akže takto to velmi přibližně ( z fotek) vypadalo
poraďte si
1.) Portfolio immunization (10)
a) what does mean the following statement „our investment company has created an immunized portfolio“ (2)
b) what 2 conditions must be met to ahve the portfolio immunized (3)
c) ABC-investment company has an investment horizon of 5 years (all of its obligations must be repaid in 5 years) The cash collected from investors
amount to EUR 75 milion.
So far, ABD company has structured its asset portfolio this way:
EUR 15 milion in a zero coupon bond of a maturity of 12 years (new issue)
EUR 22,5 milion in govemment bonds with a duration of 4 years (new issue)
EUR 22,5 milion in corporate bonds with a remaining duration of 2 years
Propose other assets (and the respective amount or amounts) the ABC company shall invest in to have the portfolio immunized (5)
2.) Loan Pricing (12)
Given information below, calculate the minimum spread (in bps) for a 3-year loan .. client having the rating of BB. Ignore any administrative costs.
Market data:
Rating..........................3-letá defaultní míra
AAA...............................0,01
AA.................................0,40
A..................................1,02
BBB...............................1,98
BB.................................6,65
B..................................13,63
….
Splatnost v letech Náklady na externí zdroje
1..........................2,00
2..........................2,75
3..........................3,50
4..........................4,00
5..........................4,50
10.........................7,00
…
Předpoklady
Rating dlužníka................................................BB
Splatnost úvěru v letech......................................3
Kapitálový požadavek (kap. Přiměřenost)..................8%
Požadovaná výnosnost kapitálu..............................12%
Velikost úvěru..................................................1 000 000
Ztráta daná defaultem.........................................50%
3.) Credit risk management (12)
Assume following situation: Today is the 31th December 2007. At 31th December 2005, KB granted a 5-year loan with a notional principle of 15 milion and an interest rate of 5,0% p.a. The loan is repaid in 5 equal yearly installments at the end of each period (i.e. 31th December). KB’s management wants to find out duration of the loan (interest rate riskiness of the loan) KB’s research department delivered the fllowing estimate of short-term interest rate development; ie2008=4,8% p.a. , ie2009=5.4% p.a., ie2010-6.1% p.a.
a) calculate the required interest rate on the (residual) loan, which will be finally repaid in 3 years from now (use expectations hypothesis) (1)
b) Calculate the present value of the (residual) loan as of today (the installment of 31th December 2007 has been already made) (5)
c) Calculate Macaulay’s and modified duration of the loan as of 31th December 2007 (2)
d) How is the loan’s present value affected, when inflation is expected to rise and short-term interest rates are supposed to increase by 40
basis points? (use results of question c)) (3)
e) What additional risk measure shall be taken into account, when you want your calculation to be more precise? (1)
4.) Centrální banky
a) funkce macroekonomické i microekonomické
b) jména 3 centrální banky a země, v níchž působí
c) rozdíl centrálních bank "v" a "mimo" eurozónu
5.) Definice
Securitization
3 pilíře Basel II
6.) RAROC
Společnosti A,B, obě chtějí profit 6,5 mil
A dvouletý bond
B v equity positions
Na základě RAROC rozhodni, kdo investoval lépe víš-li
A 185 mil s riskem 5%
B 96 mil s riskem 9,5%
Krytí škod (nebo jak se to jmenuje) je na hladině 95%.
omluvte trochu nepřehlednost a představujte si u příkladů tabulky
sou tam, byly tam, ale tento způsob vkládání je dost omezenej, tedy .....