- 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 one-day 99% VaR is calculated for the four-index example in Sec...
- 22.22.15: Use the spreadsheets on the authors website to calculate the one-da...
- 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 2-year bond and a 3-year 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 model-building 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
total revenue minus total explicit cost
total revenue divided by the quantity sold
average variable cost
variable cost divided by the quantity of output
the resources a bank’s owners have put into the institution
the equipment and structures used to produce goods and services
an economy that does not interact with other economies in the world
the fall in total surplus that results from a market distortion, such as a tax
financial institutions through which savers can indirectly provide funds to borrowers
the study of how people behave in strategic situations
a curve that shows consumption bundles that give the consumer the same level of satisfaction
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
an economy that interacts freely with other economies around the world
two goods with right-angle indifference curves
two goods with straight-line indifference curves
a particular “game” between two captured prisoners that illustrates why cooperation is difficult to maintain even when it is mutually beneficial
goods that are neither excludable nor rival in consumption
an event that directly alters firms’ costs and prices, shifting the economy’s aggregate supply curve and thus the Phillips curve
a worker association that bargains with employers over wages, benefits, and working conditions
the political philosophy according to which the government should choose policies to maximize the total utility of everyone in society