1.What is the duration of a $1 million face value 90-day Treasury bill futures contract?...
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1.What is the duration of a $1 million face value 90-day Treasury bill futures contract?
2. Bank of Detroit has estimated that its inventory of 5 million euros is subject to market risk. The spot exchange rate is 1=$1.40. Over the past six months, the spot exchange rate has a mean 3 basis points and a standard deviation 60 basis points. Determine the bank's DEAR for this position using a 99 percent confidence level.
3.Suppose a bank holds a $2 million trading position in stocks that reflect a U.S. stock market index (e.g., the Wilshire 5000 index). Suppose that the daily changes in returns for Wilshire 5000 have a mean 0 and standard deviation 2%. Determine the bank's DEAR for this equity position using a 99 percent confidence level.
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