A bank money manager estimates that the bank will experience a liquidity deficit of
$400 million with a probability of 10 percent, a liquidity deficit of $900 million with a
probability of 20 percent, a liquidity surplus of $600 million with a probability of 30
percent, and a liquidity surplus of $1,200 with a probability of 40 percent over the next
month. What is this bank’s expected liquidity deficit or surplus next month?
A. $880 million liquidity surplus
B. $440 million liquidity deficit
C. $440 million liquidity surplus
D. $880 million liquidity deficit
E. None of the options is correct
Answer:
A bank is planning to set up a new branch. It expects the new branch to generate 20
percent of the total business of the bank after it is opened. The bank expects the returns
on this branch to be 15 percent with a standard deviation of 5 percent. Currently the
bank has a 12 percent rate of return with a standard deviation of 4 percent. The
correlation between the returns on the new branch and the bank’s current returns is
expected to be 0.25. What is the bank’s expected standard deviation after adding this
branch?
A. 12.84 percent
B. 3.35 percent
C. 4.36 percent