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    Tybms Sem5 RM Nov19

    Uploaded by

    Kritika Singh
    The document appears to be an exam paper for a course on finance and risk management. It contains 5 questions assessing various concepts: 1. Statements on risk measurement concepts like beta, Jensen's Alpha, and options are either true or false. 2. Explain risk definition, arbitrage theory, and calculate expected returns and standard deviation for two stocks. 3. Explain risk and the three lines of defense in risk management, and calculate beta for two company stocks from year-to-year returns against the market portfolio. 4. Discuss good practice principles for risk assurance, define stakeholders and their types, and explain the powers of the Insurance Regulatory and Development Authority of India.

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    © All Rights Reserved
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    Tybms Sem5 RM Nov19

    Uploaded by

    Kritika Singh
    50 views2 pages
    The document appears to be an exam paper for a course on finance and risk management. It contains 5 questions assessing various concepts: 1. Statements on risk measurement concepts like beta, Jensen's Alpha, and options are either true or false. 2. Explain risk definition, arbitrage theory, and calculate expected returns and standard deviation for two stocks. 3. Explain risk and the three lines of defense in risk management, and calculate beta for two company stocks from year-to-year returns against the market portfolio. 4. Discuss good practice principles for risk assurance, define stakeholders and their types, and explain the powers of the Insurance Regulatory and Development Authority of India.

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    TYBMS_SEM5_RM_NOV19

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    The document appears to be an exam paper for a course on finance and risk management. It contains 5 questions assessing various concepts: 1. Statements on risk measurement concepts like beta, Jensen's Alpha, and options are either true or false. 2. Explain risk definition, arbitrage theory, and calculate expected returns and standard deviation for two stocks. 3. Explain risk and the three lines of defense in risk management, and calculate beta for two company stocks from year-to-year returns against the market portfolio. 4. Discuss good practice principles for risk assurance, define stakeholders and their types, and explain the powers of the Insurance Regulatory and Development Authority of India.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    50 views2 pages

    Tybms Sem5 RM Nov19

    Uploaded by

    Kritika Singh
    The document appears to be an exam paper for a course on finance and risk management. It contains 5 questions assessing various concepts: 1. Statements on risk measurement concepts like beta, Jensen's Alpha, and options are either true or false. 2. Explain risk definition, arbitrage theory, and calculate expected returns and standard deviation for two stocks. 3. Explain risk and the three lines of defense in risk management, and calculate beta for two company stocks from year-to-year returns against the market portfolio. 4. Discuss good practice principles for risk assurance, define stakeholders and their types, and explain the powers of the Insurance Regulatory and Development Authority of India.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 2

    , ' pape""y;'l3,Li.T':;:ry";II.T::l*.

    r""'
    I

    Marks: 75
    Time: 2.30 Hrs

    NOTE: 1'Q1 is comPulsory


    2. Q2 to Q5 having internal oPtions
    3. rig;;;io *re Jignt indicate
    full marks' i,l,,,Ilt^l
    +. Stit" Your assumPtions clearlY oL\

    or false (any 8) \1, .


    Q1.A State whether the following statements are true N:\*" r--
    -"; )

    i. Beta measures volatility or risk . ^ tund has exceeded the exp'ectations


    and
    ii. tf Jensen,s Atp;;i;;;ritir" , it reflects that the Mutual
    and vice versa
    oriperform"d it-'" tututtt"t porlfolio a firm'
    tu" titt itp""1 tn3 fytyrl cash flows of
    iii. Transaction exposure in Exchange
    th" is eligible to buv or sell the underlying asset
    iv. Exercise price is a price at wh]gh "pti";;;;;. an asset's tu*ot be predicted using the
    ift" iatl"
    v. ApT is an asset pricing model based ",, 'ftat "iu'n
    relationship bttrit;; ttat asset ad many common risk factors
    Operational Management
    vi. The third line of Defense includes stakeholder to the organization
    vii. An end user of the project's outcom€
    ;;;;;i;;1;fual
    ifo*t i" tfr" holder if it were exercised immediately
    viii. At the money Option leads to negatiu.'#fr (potential impact)
    't one dimensional assessment
    ix. Enterprise nirt lunug.ment has people in the organtzatron
    of different
    x. Risk Measur.,r."i i, ihe coilective responsibility

    a El$atchgg folqy
    Call and Put
    ffiTranslation

    ffig. traded @eentwoparties

    (08)
    the Risk Management Process
    - -' A) Define the term Risk? Explain
    o ?)
    and Techniq*?*
    (07)
    ejE*plain Arbitrage theory
    (08)
    C)CalculatetheexpectedreturnsandStandarddeviationofStockAandStockB
    i-fn motinn of stock A and itock B under the ible states of nature
    I ne rollo D 6A' Return'B'
    State ofNature ProbabilitY
    5% 0%
    0,10
    1
    1nO/^ 8%
    ) 0.30
    18%
    0.50 15%
    ) 20% 26%
    4 0.1u (07)
    Dtftfitffidtn Risk Register

    Page 1 of2
    76575

    6AF53323CCA72AA 1 656 1 3485FA002989


    Paper / Subject Code: 46015 / Finance:Risk Management

    - '' :'' ": ' Risk and the three lines of Defense (08)
    " 'q3) A) Exglain
    B) Explain the challenges of Risk assurance in an organization (07)
    'r oR
    C).Calculate Beta for each of the following two securities from the given information (15)

    Year A.Ltd(%) B.Ltd (%) Market Portfolio (%)


    1 10 t4 12
    2 6 2 5

    3 t3 19 18
    4 -4 -12 -8
    5 13 11 10
    6 t4 t9 t6
    a
    7 4 J 7

    8 l8 20 15

    9 24 23 30
    10 22 16 25

    (08)
    Q.4) A) What are the good practice principles for risk assurance?
    B) Define Stakeholder and explain the types of project stakeholders (07)

    C) Explain the powers, functions and duties of IRDA (08)


    D) What is Actuaries? Explain the role, duties and obligations of Actuaries (07)

    Q.5) A) Suppose an insurer estimates that an insurance contract exposure has the
    following loss
    distribution: (08)
    Loss (in Rs.) Probability

    20.00,000 0.003
    9,00,000 0.010

    2,00,000 0,050
    50,000 0.847

    Assume that administrative expenJes; which are paid irn$gdiately, equal 20Yo of the expected claim cost.
    Furtheiasiume'ihattt i, type of policy requires a profit loading equal to I l% of the expected claim cost.
    Calculate the fair premium

    B) What is Reinsurance? State its types (07)

    Q.5) Write short notes on (Any three)


    (1 s)

    a) Risk Exposure Analysis


    b) Derivatives
    c) Risk Govemance
    d) Bancassurance
    e) Enterprise Risk Management Matrix
    ,<* x {< *** * i(* *

    7,6sis, Page 2 of 2

    6,4F5 33 23 CCA 72 1\Al 65 613 4B5 FA002989

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