ou are an employee at XYZ Bank. Your Bank is trying the construct an investment portfolio that matches its resources and goals. To do so, you and your team are required to evaluate the investment options available for your Bank and decide what is the best option to choose. A B C D E Value of the position 1,400,500 1,370,050 750,000 450,300 1,700,650 Duration 5 3 5 4 6 YTM 4% 3% 7% 8% 5.50% Potential adverse move in yield 0.30% 0.26% 0.43% 0.56% 0.37% Correlation A B C D E A 1 0.5 0.3 0.1 -0.2 B 1 0.2 -0.3 0.4 C 1 0.2 -0.3 D 1 -0.4 E 1 Weight A B C D E Scenario I 30.00% 10.00% 60.00% Scenario II 50.00% 30.00% 20.00% Scenario III 50.00% 50.00%
ou are an employee at XYZ Bank. Your Bank is trying the construct an investment portfolio that matches its resources and goals. To do so, you and your team are required to evaluate the investment options available for your Bank and decide what is the best option to choose. A B C D E Value of the position 1,400,500 1,370,050 750,000 450,300 1,700,650 Duration 5 3 5 4 6 YTM 4% 3% 7% 8% 5.50% Potential adverse move in yield 0.30% 0.26% 0.43% 0.56% 0.37% Correlation A B C D E A 1 0.5 0.3 0.1 -0.2 B 1 0.2 -0.3 0.4 C 1 0.2 -0.3 D 1 -0.4 E 1 Weight A B C D E Scenario I 30.00% 10.00% 60.00% Scenario II 50.00% 30.00% 20.00% Scenario III 50.00% 50.00%
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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| You are an employee at XYZ Bank. Your Bank is trying the construct an investment portfolio that matches its resources and goals. To do so, you and your team are required to evaluate the investment options available for your Bank and decide what is the best option to choose. | ||||||||||||||||
| A | B | C | D | E | ||||||||||||
| Value of the position | 1,400,500 | 1,370,050 | 750,000 | 450,300 | 1,700,650 | |||||||||||
| Duration | 5 | 3 | 5 | 4 | 6 | |||||||||||
| YTM | 4% | 3% | 7% | 8% | 5.50% | |||||||||||
| Potential adverse move in yield | 0.30% | 0.26% | 0.43% | 0.56% | 0.37% | |||||||||||
| Correlation | A | B | C | D | E | |||||||||||
| A | 1 | 0.5 | 0.3 | 0.1 | -0.2 | |||||||||||
| B | 1 | 0.2 | -0.3 | 0.4 | ||||||||||||
| C | 1 | 0.2 | -0.3 | |||||||||||||
| D | 1 | -0.4 | ||||||||||||||
| E | 1 | |||||||||||||||
| Weight | A | B | C | D | E | |||||||||||
| Scenario I | 30.00% | 10.00% | 60.00% | |||||||||||||
| Scenario II | 50.00% | 30.00% | 20.00% | |||||||||||||
| Scenario III | 50.00% | 50.00% |
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