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Portfolio Risk and Asset Management - Financial Non- Financial Risks

Calculating non-Dividend Paying Stock
Calculating non-Dividend Paying Stock

1-Assume that a portfolio consists of two assets. Asset A has an allocation of 80% and a standard deviation of 16% while asset B has an allocation of 20% and a standard deviation of 25% with a correlation coefficient between asset A and asset B of 0.6. Please calculate the standard deviation of the portfolio

2-Please list key material risks of a standard bank? (Both financial and non-financial risks). Does the ranking (or importance) of these risks change for each bank.

3-Please calculate the VaR of the position using the information provided below. Assume you have a well-diversified $500,000 portfolio of stocks with a daily standard deviation of 2%. If we assume 95% confidence and normally distribution, what is the daily VaR and 5-days VaR?.

4-: During model validation process, what are the model ratings? If a model is rated “Needs moderate enhancements”, can the model owner use the model?

5-: What is effective challenge and how does it depend on incentives, competence, and influence?

Portfolio Risk and Asset Management - Financial Non- Financial Risks

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