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FRM Assignment3
FRM Assignment3
1. A stock earns the following returns over a five-year period: R1 = 0.30, R2 = -0.20,
R3 = -0.12, R4 = 0.38, R5 = 0.42, R6 = 0.36. What is the expected return and ex-
ante risk for the stock?
3. Calculate the Value at Risk in a Rs. 200 crores bond portfolio, based on the
following historical data of return on the similar portfolio, at 90%, 95% and 99%
confidence interval.
Historical return
Year Return %
2005 7.55
2006 7.20
2007 7.25
2008 6.90
2009 7.10
2010 7.35
2011 8.10
2012 8.50
2013 8.75
2014 8.15
2015 8.50
CI z score
90% 1.645
95% 1.96
99% 2.576
4. Calculate the net expected value of the exposure under the following scenarios.