Test. Valuation and risk analysis.
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Objective 1.
The investment bank received data for the seven projects. After processing the obtained data on the expected return and risk (standard deviation) of lost revenue. Rank the projects value of the coefficient of variation
Project numbers 1 2 3 4 5 6 7
The yield Q (mln) 10 12 14 9 6 11 8
Risk (mln) 1.8 1.4 1.4 2.0 0.4 1.2 0.9
Objective 2.
Determine the magnitude of the risks from the purchase of the assets of two companies of equal value X1 (ppm) and X2 (mln. US dollars.). The value of the joint purchase by the function as y = + EX1 kx2, Fluctuations quantities X1 and X2 with respect to the mean value, standard deviation is described: RMS (x1) = 1 (mln. US dollars.) And standard deviation (x1) = 2 (mln. USD .) Consider limiting the options of companies: 1) in the same market, 2) on the independent market, 3) alternative markets - "diversified portfolio".
k = 2, e = 1
Task 3.
The table shows the expected returns on the various projects and the corresponding values \u200b\u200bof the risks.
Non projects Yield Q (mln) Risk R (mln) Minimum income (mln) Maximum income (million rubles)
1 10 1
2 February 20
3 March 30
4 40 4
What is the minimum and maximum income you can expect from the projects under consideration? - The result obtained from the first two projects with a given confidence level of P = 0,683 (t = 1). The third and fourth with a probability of P = 0,954 (t = 2). The risks of these projects: financial, political, economic and transport respectively. The result of the calculation to place in the table
The investment bank received data for the seven projects. After processing the obtained data on the expected return and risk (standard deviation) of lost revenue. Rank the projects value of the coefficient of variation
Project numbers 1 2 3 4 5 6 7
The yield Q (mln) 10 12 14 9 6 11 8
Risk (mln) 1.8 1.4 1.4 2.0 0.4 1.2 0.9
Objective 2.
Determine the magnitude of the risks from the purchase of the assets of two companies of equal value X1 (ppm) and X2 (mln. US dollars.). The value of the joint purchase by the function as y = + EX1 kx2, Fluctuations quantities X1 and X2 with respect to the mean value, standard deviation is described: RMS (x1) = 1 (mln. US dollars.) And standard deviation (x1) = 2 (mln. USD .) Consider limiting the options of companies: 1) in the same market, 2) on the independent market, 3) alternative markets - "diversified portfolio".
k = 2, e = 1
Task 3.
The table shows the expected returns on the various projects and the corresponding values \u200b\u200bof the risks.
Non projects Yield Q (mln) Risk R (mln) Minimum income (mln) Maximum income (million rubles)
1 10 1
2 February 20
3 March 30
4 40 4
What is the minimum and maximum income you can expect from the projects under consideration? - The result obtained from the first two projects with a given confidence level of P = 0,683 (t = 1). The third and fourth with a probability of P = 0,954 (t = 2). The risks of these projects: financial, political, economic and transport respectively. The result of the calculation to place in the table
Task 4.
The table shows the expected returns on the two projects and the corresponding values \u200b\u200bof the risks. Compare projects and choose the preferred terms of the ratio of risk and return, the data recorded in the table in accordance with its option
Non options m Yield Q (mln) risk r (mln)
2300 33
2400 56
Explain your decision and make the data in the table.
Task 5.
The table shows the number of projects. expected returns on these projects and the corresponding values \u200b\u200bof the risks.
Non projects Yield Q (mln) Risk r
(Mln) Minimum income (mln) Maximum income (million rubles)
1100 10
2200 20
3300 30
4400 40
5 500 49
What is the minimum and maximum income you can expect from the projects under consideration? - To get the result for the first two projects with a confidence level of Rzad = 0.683., The third fourth and fifth, with a confidence level of project p = 0.954. The calculation results put into a table.
Take a risk on options m:
2 - transport, financial, tax, manufacturing, environmental
Task 6.
Calculate the VaR analytical method, if the portfolio is made up of N bought futures on the US dollar since January performance, the current futures price of P, based on the statistics of the January futures, the values \u200b\u200bof the standard deviation to the coefficients corresponding to each of the confidence levels that are listed in the table :
The confidence level of 90.0% 95.0% 97.5% 99.0%
Ratio 1.28 1.65 1.96 2.33
Options RMS (root mean square deviation) Price Tool P its current value N - number of financial instruments that position (thousand units)
Option 7 0,004 20 7,000
The table shows the expected returns on the two projects and the corresponding values \u200b\u200bof the risks. Compare projects and choose the preferred terms of the ratio of risk and return, the data recorded in the table in accordance with its option
Non options m Yield Q (mln) risk r (mln)
2300 33
2400 56
Explain your decision and make the data in the table.
Task 5.
The table shows the number of projects. expected returns on these projects and the corresponding values \u200b\u200bof the risks.
Non projects Yield Q (mln) Risk r
(Mln) Minimum income (mln) Maximum income (million rubles)
1100 10
2200 20
3300 30
4400 40
5 500 49
What is the minimum and maximum income you can expect from the projects under consideration? - To get the result for the first two projects with a confidence level of Rzad = 0.683., The third fourth and fifth, with a confidence level of project p = 0.954. The calculation results put into a table.
Take a risk on options m:
2 - transport, financial, tax, manufacturing, environmental
Task 6.
Calculate the VaR analytical method, if the portfolio is made up of N bought futures on the US dollar since January performance, the current futures price of P, based on the statistics of the January futures, the values \u200b\u200bof the standard deviation to the coefficients corresponding to each of the confidence levels that are listed in the table :
The confidence level of 90.0% 95.0% 97.5% 99.0%
Ratio 1.28 1.65 1.96 2.33
Options RMS (root mean square deviation) Price Tool P its current value N - number of financial instruments that position (thousand units)
Option 7 0,004 20 7,000
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