风险管理与金融机构 ， 第三版 答案 Risk_Management_and_Financial_Institutions_ 3e（Solution ）.doc

PAGE \* MERGEFORMAT 13 Solutions to Further Problems Risk Management and Financial Institutions Third Edition SM Summary This manual contains answers to all the Further Questions at the ends of the chapters. A separate pdf file contains notes on the teaching of the chapters that some instructors might find useful.  Chapter 1: Introduction 1.15. Suppose that one investment has a mean return of 8% and a standard deviation of return of 14%. Another investment has a mean return of 12% and a standard deviation of return of 20%. The correlation between the returns is 0.3. Produce a chart similar to Figure 1.2 showing alternative risk-return combinations from the two investments. The impact of investing w1 in the first investment and w2 = 1 – w1 in the second investment is shown in the table below. The range of possible risk-return trade-offs is shown in figure below. w1 w2 ?P ?P 0.0 1.0 12% 20% 0.2 0.8 11.2% 17.05% 0.4 0.6 10.4% 14.69% 0.6 0.4 9.6% 13.22% 0.8 0.2 8.8% 12.97% 1.0 0.0 8.0% 14.00% 1.16. The expected return on the market is 12% and the risk-free rate is 7%. The standard deviation of the return on the market is 15%. One investor creates a portfolio on the efficient frontier with an expected return of 10%. Another creates a portfolio on the efficient frontier with an expected return of 20%. What is the standard deviation of the returns of the two portfolios? In this case the efficient frontier is as shown in the figure below. The standard deviation of returns corresponding to an expected return of 10% is 9%. The standard deviation of returns corresponding to an expected return of 20% is 39%. 1.17. A bank estimates that its profit next year is normally distributed with a mean of 0.8% of assets and the standard deviation of 2% of assets. How much equity (as a percentage of assets) does the company need to be (a) 99% sure that it will have a positive equity at the end of the year and (b) 99.9% sure that it will have positive equity at the end of the year?