［2008］Topic 36: A Firm-Wide Approach to Risk Management相关习题 access, capacity, relevant, capital

Baran

AIM 3: Evaluate when VAR or CFAR is the more appropriate measure of risk.

 

1、Cash flow at risk (CAR) is most relevant to a nonfinancial firm that:

A) holds substantial liquid financial assets.
 
B) has unused borrowing capacity.
 
C) depends solely on its cash flow to fund new projects.
 
D) has ready access to capital markets.

Baran

The correct answer is C

CAR is most relevant to a nonfinancial firm that depends solely on its cash flow to fund new projects.

Baran

AIM 4: Compute the VAR and CFAR impact as well as the expected net gain on projects that have various scopes relative to the size of the firm and its other projects.

 

1、A firm has a portfolio of traded assets worth $200 million with a VAR of $20 million. The standard deviation of the return on the portfolio is 0.50. The firm is considering the sale of a position worth $1 million in an asset that has an expected return of 6 percent and a covariance of return with the portfolio of 0.20. The position that would be added has an expected return of 10 percent and a covariance of return with the portfolio of 0.40. The VAR is based on a 95 percent confidence level.
The impact of the trade on the volatility of the portfolio is an increase of:

A) 0.002. 
 
B) 0.004.
 
C) 0.006. 
 
D) 0.008.

Baran

The correct answer is A

The beta, relative to the overall portfolio, of the proposed position is βip = 0.40/0.502 = 1.60, and the beta of the replaced position is βjp= 0.20/0.502 = 0.80. The volatility impact of the trade is equal to ( βip – βjp) × Δw × Vol(Rp)= (1.60 – 0.80) × (1/200) × 0.50 = 0.002.

Baran

The impact of the trade on the expected return of the portfolio is an increase of:
A) 0.02%.
 
B) 0.03%. 
 
C) 0.04%.
 
D) 0.01%.

Baran

The correct answer is A

The impact on the expected return is [E(Ri) – E(Rj)] × Δw = (0.10 – 0.06) × (1/200) = 0.0002.

Baran

The impact of the trade on the 5 percent VAR of the portfolio is a(n):
A) decrease of $0.70 million.
 
B) increase of $0.62 million. 
 
C) increase of $0.70 million.
 
D) decrease of $0.63 million.

Baran

The correct answer is B

Impact on VAR = –[E(Ri) – E(Rj)] × Δw × W + ( βip – βjp) × 1.65 × Vol(Rp) × Δw × W = –(0.10 – 0.06) × (1/200) × 200 + (1.60 – 0.80) × 1.65 × 0.50 × (1/200) × 200 = 0.62.

Baran

2、A firm has a portfolio of traded assets worth $100 million with a VAR of $15 million. The standard deviation of the return on the portfolio is 0.50. The firm is considering the sale of a position worth $1 million in an asset that has an expected return of 6 percent and a covariance of return with the portfolio of 0.20. The position that would be added has an expected return of 10 percent and a covariance of return with the portfolio of 0.50. The VAR is based on a 95 percent confidence level.

The impact of the trade on the volatility of the portfolio is an increase of:

A) 0.004.
 
B) 0.002. 
 
C) 0.008.
 
D) 0.006. 

Baran

The correct answer is D

The beta, relative to the overall portfolio, of the proposed position is βip = 0.50/0.502 = 2.00, and the beta of the replaced position is βjp=0.20/0.502=0.80. The volatility impact of the trade is equal to (βip - βjp) x Δw x Vol(Rp) = (2.00 – 0.80) x (1/100) x 0.50 = 0.006.