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  1. Nicole Seaman

    P2.T9.21.7. Risk budgets in the investment industry

    Learning objectives: Define risk budgeting. Describe the impact of horizon, turnover, and leverage on the risk management process in the investment management industry. Describe the investment process of large investors such as pension funds. Describe the risk management challenges associated...
  2. Nicole Seaman

    P2.T9.805. The bank/capital markets nexus goes global (Song Shin)

    Learning objectives: Describe the links between banks and capital markets. Explain the effects of forced deleveraging and the failure of covered interest rate parity. Discuss the US dollar’s role as the measure of the appetite for leverage. Describe the implications of a stronger US dollar on...
  3. Nicole Seaman

    P2.T7.707. Leverage, liquidity risk, and liquidity-adjusted value at risk (LVaR)

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
  4. L

    P2.T7.303. Liquidity and Leverage (Malz)

    I can't seem to reply to the original thread. Don't quite get the solution posted for 303.3 Let A = Assets and E = Equity with D = A - E. ROE = ROA/Equity = [(5%*A) - (A - E)*4%]/E. Since ROE must be at least 15%, the minimum leverage is achieved when ROE = 15% such that: [(5%*A) - (A -...
  5. Fran

    P2.T7.303. Liquidity and Leverage (Malz)

    Questions: 303.1. Your colleague Peter blames the fragility of commercial banks primarily on the fractional-reserve banking system. He argues that fractional-reserve banking exposes a bank to the threat of a general loss of confidence in its ability to pay out depositors. In an extreme...