 22.22.1: Consider a position consisting of a $100,000 investment in asset A ...
 22.22.2: Describe three ways of handling instruments that are dependent on i...
 22.22.3: A financial institution owns a portfolio of options on the US dolla...
 22.22.4: Suppose you know that the gamma of the portfolio in the previous qu...
 22.22.5: Suppose that the daily change in the value of a portfolio is, to a ...
 22.22.6: Suppose that a company has a portfolio consisting of positions in s...
 22.22.7: Explain how an interest rate swap is mapped into a portfolio of zer...
 22.22.8: Explain the difference between value at risk and expected shortfall.
 22.22.9: Explain why the linear model can provide only approximate estimates...
 22.22.10: Some time ago a company entered into a forward contract to buy 1 mi...
 22.22.11: The text calculates a VaR estimate for the example in Table 22.9 as...
 22.22.12: A bank has a portfolio of options on an asset. The delta of the opt...
 22.22.13: Suppose that in 22.12 the vega of the portfolio is 2 per 1% change ...
 22.22.14: The oneday 99% VaR is calculated for the fourindex example in Sec...
 22.22.15: Use the spreadsheets on the authors website to calculate the oneda...
 22.22.16: A company has a position in bonds worth $6 million. The modified du...
 22.22.17: Consider a position consisting of a $300,000 investment in gold and...
 22.22.18: Consider a portfolio of options on a single asset. Suppose that the...
 22.22.19: A company has a long position in a 2year bond and a 3year bond, a...
 22.22.20: A bank has written a call option on one stock and a put option on a...
 22.22.21: A common complaint of risk managers is that the modelbuilding appr...
 22.22.22: Suppose that the portfolio considered in Section 22.2 has (in $000s...
Solutions for Chapter 22: Value at Risk
Full solutions for Options, Futures, and Other Derivatives  9th Edition
ISBN: 9780133456318
Solutions for Chapter 22: Value at Risk
Get Full SolutionsThis expansive textbook survival guide covers the following chapters and their solutions. Chapter 22: Value at Risk includes 22 full stepbystep solutions. Options, Futures, and Other Derivatives was written by and is associated to the ISBN: 9780133456318. Since 22 problems in chapter 22: Value at Risk have been answered, more than 14018 students have viewed full stepbystep solutions from this chapter. This textbook survival guide was created for the textbook: Options, Futures, and Other Derivatives, edition: 9.

accounting profit
total revenue minus total explicit cost

average revenue
total revenue divided by the quantity sold

average variable cost
variable cost divided by the quantity of output

bank capital
the resources a bank’s owners have put into the institution

capital
the equipment and structures used to produce goods and services

closed economy
an economy that does not interact with other economies in the world

deadweight loss
the fall in total surplus that results from a market distortion, such as a tax

financial intermediaries
financial institutions through which savers can indirectly provide funds to borrowers

game theory
the study of how people behave in strategic situations

indifference curve
a curve that shows consumption bundles that give the consumer the same level of satisfaction

inflation
an increase in the overall level of prices in the economy

median voter theorem
a mathematical result showing that if voters are choosing a point along a line and each voter wants the point closest to his most preferred point, then majority rule will pick the most preferred point of the median voter

open economy
an economy that interacts freely with other economies around the world

perfect complements
two goods with rightangle indifference curves

perfect substitutes
two goods with straightline indifference curves

prisoners’ dilemma
a particular “game” between two captured prisoners that illustrates why cooperation is difficult to maintain even when it is mutually beneficial

public goods
goods that are neither excludable nor rival in consumption

supply shock
an event that directly alters firms’ costs and prices, shifting the economy’s aggregate supply curve and thus the Phillips curve

union
a worker association that bargains with employers over wages, benefits, and working conditions

utilitarianism
the political philosophy according to which the government should choose policies to maximize the total utility of everyone in society