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MB304 May-June 2018

The document is an exam paper for a financial risk management course. It contains 10 questions split into two parts - 5 short answer questions and 5 essay questions. The questions cover topics like product market risk, risk avoidance, international fisher effect, currency swap, types of options, nature and scope of risk management, risk reporting process, VaR, stock index futures, interest rate swaps, and option valuation.

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Mahimalluru Charan Kumar
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34 views1 page

MB304 May-June 2018

The document is an exam paper for a financial risk management course. It contains 10 questions split into two parts - 5 short answer questions and 5 essay questions. The questions cover topics like product market risk, risk avoidance, international fisher effect, currency swap, types of options, nature and scope of risk management, risk reporting process, VaR, stock index futures, interest rate swaps, and option valuation.

Uploaded by

Mahimalluru Charan Kumar
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Code No.

4554

FACULTY OF MANAGEMENT
M.B.A. III – Semester (CBCS) Examination, May / June 2018
Subject : Financial Risk Management
Paper – MB-304-1
Discipline Specific Elective-II

Time : 3 hours Max. Marks : 80

PART – A (5 x 4 = 20 Marks)
(Short Answer Type)

1 Product Market Risk


2 Risk avoidance
3 International Fisher Effect
4 Currency Swap
5 Types of Options

PART – B (5 x 12 = 60 Marks)
(Essay Answer Type)

6 a) Explain the nature and scope of risk management.


OR
b) Explain briefly the risk reporting process.

7 a) What is VaR? Explain how VaR helps in investment decisions. How is VaR
different from CaR?
OR
b) Discuss the RBI guidelines in relation to ALM.

8 a) What do you mean by stock index futures? Explain how the speculators and
arbitrageurs can profitable use stock index futures.
OR
b) A stock index is currently selling at 860. The continuously compounding risk
free rate of return is 9% p.a. and the dividend yield on the index is 4 per
annum. What should the futures price for a contract with 3 months to
expiration be?

9 a) Define Swaps. Explain the types of swaps.


OR
b) Explain the role of interest rate swaps in hedging the risk of rising or falling
interest rates.

10 a) What are options and what are the types of options?


OR
b) The standard deviation of the continuously compounded stock price changes
for Rekha Ltd. is estimated to be 20 per cent per year. The stock of Rekha
Ltd is currently selling at Rs.85 and the effective annual interest rate is 12.5
per cent. What is the value of a one year call option on the stock of Asha Ltd
if the exercise price is Rs.90.

******

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