 99% given mean of 10%.

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Gabriele Enterprises has bonds on the market making annual payments, with 13 years to maturity, a par value of $1,000, and selling for $780. At this price, the bonds yield 9.2 percent. What must the coupon rate be on the bonds? Multiple Cholce 7.99% 12.46% 9.20% 6.23% 6.33%
A $10,000 face value Treasury bond is quoted at a price of 104.530 with a current yield of 4.35 percent. What is the coupon rate?
Calculate the current yield on the described bond. A $500 Treasury bond with a coupon rate of 3.2% that has a market value of $425 The current yield is %. (Round to two decimal places as needed.)
The bonds of a company have a face value of $1,000, pay an annual coupon of 7%, and have 5 years remaining to maturity. If the market price of these bonds today is $941 their yield to maturity is closest to: Options a) 7.1% b) 7.3% c) 8.3% d) 8.5%
Long-term treasury bonds have 6% yield, while long-term corporate bonds have 10% yield. Default risk premium for long-term corporate bonds is 3%. What is the long- term corporate bonds liquidity premium? 4% 2% 3% 1%
A firm issues zero-coupon bonds with a face value of $1,000 and time to maturity of 26 months. The bonds are currently trading at $751.4. What is the annual yield on this bond? Answer in percent, rounded to one decimal place (5.428% --> 5.4).
Copper Corp. has an outstanding bond issue that is currently selling for $1,073.95. The yield to maturity is 10.7%, and the bonds mature in 9 years. Assuming that the face value is $1000 and the bonds pay a semi-annual coupon, what is the current yield on the bonds? 7.8% 13.4% 11.2% 8.9%
A firm has liabilities of $98 in one year, $100 in two years, and $107 in three years. The firm exactly matches its liabilities by purchasing the following zero or annual coupon bonds redeemable at par: Bond Maturity Par Value Coupon Rate Effective Yield A 1 year 100 5% 3% B 2 years 100 0% 4% C 3 years 100 4% 5% Find the number of units of Bond A that must be purchased to match the liabilities exactly. (A) 0.894 (B) 0.897 (C) 0.913 (D) 0.933 (E) 0.959
You have 4 types of assets in your portfolio: Corporate bonds earn 5% return and make up 15% of your portfolio Large cap stocks earn 12% return and make up 45% of your portfolio Government bonds earn 2% return and make up 10% of your portfolio International stocks earn 11% return and make up 30% of your portfolio What is the average rate of return on your portfolio? Find the weighted average of the returns. Enter your answer as two decimal places
Subject:- finance
You have 4 types of assets in your portfolio: Corporate bonds earn 2% return and make up 5% of your portfolio Large cap stocks earn 15% return and make up 50% of your portfolio Government bonds earn 9% return and make up 25% of your portfolio International stocks earn 7% return and make up 20% of your portfolio What is the average rate of return on your portfolio? Find the weighted average of the returns. Enter your answer as two decimal places and do not include the percent sign.
Saujana Bhd has a portfolio with a long position of RM2,000,000 in AAB bonds and short RM1,000,000 in Malaysian Government Securities (MGS). Volatilities are 1.58% and 1.90% per month, respectively, with a correlation of 0.9654. Compute the 95% monthly portfolio VaR and diversification effect.

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