Question 1

Find the VAR for a portfolio of $100M with daily standard deviation of 0.5% over 30-day period.Note: z1% = 2.326

Accepted Answer

A) Below $5M 
B) Between $5M and $10M 
C) Between $10M and $20M 
D) Above $20M 
A) Below $5M 
B) Between $5M and $10M 
C) Between $10M and $20M 
D) Above $20M

Question 2

The Basle Accord calls for the following minimum bank capital

Accepted Answer

A) Tier I capital 4%, Tier II capital 4% 
B) Tier I capital 4%, Tier II capital 8% 
C) Tier I capital 8%, Tier II capital 4% 
D) Tier I capital 8%, Tier II capital 8% 
A) Tier I capital 4%, Tier II capital 4% 
B) Tier I capital 4%, Tier II capital 8% 
C) Tier I capital 8%, Tier II capital 4% 
D) Tier I capital 8%, Tier II capital 8%

Question 3

ABC International can borrow $4,000,000 at LIBOR plus a lending margin of .65 percent per annum on a three-month rollover basis from Barclays in London.Three month LIBOR is currently 5.5 percent.Suppose that over the second three-month interval LIBOR falls to 5.0 percent.How much will ABC pay in interest to Barclays over the six-month period for the Eurodollar loan?

Accepted Answer

A) $ 50,000 
B) $100,000 
C) $118,000 
D) $120,000 
A) $ 50,000 
B) $100,000 
C) $118,000 
D) $120,000

Question 4

International Corp.can borrow $10,000,000 at LIBOR plus a lending margin of .5 percent per annum on a six-month rollover basis from Deutsche Bank in Frankfurt.Six-month LIBOR is currently 5 percent.Suppose that over the second six-month interval LIBOR rises to 6 percent.How much will International Corp.pay in interest to Deutsche Bank over the one-year period for the Eurodollar loan?

Accepted Answer

$10,000,000 @#IMG-DLM& (.05 +

Find the VAR for a portfolio of $100M with daily standard deviation of 0.5% over 30-day period.Note: z_1% = 2.326

The Basle Accord calls for the following minimum bank capital

Globalization and the Multinational Firm

International Monetary System

Balance of Payments

Corporate Governance Around the World

The Market for Foreign Exchange

Futures and Options on Foreign Exchange

Management of Transaction Exposure

Management of Economic Exposure

Management of Translation Exposure

International Banking and Money Market

International Bond Market

International Equity Markets

Interest Rate and Currency Swaps

International Portfolio Investment

Foreign Direct Investment and Cross-Border Acquisitions

International Capital Structure and the Cost of Capital

International Capital Budgeting

Multinational Cash Management

International Trade Finance

International Tax Environment and Transfer Pricing

Filters

Exam 6: International Parity Relationships and Forecasting Foreign Exchange Rates

Find the VAR for a portfolio of $100M with daily standard deviation of 0.5% over 30-day period.Note: z1% = 2.326

The Basle Accord calls for the following minimum bank capital

Globalization and the Multinational Firm

International Monetary System

Balance of Payments

Corporate Governance Around the World

The Market for Foreign Exchange

Futures and Options on Foreign Exchange

Management of Transaction Exposure

Management of Economic Exposure

Management of Translation Exposure

International Banking and Money Market

International Bond Market

International Equity Markets

Interest Rate and Currency Swaps

International Portfolio Investment

Foreign Direct Investment and Cross-Border Acquisitions

International Capital Structure and the Cost of Capital

International Capital Budgeting

Multinational Cash Management

International Trade Finance

International Tax Environment and Transfer Pricing

Filters

Find the VAR for a portfolio of $100M with daily standard deviation of 0.5% over 30-day period.Note: z_1% = 2.326