a) Consider a position consisting of a K100, 000 investment in asset A and a K100, 000 investment in asset B. Assume tha

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A Consider A Position Consisting Of A K100 000 Investment In Asset A And A K100 000 Investment In Asset B Assume Tha 1 (42.61 KiB) Viewed 46 times

a) Consider a position consisting of a K100, 000 investment in asset A and a K100, 000 investment in asset B. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.3. What are the five-day 97% VaR and ES for the portfolio? [7 Marks] b) Consider a company for which working capital is K180,000, total assets are K680,000, earnings before interest and taxes is K70,000, sales are K2,210,000, the market value of equity is K390,000, total liabilities is K250,000, and retained earnings is K310,000. Compute these ratios using the Altman Z-score: X1, X2, X3, X4, and X5. [5 Marks] II. Assess the credit risk (z-score) of a potential borrowing firm and interpret the score. [5 Marks] c) Explain in detail the four pillars of Basel II Accord [8 Marks]