FRM冲刺资料

Quantitative Analysis Part 1: ProbabilityBasic probabilityimportant termsrandom variablesoutcomeeventsmutually exclusive eventsexhaustive eventsImportant rulesTotal Probability RuleBay's Rulesunconditional and conditional ProbabilitiesProbability distribution Univariate probability distributionJoint distribution for two random variablesSpecial distributionsUniform distributionBinomial distributionNormal distributionPoisson distributionLognormal distribution the relationship between normal and lognormalT , chi and F distributionthe relationship between distributionsPart 2: Statistic TheoryDescriptive statisticFrequency DistributionMeasures of central tendencyMeanMedianModeThe Expectation of a Random VariableE(cX)=cE(X), E(X+Y)=E(X)+E(Y),E(XY)=E(X)E(Y)Measures of variance and derivationCovariance and correlationChebyshev's inequalitySkewness and kurtosisThe law of large numberSampling TheoryPopulation, sample and parametersCentral Limit TheoremThe Sample Mean and the Distribution of the Sample Mean standard error of the sample meanThe Sample Proportion and the Distribution of the Sample ProportionThe Sample Difference and the Distribution of the Sample DifferenceThe Sample Variance and the Distribution of the Sample VarianceEstimation TheoryPoint Estimatepopulation meanpopulation proportiondifference between the means of two populationsthe properties of an efficient point estimateConfidence interval estimatepopulation mean with known population variancepopulation mean with unknown population variancepopulation proportiondifference between the means of two populationsThe difference between point and confidence interval estimateHypothesis TestingBasic Concepts Null Hypothesis and Alternative HypothesisOne-tail test vs. Two-tail testType I and a Type II error and Significance levelThe p-valueTest Statistic and Critical Value and Decision RuleTest of Single Population MeanTest of Differences between MeansTest of Single Population VarianceTest of Variances DifferenceSummary of Hypothesis TestingRegression and correlationthe standard error of estimate(SEE)Coefficient of Determination(R2), SST, SSR and SSETest of Significance of Regression CoefficientsPredicted value for dependent variableSignificance Test of The Correlation Coefficient1.Quantitative Analysis.mmap - 2007-8-22 -Market Risk 1VaRIntroduction to VaRThe reasons for widespread adoption of VaRDefinition and assumptionsCalculate a single period VaR for single assetPortfolio VaRPortfolio Risk AnalysisDiversified Portfolio VaRIndividual VaRMarginal VaR Use of Marginal VaRIncremental VaRVariance Minimizing Allocation or "Best Hedge"Calculate the Portfolio VaRTwo-Assets Have a Zero CorrelationTwo-Assets Have a Correlation of OneEqually Weighted PortfolioEstimate Component VaRTime Conversion for VaRQuantifying Volatility in VaRThe Stochastic Behavior of ReturnsDeviation from the Normal DistributionFat tailLeft skewedUnstableEstimating Volatilities and CorrelationsStandard Approach Simplification Usually MadeApproaches to Estimate VolatilityARCH(m)RiskMetrics(EWMA)Attractions of EWMAGARCH(p,q)Choose between the ModelsForecasting Correlations Can be More Important that Forecasting VolatilitiesApproaches for Estimate VaRHistorical-based ApproachesParametricRiskMetrics Approach (EWMA Model)GARCH ModelHistorical Standard Deviation ApproachNon-parametricHistoric SimulationMultivariate Density EstimationHybridImplied-Volatility Based Approaches AdvantagesDisadvantagesImplications of Mean Reversion in Returns and Return Volatilityfor Forecasting VaR Over Long Time HorizonsThe Non-synchronous Data ProblemPutting VaR to WorkVaR for DerivativesDifferentiate between linear and non-linear derivativesCalculating the VaR for a Linear DerivativesCalculating the VaR for a non-linear DerivativesDelta-NormalDelta-Gamma-NormalTaylor ApproximationThe Limitation of Taylor ApproximationThe Difference Between Full-revaluation Method and Delta-normal Method forMeasuring the Risk of Non-linear Derivatives VaR MethodsLocal-valuation Delta-NormalComponents of a VaR Model Model ItselfMapping SystemFour Steps to Determining VaRChoosing Primitive Risk Factors Three Qualities of Successful Futures contractsThree Approaches for MappingDelta-Normal Method for Fixed-Income Portfolios Mapping Approaches for Fixed-Income PortfoliosMapping Interest Rate Swap and OptionsDelta-Normal VaR with Linear DerivativesDelta-Normal Method Can Provide Accurate estimates of VaR forMany Types of Financial InstrumentsDerivatives and Option: A Note of CautionBenchmarking a PortfolioFull-valuationHistorical SimulationMonte Carlo SimulationMonte Carlo Simulation Using Single VariableGBMCompute VaR Using Monte Carlo SimulationUsing Monte Carlo Method Value an OptionModels of Interest Rate DynamicsMonte Carlo Simulation Using Multiple Variable Correlation Among the VariableTradeoff btw Speed and AccuracyStructured Monte Carlo (SMC) Approach to Measuring VaRMethods Comparison and Appropriate UsesA Firm-Wide Approach to Risk ManagementVaR and CFaRProject impact on VaR and CFaR VaR impact of Small TradeProject Impact on CFaRAllocating the Costs of CFaR and VaRReducing the Costs of CFaR and VaRReducing the cost of risk for a given level of VaR or CFaRlimitations on project selection and the use of derivativeinstruments as ways to decreaseStress TestingRole of Stress testingPrimary Approaches to Stress TestingScenario AnalysisUnidimensional Scenario AnalysisMultidimensional Scenario AnalysisProspective Scenarios Conditional ScenarioHistorical ScenariosWorst Case Scenario Measure as an Extension to VaRLarge Stress LossesExtreme Value TheoryRole of EVTTwo broad classed of models in EVT Block Maxima ModelsPeaks-Over-Threshold(POT) ModelsTail Size and Time Dependency Clustering AnalysisRisk BudgetDefinitionUse VaR to Design Better Investment GuidelinesBudget Risk across Asset ClassesBudget Risk across Active ManagersMarket Risk 1.mmap - 2007-8-22 -Market Risk 3Forwards and Futures, SwapsDetermination of Forward and Futures PricesA Long(Short) Futures Positions Characteristics of a Futures MarginsMarking-to-Market, Initial Margin and Maintenance Margin Variation MarginRole of the ClearinghouseCost-of-Carry ModelWith No Cash FlowsWith Cash FlowsWith a Continuous Dividend YieldValue of a Forward Contract Forward and Futures ContractsPricing Commodity Forwards and FuturesBasic Equilibrium Formula for Pricing Commodity Forwards and Futures Lease RateCalculating Lease Rate for Commodity Forwards and FuturesDetermine the Contango or Backwardation of Forward Market Using Lease RateCalculate the Forward Price of Commodity with Storage CostsThe No-Arbitrage Bounds for the Forward Price of Commodity when Considering a Convenience YieldThe Factors that Impact the Pricing of Gold, Corn, Natural Gas and Oil Futures Calculate a Commodity SpreadBasis Risk and the Differential between a Strip Hedge and a Stack HedgeHedging Strategies Using FuturesHedging with FuturesA Short Hedge and a Long HedgeBasis RiskDefinitionTypes of Basis RiskOptimal Hedge RatioHedging with Stock Index Futures Rolling a Hedge ForwardInterest Rate FuturesDay Count Conventions T-Bond FuturesU.S Treasury Bond (T-Bond) Futures Contract Conversion Factor Cheapest-to-Deliver BondEurodollar FuturesFutures Contract Convexity AdjustmentFormulate a Duration-Based Hedging Strategy Using Interest Rate Futures Limitations of Using a Duration-Based Hedging StrategySwapsMechanics of Interest Rate SwapsMechanics and Cash Flow of a Plain Vanilla Interest Rate SwapInterest Rate Swap combined with an Existing Asset or LiabilityComparative AdvantageValuing Interest Rate SwapsDiscount RateEquivalent to a Simultaneous Position in Two Bonds or a Series of FRAsCalculate the Value of an Interest Rate SwapCurrency Swaps Mechanics and Calculate the Value of Currency SwapSwap Credit RiskOptionsMechanics of Options MarketsStock Options SpecificationsExpiration Strike PricesMoneyness, Time Value, and Intrinsic Value The Effect of Dividends and Stock Splits Position and Exercise LimitsOption TradingMarginsOther Option-Like SecuritiesProperties of Stock OptionsSix Factors that Affect Option Prices Upper and Lower Pricing BoundComputing Option Value Using Put-Call ParityEuropean and American OptionCall on a Non-dividend-Paying StockEarly Exercise Features of American Call and Put Options Prices of American Call and Put OptionsOption PricingOne-Step Binomial Model Calculate the Value of a European Call or Put Option Hedge RatioAmerican OptionsCalculate the Value of a European Call or Put Option Using a Two-Step Binomial ModelThe Black-Scholes-Merton ModelBinomial Model Value Converges AssumptionsValue of a European Option Using BSM Model BSM Model with DividendsUse BSM Model to Estimate Future VolatilityThe Greek LettersNaked Position and Covered PositionStop-Loss Trading StrategiesDeltaOptimal HedgeOptimal Duration Hedges Delta-Neutral HedgesThetaGamma Vega RhoScenario Analysis Portfolio InsuranceOption StrategiesA Covered Call or A Protective Put StrategySpread Strategy Combination StrategyVolatility SmileVolatility Smile for Foreign CurrencyVolatility Smile for Equities Volatility Smile with Price JumpComplex DerivativesExotic DerivativesUse of PackagesVarious Option Characteristics Can Transform Standard American Options into Nonstandard American Options Forward Start Options Compound OptionChooser Option Barrier Option Binary OptionLookback Option Shout Option Asian Option Basket OptionsIssues in Hedging Exotic OptionsCosts and Risks of Alternative Types of Options for Hedging Financial Intermediaries that Sell Complex DerivativesFinancial Engineering and Innovations in Derivatives Securities with Embedded DerivativesSelecting Derivatives Hedges to Maximize Firm Value- -Investment and Risk Management Portfolio ManagementPortfolio TheoryRisk and Return of Portfolios of Risky AssetsThe Efficient Frontier and the Capital Market LineThe Security Market Line (SML)Market EfficiencyCreating Firm ValueHedging Strategies and Firm ValueStrategies that Reduce the Firm's Diversifiable Risk Do Not Increase Firm ValueDifferentiate btw. Firm Strategies and Policies to Reduce the Firm's Systematic RiskHedging a Firm's Price Risk with Respect to Its Output Will Not Affect Firm ValueWays to Increase the Firm ValueReducing the Potential Costs of Financial Distress and BankruptcyReducing the Volatility of Taxable IncomeReducing the Weighted Average Cost of CapitalReducing Diversifiable RiskImproving Management IncentivesReducing Probability of Debt OverhangReducing Information AsymmetriesPerformance AnalysisMeasures of PerformanceTreynor Measure, the Sharp Measure, and Jensen's AlphaExtensions to Jensen's AlphaTracking Error, The Information Ratio, and The Sortino RatioMeasuring Performance with Multifactor ModelsComparison of Approaches Explicit and Implicit Factor Methods for Determining Factors in Multifactor ModelsThree Categories of Multifactor ModelsApplication of Multifactor Portfolio Risk AnalysisPortfolio Performance DecompositionReturns vs.Protfolio-Based Style AnalysisManaging the Risk of Bond PortfoliosModeling the Yield Curve Yield to Maturity MethodZero-Coupon Rate MethodAnalyzing Bond Portfolio PerformanceHedge Fund ManagementHedge Fund ClassificationsEquity Long/Short StrategiesEquity Market Neutral StrategiesEquity Market Timing StrategiesShort-Selling StrategiesConvertible Arbitrage StrategiesFixed-Income Arbitrage StrategiesVolatility Arbitrage StrategiesCapital Structure Arbitrage StrategiesEvent-Driven StrategiesMerger Arbitrage StrategiesDistressed Securities StrategiesRegulation D StrategiesGlobal Macro StrategiesManaged Futures StrategiesFund of Hedge FundsHedge Fund BenchmarksAlpha Returns ChallengesHedge Fund IndicesProblems with Existing Hedge Fund IndicesAttributes of A Good Hedge Fund IndexCreating A More Useful Hedge Fund IndexThe Risk in Fixed-Income Hedge Fund StrategiesConvergence Trading Strategy andTrend-Following Strategy Strategies Using OptionsFive Primary HFR Fixed-Income Index CategoriesActual and Hypothetical Performance of Fixed-Income Hedge FundsDuring Market ExtremesFixed-Income Hedge Fund Asset-Based Style (ABS)Hedge Fund RisksTypes of RiskPrimary Risk FactorsThe Role of LeverageHedge Fund TransparencyProactive Risk Management Asset AllocationDue DiligenceRisk Monitoring and Management Investment LevelPortfolio LevelInvestment StyleStyle DriftDefinitionReasons for Style DriftApproaches for Monitoring and Detecting Style DriftHedge Fund DevelopmentsHedge Funds and Mutual FundsThe Economic Function and Most Basic ChoicesSizeHow Hedge Funds are Usually OrganizedSymmetric Compensation and Asymmetric CompensationWithdrawing CapitalHedge Fund DiversificationHedge Funds Might Make Markets More EfficientHedge Fund Returns and VolatilityGauging Hedge Fund PerformanceAlpha of Hedge FundsRisk ConsiderationsThe Future of Hedge Funds InstitutionalizationRegulationTrends in Hedge Funds and Mutual Funds- -Credit Risk MeasurementDefault RiskRating ExternalInternalLoanIndividual Loan Credit RiskGross Rate Of ReturnMarginal Default ProbabilityCumulative Default ProbabilityCredit DevilingLoan Portfolio Credit RiskRecovery Rate and Recovery FunctionProbability Default And Loss Given DefaultOthersCredit Scoring ModelsLinear Discriminant AnalysisParametric DiscriminationK-nearest NeighborSupport Vector MachinesDecision Rules In Credit AnalysisMinimum ErrorMinimum RiskNeyman-PearsonMinimax for ClassificationCounterparty RiskTerms Related to Counterparty Risk / Lending Risk VS Counterparty RiskPotential Future ExposureMean Loss Rate Mean Loss Rate=PD(1-Recovery Rate)Market Value Of Credit RiskOne side(EE*)x(L*)Two side V(B)-V(A)Current Exposure For A Counterparty CEC TCECSimple Transaction Method/Portfolio Simulation MethodCredit Risk Portfolio ModelsMerton ModelsCompute Equity and Debt Value/Firm Value and VolatilitySubordinate Debt/Interest Rate DynamicApplicationKMVCredit MetricsPortfolio ManagerPortfolio Risk trackerCredit Portfolio ViewCreditRisk+Sovereign RiskDifference Between Credit and Sovereign RiskDebt Repudiation And Debt ReschedulingCountry Risk Analysis (CAR) ModelAddress Sovereign RiskManagementLoan SalesIntroductionMarket Participation VS. AssignmentThe Buyer and The SellerSecuritizationIntroduction DefinitionParticipantsSecuritization Guidelines FAS140FIN46RInternal and External Credit Enhancementsliquidity Risk/Interest RiskMBSCredit DerivativesTypes of Credit DerivativesCredit Default Swaps Default Events of ISDATotal Rate Of Return SwapsCredit Spread Option And ForwardSynthetic Structures Credit-Linked NotesCollateralized Debt ObligationsApplication Of Credit DerivativesApplicationHedgeMarket RiskCredit RiskOperational RiskCost ReductionUsing a TRORUsing Credit Spread OptionsUsing RepoUsing Other Credit DerivativesArbitrageUsing Default SwapsUsing TRORsUsing Credit Spread OptionsBasel II Risk Weights Using Default Swaps to Reduce Capital RequirementsManagementVaR For OptionsCARPortfolio CAR4.Credit Risk.mmap - 2007-8-22 -Operation Risk Define and Measuring Operation RiskDefine Operation RiskBIS definitionModel RiskDefinitionSourcesIncorrect Model SpecificationIncorrect Model ApplicationImplementation RiskCalibration ErrorProgramming ErrorsData ProblemsManaging Under the Efficient Market HypothesisOutside Of the Efficient Market HypothesisTechnology Risk Technology On Revenues and CostsEconomic Of Scale and ScopeDaylight Overdraft RiskMeasuring Operational RiskHFLS and LFHSTop DownMultifactor ModelsIncome-Based ModelsExpense-Based ModelsOperating Leverage ModelsScenario AnalysisRisk Profiling ModelsBottom-upCausal NetworksConnectivity ModelsReliability ModelsEmpirical Loss DistributionsParametric Loss DistributionsExtreme Value TheoryOperation Risk ManagementEvolutionOperational Risk HedgingInsuranceSelf-InsuranceDerivatives Catastrophe Options and Catastrophe BondsLimitsBasel II RelatedBasic Indicator ApproachThe Standardized ApproachInternal Measurement ApproachOperational Risk and Economic CapitalLoss DataTail-Adjust Normal Distribution Binomial and Poisson DistributionsModels For Determining OpRisk Economic CapitalCase StudiesMetallgesellschaftSumitomo BankLong-Term Capital ManagementBankruptcy Of BarringsThe Amarranth DebacleBest Practices for Risk managementEnterprise Risk ManagementThe Value Of Reducing Corporate Diversifiable RiskDetermining The Optimal Amount Of Corporate RiskThe Conceptual Framework For ERMThe Counterparty Risk Management Policy Group II ReportIntroductionThe common Traits Associated With Past Major Financial ShocksRecommendationsSupervisory ChallengesPrivate Pools of Capital-PWGKey PrinciplesPrinciples For Protecting InvestorsPrinciples For Reducing Systemic Risk- -。