The Chief Risk Officer at JP Manzan Bank has calculated that the bank's portfolio return's profit/loss...

The Chief Risk Officer at JP Manzan Bank has calculated that the bank's portfolio return's profit/loss (denoted by R) is normally distributed with mean -0.27 and standard deviation1.65.

Calculate:

(1) P(R < 1.89) = _________

(2) P(|R| > 1.6 ) = _____________

(3) P(-2.47 < R < 1.49) = ___________

(4) P(R > _________ ) = 0.966

Solutions

Expert Solution

USING FORMULA AND Z TABLES
1.
=Pr(Z<(1.89-(-0.27))/1.65)
=Pr(Z<1.3091)
=0.904748220844048

2.
=Pr(R<-1.6)+Pr(R>1.6)
=Pr(Z<(-1.6-(-0.27))/1.65)+Pr(Z>(1.6-(-0.27))/1.65)
=Pr(Z<-0.8061)+Pr(Z>1.1333)
=Pr(Z<-0.8061)+1-Pr(Z<1.1333)
=0.3386

3.
=Pr(R<1.49)-Pr(R>-2.47)
=Pr(Z<(1.49-(-0.27))/1.65)-Pr(Z>(-2.47-(-0.27))/1.65)
=Pr(Z<1.0667)-Pr(Z>-1.3333)
=Pr(Z<1.0667)-1+Pr(Z<-1.3333)
=0.765727588078623

4.
Pr(R>X)=0.966
=>Pr(R<X)=1-0.966
=>Pr(Z<(X-(-0.27))/1.65)=0.0340

=>Pr(Z<(X-(-0.27))/1.65)=Pr(Z<-1.825)

=>(X+0.27)/1.65=-1.825

=>X=-1.825*1.65-0.27

=>X=-3.28125

USING EXCEL
1.
=NORMDIST(1.89,-0.27,1.65,TRUE)=0.904748220844048

2.
=NORMDIST(-1.6,-0.27,1.65,TRUE)+1-NORMDIST(1.6,-0.27,1.65,TRUE)=0.3386

3.
=NORMDIST(1.49,-0.27,1.65,TRUE)-NORMDIST(-2.47,-0.27,1.65,TRUE)=0.765727588078623

4.
=-NORMINV(1-0.966,-0.27,1.65)=3.281261255

jeff jeffy answered 1 year ago

Next > < Previous

Related Solutions

13. Who has responsibility for risk acceptance? board operations managers chief risk officer chief executive officer...

13. Who has responsibility for risk acceptance? board operations managers chief risk officer chief executive officer The correct answer is 14. Which of the following is done FIRST in operational risk management? Identification of controls Identification of risks Determination of cost effectiveness of controls Stress testing The correct answer is ___ 15. Which of the following would have the HIGHEST priority in a business continuity plan? A. Resuming critical processes B. Recovering sensitive processes C. Restoring the site...

indicate the corporate risk management strategy of JP Morgan Bank

You are the Chief Risk Officer for a company and you’ve been tasked with identifying the...

You are the Chief Risk Officer for a company and you’ve been tasked with identifying the areas where your company is exposed to systematic and unsystematic risks. Respond to the following in a minimum of 175 words: Based on the information you learned this week, what approach would you take in explaining how systematic and unsystematic risks affect risk planning? Describe your approach. Name 3 or more systematic or unsystematic risks your company might face. Think of some implications if...

Red Line Railroad Inc. has three regional divisions organized as profit centers. The chief executive officer...

Red Line Railroad Inc. has three regional divisions organized as profit centers. The chief executive officer (CEO) evaluates divisional performance, using income from operations as a percent of revenues. The following quarterly income and expense accounts were provided from the trial balance as of December 31: Revenues—East $ 862,000 Revenues—West 1,036,000 Revenues—Central 1,890,000 Operating Expenses—East 563,600 Operating Expenses—West 621,840 Operating Expenses—Central 1,167,900 Corporate Expenses—Shareholder Relations 150,000 Corporate Expenses—Customer Support 360,000 Corporate Expenses—Legal 252,000 General Corporate Officers’ Salaries 274,500 The company...

Traxonia Railroad Inc. has three regional divisions organized as profit centers. The chief executive officer (CEO)...

Traxonia Railroad Inc. has three regional divisions organized as profit centers. The chief executive officer (CEO) evaluates divisional performance, using income from operations as a percent of revenues. The following quarterly income and expense accounts were provided from the trial balance as of December 31, 2016: Revenues—East $ 866,000 Revenues—West 1,030,000 Revenues—Central 1,890,000 Operating Expenses—East 565,700 Operating Expenses—West 627,360 Operating Expenses—Central 1,170,060 Corporate Expenses—Shareholder Relations 156,000 Corporate Expenses—Customer Support 320,000 Corporate Expenses—Legal 255,200 General Corporate Officers’ Salaries 273,500 The company...

Red Line Railroad Inc. has three regional divisions organized as profit centers. The chief executive officer...

Red Line Railroad Inc. has three regional divisions organized as profit centers. The chief executive officer (CEO) evaluates divisional performance, using income from operations as a percent of revenues. The following quarterly income and expense accounts were provided from the trial balance as of December 31: Revenues—East $878,000 Revenues—West 1,042,000 Revenues—Central 1,880,000 Operating Expenses—East 563,600 Operating Expenses—West 619,680 Operating Expenses—Central 1,172,940 Corporate Expenses—Shareholder Relations 155,000 Corporate Expenses—Customer Support 333,000 Corporate Expenses—Legal 233,100 General Corporate Officers’ Salaries 278,500 The company operates...

Red Line Railroad Inc. has three regional divisions organized as profit centers. The chief executive officer...

Red Line Railroad Inc. has three regional divisions organized as profit centers. The chief executive officer (CEO) evaluates divisional performance, using income from operations as a percent of revenues. The following quarterly income and expense accounts were provided from the trial balance as of December 31: Revenues—East $ 878,000 Revenues—West 1,042,000 Revenues—Central 1,880,000 Operating Expenses—East 563,600 Operating Expenses—West 619,680 Operating Expenses—Central 1,172,940 Corporate Expenses—Shareholder Relations 155,000 Corporate Expenses—Customer Support 333,000 Corporate Expenses—Legal 233,100 General Corporate Officers’ Salaries 278,500 The company...

Red Line Railroad Inc. has three regional divisions organized as profit centers. The chief executive officer...

Red Line Railroad Inc. has three regional divisions organized as profit centers. The chief executive officer (CEO) evaluates divisional performance, using income from operations as a percent of revenues. The following quarterly income and expense accounts were provided from the trial balance as of December 31: Revenues—East $ 870,000 Revenues—West 1,034,000 Revenues—Central 1,880,000 Operating Expenses—East 565,700 Operating Expenses—West 621,360 Operating Expenses—Central 1,174,660 Corporate Expenses—Shareholder Relations 150,000 Corporate Expenses—Customer Support 350,000 Corporate Expenses—Legal 264,000 General Corporate Officers’ Salaries 281,000 The company...

Red Line Railroad Inc. has three regional divisions organized as profit centers. The chief executive officer...

Red Line Railroad Inc. has three regional divisions organized as profit centers. The chief executive officer (CEO) evaluates divisional performance, using income from operations as a percent of revenues. The following quarterly income and expense accounts were provided from the trial balance as of December 31: Revenues—East $884,000 Revenues—West 1,050,000 Revenues—Central 1,870,000 Operating Expenses—East 568,100 Operating Expenses—West 623,520 Operating Expenses—Central 1,170,540 Corporate Expenses—Shareholder Relations 157,000 Corporate Expenses—Customer Support 407,000 Corporate Expenses—Legal 261,000 General Corporate Officers’ Salaries 270,750 The company operates...

Red Line Railroad Inc. has three regional divisions organized as profit centers. The chief executive officer...

Red Line Railroad Inc. has three regional divisions organized as profit centers. The chief executive officer (CEO) evaluates divisional performance, using income from operations as a percent of revenues. The following quarterly income and expense accounts were provided from the trial balance as of December 31: Revenues—East $ 890,000 Revenues—West 1,046,000 Revenues—Central 1,880,000 Operating Expenses—East 563,900 Operating Expenses—West 625,920 Operating Expenses—Central 1,167,540 Corporate Expenses—Shareholder Relations 159,000 Corporate Expenses—Customer Support 314,500 Corporate Expenses—Legal 271,200 General Corporate Officers’ Salaries 277,750 The company...

Subjects