Risk Management and Derivatives Assignment

Added on - 21 Apr 2020

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Running head:RISK MANAGEMENT AND DERIVATIVESRisk Management and DerivativesName of the Student:Name of the University:Authors Note:
1RISK MANAGEMENT AND DERIVATIVESTable of ContentsQuestion 1a:...............................................................................................................................2Question 1b:...............................................................................................................................2Question 2a:...............................................................................................................................3Question 2b:...............................................................................................................................3Question 2c:...............................................................................................................................4Question 3a:...............................................................................................................................5Question 3b:...............................................................................................................................5Question 3c:...............................................................................................................................6Question 4a:...............................................................................................................................6Question 4b:...............................................................................................................................7Question 4c:...............................................................................................................................7Question 5a:...............................................................................................................................7Question 5b:...............................................................................................................................8Question 5c:...............................................................................................................................8Question 6:.................................................................................................................................8Reference and Bibliography:....................................................................................................10
2RISK MANAGEMENT AND DERIVATIVESQuestion 1a:30-12-2707-09-4117-05-5523-01-6902-10-8210-06-9617-02-1001000200030004000500060000102030405060708090Index ValueS&P500 capital indexS&P500 accum indexS&P500 VIXQuestion 1b:30-12-2707-09-4117-05-5523-01-6902-10-8210-06-9617-02-101101001000100000102030405060708090Index ValueS&P500 capital indexS&P500 accum indexS&P500 VIX
3RISK MANAGEMENT AND DERIVATIVESQuestion 2a:12/2/73/14/26/37/18/29/211/12/1/23/34/15/26/28/69/110/12/1/92/13/2-0.00500.01000.01500.02000.02500.03000.03500.04000102030405060708090Annualised standard deviationS&P500 capital indexS&P500 VIXQuestion 2b:VIX number is mainly a ticker symbol for stock market’s expected volatility impliedby the S&P 500 index. This VIX number mainly helps in identifying the overall risk thatcould be conducted from the index and result in hanging prices. This VIX is a measurableticker, which is used by investors to identify the investment opportunity.The overall VIXnumber mainly represents the volatility of the capital market such as S&P 500, which coulddirectly help in gaining the market risk factor. The relevant valuation of the VIX is mainlyconducted to understand volatility of the market, which might help investors in the long theshort run. The VIX is mainly calculated by using the implied volatility with a wide range ofS&P 500 depicting the risk from investment. The overall increment in value of S&P directlyforces the VIX down, while the increment in S&P increasing the VIX value. This onlyindicates that the relevant increment in volatility and risk could eventually help in generatingthe required level of profitability.
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