Exam Details
| Subject | financial risk management (f) | |
| Paper | ||
| Exam / Course | mba | |
| Department | ||
| Organization | TKR Institute Of Management & Science | |
| Position | ||
| Exam Date | June, 2017 | |
| City, State | telangana, hyderabad |
Question Paper
FACULTY OF MANAGEMENT
MBA IV Semester Examination, May June 2017
Subject: Financial Risk Management
Course No. 4.4.3
(Elective VI Finance)
Time: 3 Hours Max. Marks: 80
Note: Answer all the questions.
PART A (10x2 20 Marks)
[Short Answer Type]
1 Write short notes on the following.
Sources for Risk
Risk Management Process
CaR
Risk Avoidance
Capital Adequacy
Types of derivatives
Marking to the market
Interest rate swaps
Distinguish between American and European type of options.
Assumptions of Binomial option pricing model.
PART B (5x12 60 Marks)
[Essay Answer Type]
2 Discuss the identification and evaluation of risk in corporate entities.
OR
Explain the types of risks.
3 Discuss the significance of ALM practices in Banking Sector.
OR
The VAR on a portfolio using a one day horizon is Rs. 100 million, calculate the
weekly, monthly, semi annual and annual VAR. Assume 250 days and 50 weeks per
year.
4 Discuss the significance of futures contracts in the process of risk management.
OR
ABC Ltd., is trading at Rs. 900, calculate its I year futures price if dividend paid is Rs.
40 at the end of half year and year. If the risk free rate with continuous compounding is
per annum.
OU 2260 OU 2260
Code No. 9111
5 Discuss the various types of swaps and their features.
OR
Suppose that two companies, A and both wish to borrow 10 million for 5 years and
have been offered the rates as shown below: Discuss the design of the swap, if both
the parties want to share the benefit equally.
Cost of Funds to Company A and B
Fixed rate Bonds Floating rate Loans
Company A 10.00% p.a. 6 M Libor 0.30%
Company B 11.20% p.a. 6 M Libor 1.00%
Differential 120 bps 70 bps
6 Stock ABC currently trades for Rs. 110. A call option on ABC stock has a strike price of
Rs. 105 and expires in three months. The current risk-free rate is and ABC stock
has a standard deviation of 0.25. According to the Black-Scholes OPM, what should be
the call option premium for this option?
OR
Intrinsic value of option
Strike price Vs. Market price
Put option
MBA IV Semester Examination, May June 2017
Subject: Financial Risk Management
Course No. 4.4.3
(Elective VI Finance)
Time: 3 Hours Max. Marks: 80
Note: Answer all the questions.
PART A (10x2 20 Marks)
[Short Answer Type]
1 Write short notes on the following.
Sources for Risk
Risk Management Process
CaR
Risk Avoidance
Capital Adequacy
Types of derivatives
Marking to the market
Interest rate swaps
Distinguish between American and European type of options.
Assumptions of Binomial option pricing model.
PART B (5x12 60 Marks)
[Essay Answer Type]
2 Discuss the identification and evaluation of risk in corporate entities.
OR
Explain the types of risks.
3 Discuss the significance of ALM practices in Banking Sector.
OR
The VAR on a portfolio using a one day horizon is Rs. 100 million, calculate the
weekly, monthly, semi annual and annual VAR. Assume 250 days and 50 weeks per
year.
4 Discuss the significance of futures contracts in the process of risk management.
OR
ABC Ltd., is trading at Rs. 900, calculate its I year futures price if dividend paid is Rs.
40 at the end of half year and year. If the risk free rate with continuous compounding is
per annum.
OU 2260 OU 2260
Code No. 9111
5 Discuss the various types of swaps and their features.
OR
Suppose that two companies, A and both wish to borrow 10 million for 5 years and
have been offered the rates as shown below: Discuss the design of the swap, if both
the parties want to share the benefit equally.
Cost of Funds to Company A and B
Fixed rate Bonds Floating rate Loans
Company A 10.00% p.a. 6 M Libor 0.30%
Company B 11.20% p.a. 6 M Libor 1.00%
Differential 120 bps 70 bps
6 Stock ABC currently trades for Rs. 110. A call option on ABC stock has a strike price of
Rs. 105 and expires in three months. The current risk-free rate is and ABC stock
has a standard deviation of 0.25. According to the Black-Scholes OPM, what should be
the call option premium for this option?
OR
Intrinsic value of option
Strike price Vs. Market price
Put option
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- accounting for management
- banking and insurance
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- business communication
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- consumer behaviour (major)
- customer relationship management
- database management systems
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- e-business
- economic environment & policy
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- financial management
- financial risk management (f)
- financial risk management (major)
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- fundamentals of technology management
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