Solution Library


Calculation Of Bank’s Trading Portfolio And DEARs

QuestionSumitomo Bank’s risk manager has estimated that the DEARs of two of its major assets in its trading portfolio, foreign exchange and bonds, are –$150,000 and –$250,000, respectively.1. What is the total DEAR of Sumitomo’s trading portfolio if the correlation among asse ... Read More

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Calculation Of Currency Position And Delta Position For Japanese Yen and Swiss Francs

QuestionOn December 31, 2001 Historic Bank had long positions of 200,000,000 Japanese Yen and 50,000,000 Swiss Francs. The closing exchange rates were ¥92/$ and Swf1.89/$.1. What were the respective positions of the two currencies in dollars?    a. $2,173,913 and $94,500,000.  ... Read More

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Calculation Of Net Position And Foreign Exchange Holdings By A Bank

QuestionSwiss Bank USA has the following foreign exchange positions in its trading portfolio, reported in dollars: $40 long in Swiss francs (SF), $20 million short in Swiss francs, $35 million long in Euros (€) and $20 million short in €, $30 million long in British pounds (£) and $5 ... Read More

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Calculate Capital Charge For Systematic Risks, Unsystematic Risks And Portfolio Of Stocks

QuestionAn FI has the following stocks in its portfolio:Company                Long              Short       ABN-AMRO          $20 million      $ ... Read More

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Calculate VAR For A Bank Based On DEAR And Total Capital For Lowering Market Risk

QuestionTransAmerica Bank has estimated its previous day’s DEAR to be –1.28 million. It has also estimated its average VAR over the last sixty working days to be –$1.75 million. It uses its own internal model to estimate its capital requirements following the BIS guidelines. It cur ... Read More

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Calculate Z Score For Asset To Debt Ratio And Calculate Asset To Debt Ratio With Cut-off Rate Given

QuestionUsing a modified discriminant function similar to Altman’s, a bank estimates the following coefficients for its portfolio of loans:Z = 1.4X1 + 1.09X2 + 1.5X3Where X1 = debt to asset ratio; X2 = net income and X3 = dividend payout ratio.1. What is the Z-score if the debt to asset ratio ... Read More

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Calculate Z Score With Altman’s Discrimant Function For A Firm

QuestionSuppose that the financial ratios of a potential borrowing firm took the following values:X1 = 0.3X2 = 0X3 = –0.30X4 = 0.15X5 = 2.1Altman’s discriminant function takes the form:Z = 1.2 X1 + 1.4 X2 + 3.3 X3 + 0.6 X4 + 1.0 X51. The Z score for the firm would be    a. ... Read More

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Calculate The Implied Probability Of Repayment For A B-Rated Debt

Question The following represents two yield curves. Maturity Pure Discount Treasury Yields B-rated Corporate Bond Yields (Pure Discount Bonds) 1 year 3 percent 6 percent 2 year 6 percent 10 percent 20 year 12 percent 17 p ... Read More

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Calculation of Taxable Income of Newly Married Couple

QuestionHarriet and Harry are married and have a total gross income of $65,000. Their allowable deduction for adjusted gross income total $1,500 and they have of $4,400 of allowable itemized deductions. What are Harriet and Harry’s taxable income and income tax liability?SummaryThe question be ... Read More

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Calculation of Taxable Income of a Person Who Works for a Company

QuestionRosemary is single and works for Big B Corporation. Her only income consists of her Big B salary and interest on a saving account. During the year, she has $400 withheld from her salary for state income taxes and $7800 for federal income taxes. Her brother provides her with the following cal ... Read More

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Calculation of Taxable Income of a Single Tax Payer With No Dependants

QuestionTommy, a single taxpayer with no dependents, has the following items that may affect his taxable income. What is his adjusted gross income?Employee salary received                           &n ... Read More

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Calculate NPV, Payback Period, Discounted Payback for Zhiang Liang Corporation

QuestionPlease read the case study PDF document and data from the Excel sheet attached and answer the questions.1) How do you compute the Free cash flows generated by the project? 2) How do you compute the Cost of Equity (COE or Ke) ? the Cost of Debt (COD or Kd), the WACC ?3) How do you compute the ... Read More

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