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  • Security Risk Analysis of HDFC Bank: Dates Nifty Security MR (X) SR (Y) X-Mean (X) Y-Mean (Y) x2 Y2 Xy

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    Akash Tamuli
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    This document analyzes the security risk of HDFC Bank by examining the relationship between its stock price (security) and the Nifty index using statistical analysis. Daily data on the Nifty, HDFC stock price, and returns are presented in a table. Calculations are shown to find the mean, variance, covariance, and beta of the security returns compared to the index. The beta of 1.23 indicates the security's returns have a high sensitivity to changes in the market index.

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    FM Analysis

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    FM Sum

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    This document analyzes the security risk of HDFC Bank by examining the relationship between its stock price (security) and the Nifty index using statistical analysis. Daily data on the Nifty, HDFC stock price, and returns are presented in a table. Calculations are shown to find the mean, variance, covariance, and beta of the security returns compared to the index. The beta of 1.23 indicates the security's returns have a high sensitivity to changes in the market index.

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    © All Rights Reserved
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    5 views1 page

    Security Risk Analysis of HDFC Bank: Dates Nifty Security MR (X) SR (Y) X-Mean (X) Y-Mean (Y) x2 Y2 Xy

    Uploaded by

    Akash Tamuli
    This document analyzes the security risk of HDFC Bank by examining the relationship between its stock price (security) and the Nifty index using statistical analysis. Daily data on the Nifty, HDFC stock price, and returns are presented in a table. Calculations are shown to find the mean, variance, covariance, and beta of the security returns compared to the index. The beta of 1.23 indicates the security's returns have a high sensitivity to changes in the market index.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
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    Security Risk Analysis of HDFC Bank

    Dates Nifty Security MR (X) SR (Y) X-Mean(x) Y-Mean(y) x2 y2 xy


    18/4/2016 7908.15 1087.80
    20/4/2016 7950.05 1097.85 0.53 0.92 0.9 0.84 0.81 0.7 0.75
    21/4/2016 7953.65 1095.00 0.04 -0.25 0.41 -0.33 0.16 0.1 -0.13
    22/4/2016 7891.80 1089.50 -0.77 -0.50 -0.40 -0.58 0.16 0.33 0.23
    25/4/2016 7894.80 1100.00 0.03 0.96 0.40 0.88 0.16 0.77 0.352
    26/4/2016 7828.15 1085.00 -0.84 -1.36 -0.47 -1.44 0.22 2.07 0.67
    27/4/2016 7942.00 1109.85 1.45 2.29 1.82 2.21 3.31 4.88 4.004
    28/4/2016 7967.40 1124.20 0.31 1.29 0.68 1.21 0.46 1.46 0.82
    29/4/2016 7844.25 1113.80 -1.54 -9.25 -1.17 -9.33 1.36 87.04 10.91
    2/5/2016 7822.70 1127.75 -2.74 1.25 -2.37 1.17 5.61 1.36 -2.77
    3/5/2016 7824.80 1121.90 0.02 -0.51 0.39 -0.59 0.15 0.34 -0.23
    4/5/2016 7724.15 1117.50 -1.28 -0.39 -0.91 -0.47 0.82 0.22 0.42
    5/5/2016 7731.00 1128.00 0.08 0.93 0.45 0.85 0.20 0.72 0.38
    6/5/2016 7717.65 1192.00 -0.17 5.67 0.20 5.59 0.04 31.24 1.11
    Sum -4.88 1.05 13.46 131.23 16.51

    Meanof X = -4.88/13 = -0.37


    Mean of Y = 1.05/13 = 0.08

    Variance = 13.46/13 = 1.03


    Covariance = 16.51/13 = 1.27
    Beta = 1.27/1.03 = 1.23

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