BBF315/05: Explain the advantages of options over forwards and futures and As a financial consultant, recommend to your corporate: Risk Management Assignment, WOU, Malaysia

The correlation coefficient between returns on assets A and B is 0.3.

Assume 252-days trading a year.

• You have been asked to compute:
• portfolio expected return
• portfolio standard deviations
• one-day and ten-day value at Risk (VaR)
• Interpret the result of part (a) above.

Question 4

• Describe the THREE (3) issues that a financial institution will have to consider when assessing credit risk from a single counterparty.
• Discuss how ‘credit quality’ can affect the counterparty to perform an obligation.
• Differentiate between credit ratings used by banks in relation to those used by others.