1 / 1

Exam Corrections

Exam Corrections. Question V Boston Capital originates 500 mortgages with an average principal of $200,000 per mortgage. They use these mortgages to create a GNMA securitization. Boston Capital services the … Question X

cwen
Download Presentation

Exam Corrections

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Exam Corrections Question V Boston Capital originates 500mortgages with an average principal of $200,000 per mortgage. They use these mortgages to create a GNMA securitization. Boston Capital services the … Question X a) Citi Group has a fixed income portfolio of one-year zero coupon bonds with face value of $50M. On average, the YTM in the bond market changes by 0.004 per day, with a standard deviation of 0.015. Find the one day 99% DEAR of the bond portfolio if the current YTM = 2% c) Citi Group also has an equity portfolio with one-day 99% DEAR of $15M. Find the combine one-day 99% DEAR of their equity and fixed income portfolio if the correlation between the equity returns and the change in BBB bond yield is 0.46. If you could not answer part a, only if you could not answer, then use a fixed income DEAR of $10M.

More Related