Problem
Briefly answer the following questions in two page count only using resources
Course: Risk Management.
A. Which is more important to an equity investor = systematic or non systematic?
B. What specific risks would a bank take if it funds long term loans with short term deposits?
C. Equitable life gave its policy holder a free option. Explain the nature of the option.
D. If 70% of convertible bond trading is by hedge funds, I would expect the profitability of that strategy to decline. Discuss the viewpoint.
E. A fund manager announces that the funds one month 95% expected shortfall is 6% of the portfolio being managed. You have an investment of $100,000 in the fund. How do you interpret the portfolio manager's announcement?
F. How would the NSFR change if the whole sale deposits were replaced by stable retail deposits?
G. Explain why there are economics of scale in hedging options.
H. What is the difference between GARCH and EWMA for estimating volatility from historical data.
I. Why is it beneficial to the liquidity of markets for trades to follow diverse trading strategies?
J. Explain three different ways that scenarios can be generated for stress testing.