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5 1management information
2 3resoure allocation 4performance evaluation 5
2.
3.
5. forward contract V = S 0 e
V = S 0 Ke
rt
qt
Ke rt cash flow
.S spot priceK
6. beta N = ( ) P
*
P A
7. portfolio
portfolio
portfolio
beta
future
8. h =
(S , F )
S
,
F
delta N( d 1 ) delta-gamma
netrual
9. cost of carry F0 = ( S 0 + U )e ,U
rt
12.
3 FRA
100 FRA OTC 98
N=
P * DP
FC * D F
13. P FC D
14. F1 / 2 = X 1 / 2
1r2
1 + r1
=0.5* * t1 * t 2
2
t1 t 2
00
20. T-Bond actual/actual US CORPORATE MUNICIPAL bond
30/360T-bill ACTUAL/360
21. CF
CTD,
cost
pricefuture quoteCFCF CF
6 6CTD
00 , CF
22. Vanilla
floating=L**
fix=L**
1m pay6 libor, 6%
2
1.05 2
1 = 0.06 ,
1.04
4*(EXP(0.06/4)-1)=0.0605.
5m0.08-0.0605*exp(-0.05*0.5) FRA
FRA LIBOR
pay 0ffL*R(receive)R*(T2-T1)
Value(receiveRk = L * ( RK R) * e R2 *T2
25.
Exchang-traded option
26.
27.
S, r X T
T
28.
max(0, X S ) c Xe
rt
S 0 X C P S 0 Xe
pS-X e
rt
rt
dividend
dividends
S-X e
rt
S-X
29. actuarial
0
30. Delta
Delta 1 Gammarho
Vega 0Gamma Delta
gamma
at-the-money at the money Gamma
Gamma Vega
Gamma at the money Vega
Vega ,Vega Rho
R
31. delta N( d 1 )
N( d 1 ) N( d 1 ) N (
ln( S O / X ) + (r + 2 / 2)T
) , excel
NORMSDIST() N( d 1 ) 1
32. 1U = e
u =
,D =
1
2
U
e rt D
, d = 1 u 3
U D
Vc =
cu u + c d d
e rt
33.
callput parity
34.
G G b 2 2 G
+
+
)dt + bG / xdz
x t
2x 2
dS
= dt dz
S
dG = (a
G=Ln
G G b 2 2 G
+
+
)dt + bG / xdz
x t
2x 2
dG = (uS
G G (S ) 2 2 G
+
+
)dt + SG / Sdz
S t
2S 2
= (u 2 / 2)dt + dz
dLn( S ) = Ln( S T ) Ln( S 0 ) = Ln( S T / S 0 ) ,
S
Ln T
S0
L N [(u 2 / 2)T , T ]
E( S T )=
S 0 * e uT
x x
lnx
E ( X ) = e
( +
2
2
, V ( X ) = e ( 2 + 2 ) e ( 2 + ) E( S T )= S 0 * e uT
2
37.
dilution
38.
Covered Call
p + S = c + Xe rt
Bull spread
(
)
Bear spread
Butterfly spread
Calendar spread
Straddle
Strangle
staddle
straddle
Strips
Strap
39. B-S
c = ( S 0 Qe rt ) N (d1 ) Xe rt N (d 2 )
40. =
c = S 0 e qt N (d1 ) Xe rt N (d 2 )
d1 =
ln( S 0 / X ) + (r q + 2 / 2)T
d 2 = d1 T
c = S0e
d1 =
rf t
N (d1 ) Xe rt N (d 2 )
ln(S 0 / X ) + (r r f + 2 / 2)T
d 2 = d1 T
q r S F
c = F0 e rt N (d1 ) Xe rt N (d 2 )
d1 =
ln( S 0 / X ) + ( 2 / 2)T
d 2 = d1 T
41. delta-neutral
Gamma-Delta neutral
Gamma Gamma delta , Gamma-Delta
neutral
42.
1987
CRASHOPHOBIASticky rule
volatility
Binary option
Look back
Shout option
Asian option
Basket option
44.
VaR VaR
47. se(u ) =
1
1
se( ) =
T
2T
SEE =
se =
2
SEE
=
n2
(Y
i =1
Yi ) 2
n2
2
i
n2
48. 1 2
VaR
49. relative VaR= x - x
) ( x - x 0 ) , VaR
VaR
50. risk map is a plot of expected loss frequency against expected severity
for each risk type or line of business
Delta-normalVAR
delta Delta-normalVAR
VAR vaR
51. MC
deterministric
8
1 / k
1 / k
Vasieck CIR
Vasieck 0
drt = k ( rt )dt + dz t
1 brennan schwartz
drt = k1 (1 rt ) dt + 1 dz1t dl t = k 2 ( 2 l t )dt + 2 dz 2t
1tightness
2depth 3resiliency
54. 1
2 3 4
5 6
7
Claim holdler
55. debt overhang
accrue to debt holder
56. G30 24
V )
E[V ] = X 1 r1 + X 2 r2 + DPV
DP
V = X 12 12 + X 22 22 + 2 X 1 X 2 1, 2 1 2
VaR = ( E[rp ] * rp )
E[rp ] = 1 r1 + 2 r2 + DP
,-
percentage
,
rp = 12 12 + 22 22 + 21 2 1, 2 1 2 ,
VaR = ( E[ rp rB ]
p rB
) E[rp rB ] = 1 r1 + 2 r2 + DP (rB + DB )
rp = (1 1) 2 B2 + 22 22 + 2(1 1) 2 1, 2 1 2
59. VaR =
60.
61.
62.
63.
64.
65.
66.
12 12 + 22 22 + 21 2 1, 2 1 2
VaR
VaR delta-normal
zero-out
,Anticipatory stress
scenario approach
zero-out Anticipatory stress scenario
approach Predictive anticipatory stress scenario approach
Anticipatory
stress scenario with stress correlation
VaR
delta-normal
POTpeak over threshold, block maximaPOT
block maxima GEV), GEV
EVT primarily univariate nature
Gaming VaR dramatic change in market
structure
Gaming VaR
10
DV 01
,PPC
YTM 0
BV y BV+ y
2 * BV0 * y
BV
BV y + BV+ y 2 BV0
BV0 * y 2
50
P
= Dmod (r ) + 1 / 2 cov ex * (r ) 2 = 7 * 0.1% + 25 * (0.1%) 2 = 0.698%
P
70. 12
3
4
1
* (
1+ y / 2
71. DV01=0.01%*
1
* (
1+ y / 2
Dmod =1 / P*
y/2 =1+y/2*
PPC= Dmod *
72. perpetuity
73.
74.
75.
76.
77.
78.
79.
80.
B-S 1
02B-S
3
STRIPS C-STRIPS
trade rich C-STRIPS trade cheap. P-STRIPS fair value
EAY EAR
100M
1.7 101 50M 5 4.1 99
=
12
Prepayment
curtailment
MBS
mortgage pass-through securities ,CMO, stripped MBS MBS
YTM,
prepayment function
model,
prevail
mortgage rate mortgage age point pay
- amout outstanding (+).
83. conditional prepayment rate ,CPR(single
monthly mortgage) (1 SMM )
12
= (1 CPR)
MBS00
88. (98 )
89. IO PO stripped MBS
mortgage rate IO PO PASSTHROUGH
IO PO mortgage pass-through
mortgage pass-through PO
90. MBS 5 1 2
13
2 mbs 4
OASOASstatic spread5
OAS
91. delta-normal
libor FRN
FRN reset day
DELTA
FRN
94.
3c character ,capacity , capital
KMV
95.
B-S
S t = Vt N (d1 ) Ke rT N (d 2 )
Bt = Vt N (d1 ) + Ke rT N (d 2 )
V
ln( t +r + 2 / 2)T
K
d1 =
V K
T
d 2 = d1 T
S B
N ( d 2 ) 1- N ( d 2 )
EDF()
14
E (Vt ) DPT
, E (Vt ) DPT
E (Vt ) *
KMV
EBITDA
PD 02FRM
conceptual model
KMV
=/
1Altman 2Altman
3Altman call
subgrade Altman 4Altman
1971-1996 1981-1996 1970-1996
02
98. (MMR)= t /t
= 1 SRt = 1 SRT SRt=1-MMR(t) t SRT T
12
realized return
101.1 2 3*
4
102. 1 2 3
4 5 67
103.=*
104. mean loss rate=PD(1-Recovery rate)Risk neutral mean loss rate=1-
/
105.
15
106.marginal cost pricing
107.cost-plus-profit
covenants()
- * k
,
R
L = DL L
1 + R
110.altman EAR=YTM-EAL
R p =
RP
111.Z-score=6.56(X1)+3.62(X2)+6.72(X3)+1.05(X4)+3.25X1=/X2=
/ X3=EBIT/X4=/Z-score
112. UALP =
X
i =1 j =1
X j i j
ij
113.
cost-plus-profit
=E(V)-P(C), Pc
RAROC
114.
CD
115.
16
(ECE) x (WCE)
ECE= / 2 ,WCE=1.645 .AECE
T
AECE= 1 / T ECE t dt
0
AWCE= (1 / T ) WCE t dt
0
amortization effect, 0
1/4
3/2
1/3 T
116.(credit trigger)
time put
Creditmetrics
117.Creditmetric 1 2
3 4
P VaR.
02
118. VaR
119.Altman EAR=YTM-EAL.
120.Creditmetric
Creditmetric 1 VaR 2 VaR
121. 1=/a b
CreditMetric
122.Creditmetric
7
Creditmetris
Creditmetric
CreditPortfolioView
17
123.Creditmetric VaR 1 2
2 4
5 6
VaR
124. VaR = D P 1.64485 ( y ) P
*
127.
1CDSCDS
Payment in a
credit swap is contingent upon a future credit event. Payment in a total rate
of return swap is not contingent upon a future credit event
2frist-to-default put
payoff par book value3
4
credit-link-note CLN
5max(0,-)*
*duration6
128.(CLN)
CLN
CLNCLNCLN
CLN
CLN
CLN
CLN
129.CLO CBO
repackaged bond
130.
134.: L f
m R b promise return rate
1+ k = 1+
f + ( L + m)
. k promised yield
1 [b(1 R)]
E(r)=p*(1+k),p
135.
1 p = 1
1+ i
1+ k
k i = =
1+ i
(1 + i )
+ p p
138. C P = 1 ( p1 * p 2 L p n )
139. RAROC1 /RAROC denominator
L = D L * L *
R
R
L D L
1+ R
1+ R
140. 1 2
19
ci p 2 =
1 + f1
1 + c1
141.
/
MPT
X R = + X P ,
143.KMV Ri = AIS i E ( Li ) = AIS i EDF * LGD
i = ULi = Di * LGDi = [ EDF (1 EDF )]
1/ 2
* LGD
145.1 DSR=/2
IR/3 INVR=/GNP
4
VAREX=
ER
()5 MG/
147. 1 2
1 2 3
1 2 3 1
2 3
2HLT buyout(
)acquisition HLT distress
95% non-distress distress
150. 1 participation agreement 2
assignment 90% assignment participation
assignment
151. non distress HLT 1
2 3 4 5distress
HLT 1
2 3
152. 1 2 3
4
153.1 2
DT = F Max( F VT ,0) F VT
S t = Vt N (d1 ) Ke rT N (d 2 )
SVFTt ) = Vt N (d ) Ke rT N (d T t )
jump
155.
156.
F
U+F
SD(V,F,T,t)=c(V,F,T,t)-c(V,U+F,T)
157. PD= N (
LGD=F*PD- Ve
u (T t )
N(
T t
T t
158.creditRisk+
pi ( x) = G (i ) ( x k wik ) . pi (x) G (i ) i G
k =1
wik k x
21
159.creditRisk+creditMetrics KMV
160.vulnerable option
Max[ Min(V , S K ),0] ,S K
vulnerable option (1 p )c + pzc
161.
163. PFE
PFE
MC
164.OTC CVACVA
A 8 B 3 CVA=5,
A X-5
165.Mean loss rate=PD(1-) EE(
) L()
166. 1 EE2
L3 C4 V=EE*L*C
A B - A
large
regional and super regional bank 10 25billion
U
X-inefficiency
168. daylight overdraft risk
FedWire SWIFT Fed reserve low intraday
22
170.top-down 1 2
income-based model 3
expense-based model 4
operating leverage model 5 scenario
ananlysis 6risk profile model
performance
residual variance.
171.buttom-up 1causal networks
2connectivity model causal
networks 3reliability model
4empirical loss
567
proprietary
172.
catastrophe option ()
catastrophe bonds cat bond,
174.metallgesellschaft
stack-and-roll
contango
175.yasuo Hamanaka
176.LTCM
CRMPG LTCM
177.
178.Hoffman 5 class1people riskemployee misled, employee
error, 2relationship risk client
customer
3technology risk4physical risk
23
179.Hoffman 1origination
2 3managing business line
4corporate level activity
180.ITWGOR 6
188.1 2
3
24
COOR
189.COORcost of operational risk1 2
3 4
COOR=1+2+3-4
190.COOR 1 21
2
191.1
= required earnings/ CAPM
1
23 2loss
scenario model,LSM
LSM issue-based model risk mappingissue-based model
issue risk mapping
LSM 1 2
3 4
LSM 1 2
3 trend analysis,
4
56
Delta-EVT
buttom
192.
generalized
193.1COOR
2 risk-aware 3
4 5
25
194.top-down
chanrge
bottom-up
196. RAROC 1 2
3
197.Scorecard capital allocation top-down
:1 2
overlay3
198.zero sum game top-down
199.
(
(WCL)-Estimated lossEL)* RAROC
revenues-expected loss-expenses+return on economics capital+(-)transfer
price/
200.
RAROC
charge
F1 (VAR) + F2 [ MAX (VAR lim it VAR,0)] + F3 [ MAX (VAR VAR lim it ,0)]
F VAR 99
VAR Limit 100000F1 2F2 0.2,F3 4 VAR 80000
RAROC charge2800000.21000008000040164000 VAR
150000 RAROC charge21500000.204150000100000500000
201. chargecapitalmarket value of position capital factor
(tenor)
202.RAROC RAROC
203.
originator Originator 1
readily accessible cash2
3 4
26
5 6
7 ABS
204.ABS originator individual asset structure of
transaction
205.intermediaries
ABS1origator SPE2SPE
ture sale originator
creditor
207.
1
2 3 4
100
210.IRB
PD LGD,EAD(Exposure at defalut)
M
211. loan loss
provison insterst margins
LGD
downturn LGD
212.mitigation
213.basel 2 1external
rating-based approach(RBA,RBA originator
investor ),supervisory formulaSF,
,internal assessment approachIAA,
214. 20 10 10 1
250 5000 exception 099
1.0,100-199 1.13 1.28 1.33Kupiec
217. P( A U B) = P ( A) + P( B) P( A I B) , P ( A / B ) =
P ( Bi / A) =
Pn =
r
P( A I B)
,
P( B)
P( Bi ) P( A / Bi )
P( Bi ) P( A / Bi )
=
P( B1 ) P( A / B1 ) + P( B2 ) P( A / B2 ) + L + P( Bk ) P( A / Bk )
P( A)
n!
n!
, C nr =
(n r )!
r!(n r )!
cov(X,Y)=E(XY)-E(X)E(Y) XY cov
X,Y
=0,var(X+Y)=var(X)+var(Y)+2cov(X,Y)
1
k2
219.mode median
28
even
220.skewnessoutlier
mode median
mean>median>modemode>median>mean
Leptokurtic platykurtic
SK =
excesskurtusis = =
(X
(X
X )3
s
ns 3
X )4
ns 4
P ( X = x) =
x e
x!
np
z =
X np
npq
222. X E ( X ) =
2
x
proportions p =
pq
x x = 12 / n1 + 22 / n2
1
Chi-square
2 =
(n 1) s 2
s2 =
(X
X)
n 1
Xi
2
(X1 X )2 + L + ( X n X )2
( X i ) 2
n 1
Chi-square
29
223.point estimate1
unbiased estimator 2
3
consistent
224.F Chi-square
SEE = se
(Y Y )
SSE
=
=
n2
i =1
n2
2
i
n2
cov( X , Y )
b1 =
=
var( X )
(Y Y )( X X= n X Y X Y
n X ( X )
(X X )
i
i i
2
i
intercept
b0 = Y b1 X
2
226.R YX
2
R =0.63 63%R
sum of the squared total variation SST =
(Y
Y )2
SSE=
(Y Y )
i =1
,sum of
squared regression
SSR
SSE
= 1
=
SSR = (Yi Y ) 2 R 2 =
SST
SST
(Y Y )
(Y Y )
SSE+SSR=SST
227.tb1 t b =
b1 b1
sb
1
0.78 0.32 26 5%
b1 0 t b =
b1 b1
=0.78 0) / 0.32 = 2.4375 24 t
sb
1
2.064
228. cov =
i =1
( X i X )(Yi Y )
n 1
30
t t =
r n2
1 r2
229.EWMA n = n 1 + (1 )u n 1 n 1
2
GRACH(1,1)
n2 = + n21 + un 12 = VL V L =
+ + = 1, + < 1
230. NOTE GRACH GRACH(1,1)
= ht = 0 + 1 rt 1 + ht 1 1 + < 1, 1 +
2
231.MA MA(30) 30 t =
2
1
M
2
t i
232.
w) =
( w)
( w)
( w)
w1 +
w2 + L +
wN
w1
w2
w N
VaRw) =
235.
VaR( w)
VaR( w)
VaR( w)
w1 +
w2 + L +
wN
w1
w2
wN
VaR( w)
( w)
( w)
w1
w1
w1
w1
w1
*
wi wi
change in risk:
( w* wi )
( w)
,*
wi i
wi
wi
31
236. pension fund strategic benchmark is a hedge against the
liability stream. pension fund
237.
analysis of strategic benchmark,1
2
240.
241.
242.black-litterman
black-litterman
243. outperformance
32
trustee employee
248. 1 2
3 4
plan pension liability
strategic asset allocation surplus at risk ()
tactical asset allocation implementation risk
tactical asset allocation risk, asset held by the plan
active risk (plan level)(
) , asset held by a given manager active
risk(manager level)
249. thresholds
outperformance
250. 1downstreaming()
SAR(surplus at risk)
2 dynamic trigger():
outperformance market1
2
6 1 2 3
deficiencies in the benchmark4 5 6
255.12
33
3realized 4
realized
256.1 2
1
2
1
2 3
4 5
6 7
8 FOHF 1
265.1
2business model3
34
266.IRC
1 2 3
strategy driftIRC 1content2granularity
3frequecy4delay
267. style drift 1
2
3
268.
1 2
bottom up topdown1
2
12 3 4
5 6
269.1monitoring risk factor
2return-based analysis3performance
attribution4peer group comparison
5position analysis6communication with the fund manager
270.PWG
decideassignchoose
monitor approve
271.1
joint decision
23
45
67
7
272. 1 generally
accepted accounting practices(GAAP),2 adjustment based
upon risk3NAV GAAP
35
separation of dutymaintenance of a centralization data
set internal review
36