Download GTU (Gujarat Technological University) MBA (Master of Business Administration) 2015 Winter 4th Sem 2840202 Risk Management Previous Question Paper
Seat No.: ________ Enrolment No.___________
GUJARAT TECHNOLOGICAL UNIVERSITY
MBA- SEMESTER IV ? EXAMINATION ? WINTER 2015
Subject Code: 2840202 Date: 03/12/2015
Subject Name: Risk Management
Time: 02.30 PM TO 05.30 PM Total Marks: 70
Instructions:
1. Attempt all questions.
2. Make suitable assumptions wherever necessary.
3. Figures to the right indicate full marks.
Q.1 (a) Explain the following terms:
1) Market orders
2) Hedging effectiveness
3) Stop-loss Orders
4) Interest rate risk
5) Arbitrager
6) Good-till-day orders
7) Swap
07
(b) ?In an emerging market like India ? Role of regulatory is very crucial? In light
of that explain role of SEBI and RBI in derivative market.
07
Q.2 (a) A stockbroker is holding 1,000 shares of Reliance Industries Limited (RIL)
selling currently at Rs. 1,800. The futures contract expiring in one month is
trading at Rs 1,808. Each future contract is for 100 shares of RIL. If the Stock
broker can borrow/ invest at 12% per annum can he take advantage of the
situation? Assume annual compounding of interest rates.
07
(b) Explain difference between forward and future contracts. 07
OR
(b) Calculate MTM for a future contract of 250 shares of Tata Steel for 5
th
June to
18
th
June, 2014. Mr. X took long position in Tata Steel Future on 5
th
June, 2014
at Rs. 385.60 per share. Mr. X sold Tata Steel Future on 18
th
June at Rs. 399.20
per share. The closing price for Tata Steel on each day are as under:
5
th
June 386.10 11
th
June 398.60 17
th
June 389.20
6
th
June 389.90 12
th
June 401.10
9
th
June 383.20 13
th
June 376.10
10
th
June 393.10 16
th
June 381.60
There is no transaction cost.
07
Q.3 (a) ?Buyer of option has limited losses while writer has unlimited losses? in light of
the above statement explain why an option writer is required to post margin
while buyer of option normally is not.
07
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Seat No.: ________ Enrolment No.___________
GUJARAT TECHNOLOGICAL UNIVERSITY
MBA- SEMESTER IV ? EXAMINATION ? WINTER 2015
Subject Code: 2840202 Date: 03/12/2015
Subject Name: Risk Management
Time: 02.30 PM TO 05.30 PM Total Marks: 70
Instructions:
1. Attempt all questions.
2. Make suitable assumptions wherever necessary.
3. Figures to the right indicate full marks.
Q.1 (a) Explain the following terms:
1) Market orders
2) Hedging effectiveness
3) Stop-loss Orders
4) Interest rate risk
5) Arbitrager
6) Good-till-day orders
7) Swap
07
(b) ?In an emerging market like India ? Role of regulatory is very crucial? In light
of that explain role of SEBI and RBI in derivative market.
07
Q.2 (a) A stockbroker is holding 1,000 shares of Reliance Industries Limited (RIL)
selling currently at Rs. 1,800. The futures contract expiring in one month is
trading at Rs 1,808. Each future contract is for 100 shares of RIL. If the Stock
broker can borrow/ invest at 12% per annum can he take advantage of the
situation? Assume annual compounding of interest rates.
07
(b) Explain difference between forward and future contracts. 07
OR
(b) Calculate MTM for a future contract of 250 shares of Tata Steel for 5
th
June to
18
th
June, 2014. Mr. X took long position in Tata Steel Future on 5
th
June, 2014
at Rs. 385.60 per share. Mr. X sold Tata Steel Future on 18
th
June at Rs. 399.20
per share. The closing price for Tata Steel on each day are as under:
5
th
June 386.10 11
th
June 398.60 17
th
June 389.20
6
th
June 389.90 12
th
June 401.10
9
th
June 383.20 13
th
June 376.10
10
th
June 393.10 16
th
June 381.60
There is no transaction cost.
07
Q.3 (a) ?Buyer of option has limited losses while writer has unlimited losses? in light of
the above statement explain why an option writer is required to post margin
while buyer of option normally is not.
07
2
(b) Calculate the value of call option by using Black and Scholes model with the
following data
1. Spot Price = Rs. 1272
2. Strike Price = Rs. 1280
3. Continuously compounded rate of interest = 8% p.a.
4. Time to expiration = 91 days
5. S.D. of the continuously compounded rate of return=0.2
6. Value of e
x
and e
-x
X e
x
e
-x
0.01 1.01005 0.99005
0.02 1.02020 0.98020
0.03 1.03045 0.97045
07
OR
Q.3 (a) Explain in detail ?Factors affecting Option prices? 07
(b) Mr. Y sold GMR Infra 26
th
February, 2014 Future at Rs. 28.20 per share and
wrote a put of Rs. 29 per share of same underlying for same expiry for premium
of Rs. 1.60 per share. Calculate his net pay off if on expiry, spot price of GMR
is Rs. 28.40 per share. Assume lot size of 7500 shares. Neglect transaction cost.
07
Q.4 (a) What is commodity future? Benefits of commodity futures? 07
(b) Write note on advantages of exchange traded currency futures contracts over
OTC currency forward contracts.
07
OR
Q.4 (a) What are Interest Rate Swaps and Currency Swaps? Write note on need of swap
intermediary ? the swap dealer / bank.
07
(b) The risk of spot prices on gold as measured from its standard deviation is placed
at Rs. 120. Similarly, the price risk of the 3-month futures contract on gold is
estimated to be Rs.150. the co-efficient correlation between the two is placed at
0.85 in order to hedge spot position what ratio of futures contract would be
optimal?
07
Q.5 (a) Explain Butterfly spread with hypothetical values of S&P CNX Nifty. 07
(b) What is perfect hedge and imperfect hedge? Give the reasons of imperfect
hedge.
07
OR
Q.5 (a) What is Convergence? Explain principles of Convergence in normal Market and
inverted Market.
07
(b) Write short note on trading, clearing and settlement system of derivative market
in India.
07
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This post was last modified on 19 February 2020