about SOFR and LIBOR a SOFR represents the interest rate of the unsecured funds LIBOR is a good proxy of the risk-free rate SOFRS include triparty repo data from the Bank of New York Mellon (BNYM) and the Depository Trust & Clearing Corporation (DTCC). LIBOR now in 2020 is still the most influential interest rate in the international market.
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- Which of the following statements is false? A. Basel II use the value at risk (VaR) with a one-year time horizon and a 99.9% confidence level for calculating capital for credit risk and operational risk. B. 20 BP = 0.2% C. Basel I is increasing the amount of capital that banks are required to hold and the proportion of that capital that must be equity. D. Model-building approach is a model for the joint distribution of changes in market variables and using historical data to estimate the model parameters.Illustrate how the currency risk exposure can be hedged for Fund Y. Determine the payoff for the forward position if the exchange rate rises to MYR/RMB 1.6830 after 3 months.Suppose that you have revenues denominated in Japanese Yen expected in 6 months. How would you hedge this risk using money market instruments? How would a money market hedge compare to a forward hedge?
- Give typing answer with explanation and conclusion Consider the prevailing condition of inflation (including changes in global oil price), the economy, budget deficit, decreases in expected remittance inflow, and the central bank monetary policy that could affect interest rate. Based on the prevailing conditions do you think bond price will increase or decreases in next six-month period. In the real economic environment which other factors may affect the bond price? Which factor in your opinion will have biggest impact on bond price? Assess the above given situations.Which of the following instruments has the highest cost? Seleccione una: a. Fed Funds b. Commercial Paper c. Eurodollars d. Prime rateWhat benefits and negatives to you see with crypto? (CBDC 2022) (Kolakowski 2022) In the age of crypto the public has looked to the FED for their perspective of the creation of a crypto for the U.S. in the form of a Central Bank Digital Currency. The FED describes that a, "CBDC transactions would need to be final and completed in real time, allowing users to make payments to one another using a risk-free asset." This debate is popular with the FED holding an open comment submission earlier this year with the public on the topic! Sadly, the submission period of 120 days has ended but here is the link to the PDF gallery of public comments: Federal Reserve Board - Public Comments (Links to an external site.). What does the group think about a nationally created crypto? (CBDC 2022) A digestion article I recently enjoyed was useful as a guide to the massive original post by the FED here: Money and Payments: The U.S. Dollar in the Age of Digital Transformation (federalreserve.gov) (Links to…
- 13.) What are derivative securities? Why do they exist? 14.) 2020 was year the COVID-19 global pandemic. Specifically explain how both monetary and fiscal policy have been used in the United States as a reaction to date. 15.) What causes the basic changes to overall supply and demand for money and loanable funds?Conducting monetary policy so that the FF rate = 1.25%, where the FF rate is the nominal federal funds interest rate, is an example of : A. an active policy rule. B. a passive policy rule. C. discretionary policy. D. an automatic stabilizer.Suppose that the Fed wants to lower long-term interest rates and buys all the Treasury securities banks hold. Reflect those changes on the balance sheet (commitment to low long term interest rate environment, QE)
- You observe the following quotes for the USD/AUD in the spot market from two banks:Bank of Sydney /Bank of New YorkBid Ask/ Bid Ask0.71711 0.71715 /0.71708 0.71715Do these quotes imply the possibility of earning a profit by using locational arbitrage? If so, calculatethe potential profit if you are able to use AUD 25,000. If not, explain why arbitrage is not possible?(b) You observe the following quotes for the GBP /AUD in the spot market from two banks:Bank of Melbourne/ Bank of LondonBid Ask/ Bid Ask0.5458 0.5459 /0.5514 0.5515Do these quotes imply the possibility of earning a profit by using locational arbitrage? If so, calculatethe potential profit if you are able to use GBP 50,000. If not, explain why arbitrage is not possible?c) You observe the following quotes for the EUR / USD in the spot market from two banks:Deutsche Bank/ Bank of AmericaBid Ask /Bid Ask1.18102 1.18102 /1.18094 1.18100Do these quotes imply the possibility of earning a profit by using locational arbitrage? If…Evaluate the European bond yield curve below (the purple line). Utilising an adequate theoretical lens, explain what the yield curve indicates about the direction of future interest rates, and what this could mean about future lending decisions.The quoted rate of interest is calculated using the following formula. Quoted Rate = r* + IP + DRP +LP + MRP Given the following information what is the risk free rate (RF) of the quote of the US Treasury Bill r* = 2% IP = 3% DRP = 3% LP = 3% MRP = 4% 2% Select 5% as your answer 5% Select 8% as your answer 8% Select 15% as your answer 15%