You entertain a portfolio of two branches, Branch A and Branch B and 75 percent of your whole effects are invested in Branch A. The forthfuture instruction is given:
Expected give-back, E(????????)???????????? ????(????????) A
Branch Expected give-back
Note: ????2(????????)=625, 120= Cov(????????, ????????)), ????2(????????)=196
A. Calculate the expected give-back of the portfolio. B. Compute portfolio trutination derangement of give-back.
B 120 196
Covariance matrix A
9. UMB has the forthfuture poise quibble and pay narobjurgate instruction.
Liabilities and Equity
Fed funds sold and mutation repos Loans
Fixed effects Other effects
6,400 217 339
Fed funds alienationd and repos
Other pretended funds
All other liabilities Common Accumulation Retained Earnings
Total liabilities and equity
Selected items on pay narobjurgate (in pets)
Interest pay 350 Concern payment 15 Provision for advance losses 18 Nonconcern pay 249 Nonconcern payment 463 Taxes 24
(1) Calculate give-back on equity (ROE). (2) Calculate give-back on effects (ROA). (3) Calculate give-back on sales.
while its earning effects growth by 50 percent. What obtain betide to its net concern latitude?
Short-term securities Short-term advances Long-term fixed-objurgate advances Total
Liabilities and Equity
Interest-bearing negotiation deposits Fed funds borrowings
Long-term fixed-objurgate borrowings Equity
Million $ $240 $260 $25 $119 $66 $710
Total (1) Calculate the bank’s one-year re-pricing gap.
(2) Mete the collision on net pay when there is a 1 percent growth in objurgates. 16. Discuss shortcomings of re-pricing gap.
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