implementation shortfall method -回复
CFA-Level-III-13-Trading, Monitoring and Rebalancing
1. Market Order: 即时单， Market order: an instruction to execute an order promptly in the public markets at the best price available./The market order emphasizes immediacy of execution.2. Limit order: 限价指令，an instruction to trade at the best price available but only if the price is at least as good as the limit price specified in the order./ For buy order, the executive price must not exceed the limit price;/ For sell order, the executive price must be at least as high as the limit price.3. Dealer: Bid:买入这个资产的价格，Ask 卖这个资产的价格Trader：Bid:卖出这个资产的价格，Ask 买入这个资产的价格4. 最低的Ask：market ask，inside ask最高的Bid：market bid，market bid5. The effective spread is a better representation of the true cost of a round-trip transaction because it captures both price improvement and the tendency for larger orders to move prices.* 但是并不是说这个effective spread小就是这个交易员水平高，也很有就可能是当时的流动性比较好产生的* 多笔交易可以是simple average，或者weighted average6. Quote-driven: investors trade with dealers. 外汇（Effective spread来评价dealer）Order-driven markets: investors trade with each other without the use of intermediaries. 股票Brokered markets: investors use brokers to locate the counterparty to a trade.房地产+婚姻介绍所+猎头（在流动性差以及匿名的时候）A fourth market. a hybrid market, is a combination of the other three markets. Additionally, new trading venues have evolved, and the electronic processing of trades has become more common. 新三板市场7. Order Driven:- ECN: electronic crossing network:usually for institutional investors; avoid information leakage, low commission, but no guarantee to find a counterparty- Auction market/ Periodic/batch auction; 集合竞价(在某个时间点只报价，但是不成交)，某个点位的数据拟合度高/ Continuous auction.连续竞价- Automated auciton8. Broker:- a large block to sell-remain anonymous-the market for the security is small or illiquid9. 市场好的时候做dealer：市场不好的时候做broker：Dealer 希望 bid-ask spread 越大越好Broker 希望 bid-ask spread 越小越好Broker：希望促成交易赚commissiondealer：bid-ask spread差价赚钱，给双边一个连续报价10. Markets are organized to provide liquidity. transparency, and assurity of completion.① The market has relatively low bid-ask spreads---这个反应流动性好坏- Such market is often called tight, and quoted spreads and effective spreads are low.② The market is deep--是否可以吸收大单- Depth means that big trades tend not to cause large price movements;- Deep markets have high quoted depth, which is the number of shares available for purchase or sale at the quoted bid and ask prices.③ Market is resilient--受到冲击后是否可以快速恢复- Market is resilient if any discrepancies between market price and intrinsic value tend to be small and correct quickly.④ Transparency⑤ Assurity of completion11. Volume-weighted average price 主要是给到 broker的考量There are plenty of shortcomings for VWAP① VWAP is less informative for trades that represent a large fraction of volume; 占比太大，扭曲了VWAP② A broker with sufficient discretion can try to "game" the measure. To game a cost measure is to take advantage of a weakness in the measure, so that the value of the measure may be misleading;- 每次到了收市前去操纵自己的买卖价格，导致错过了最佳的投资时机③ The missed trades are not considered into the VWAP12. Cost:- Explicit Costs- Market impact cost：反生效应- Missed trade opportunity cost：arise from the failure to execute a trade in a timely manner.◆Suppose a trader places a 1-day limit buy order at $50.00 for a security when the askprice is $50.04. The price rises and the order is left unfilled. If the security closes at $50.10, then the trader has lost out on these profits. The opportunity cost is $0.06 (= $50.10 - $50.04).- Delay costs (also called slippage), . a rise from the inability ,to complete the desired tradeimmediately due to its size and the liquidity of markets.13. Implementation shortfall: 目的是解决VWAP的问题，加入了一个decision price① Explicit costs are commissions, taxes, fees, et cetera;② Realized profit/loss is the difference between the execution price or prices if more than one trade execution is made and the relevant decision price (usually the previous day's close);③ Delay or slippage cost is the cost from not being able to fill the order immediately. It is the market close-to-dose price movement from the day an order was entered (if not executed) until filled;④ Missed trade opportunity cost is an opportunity loss or gain due to the inability to complete the trade. It is the difference between the cancelation price of the order and the decision price.* 这个并不能覆盖所哟肚饿cost，market impact很难进行测量* 参考价格首先考虑是交易员的心理价位，但是如果单独写了benchmark就用这个benchmark* paper portfolio return: 最最理想情况下的收益* realized profit loss是考量由于当天的交易员的交易产生的。
CFA3级各年考题比较
five requirements s for linking the performance data net or gross of fees. disclose the percentage of the composite composed of non-feepaying portfolios. Must disclose currency used to express performance.
risk tolerance in 3 strategies
Performance Evaluation macro evluation
Global Context
macro
Economic Analysis GIPS Dirivative
退休老人
2009
foundation smoothing rule WACC
Valuation risk;Cash flow volatility risk; Credit risk; Reinvestment risk
specification of asset classes
Black-Litterman approach
Returns-based Style Analysis: style drift;information ratio core-satellite portfolio
Asset Allocation
passive investment approach value and growth substyles: commodity: return components, collateral, spot,roll yield swap
cfa 三级 implementation shortfall 公式
"Implementation shortfall" 是投资管理中一个用于衡量交易绩效的指标，它衡量了投资组合经理在执行交易时实际执行价格与计划的价格之间的差异。
这个指标通常被用来评估交易策略的效果以及交易成本。
"Implementation shortfall" 的公式可以用以下方式表示：Implementation Shortfall = Realized P&L - Paper P&L其中，- Realized P&L（实现损益）表示实际执行交易后的损益，即实际的交易执行价格与交易开始时计划的价格之间的差异。
- Paper P&L（纸上损益）表示如果按照计划价格执行交易，会有多少损益。
"Implementation shortfall" 可以以货币单位（例如，美元）或百分比来表示，具体取决于您的偏好。
在公式中，通常会考虑以下几个因素：- 计划价格：开始执行交易时的计划价格。
- 实际执行价格：实际完成交易时的执行价格。
- 交易数量：要交易的资产数量。
- 交易成本：交易期间产生的成本，如佣金、买入/卖出价差等。
- 时间因素：考虑到市场波动性，交易执行的时间也可能影响"Implementation shortfall"。
具体的"Implementation shortfall" 计算可以根据您的投资策略和交易情况而有所不同。
在实际应用中，通常会考虑更多细节，例如分阶段执行、交易成本的具体计算等。
建议在实际使用时咨询投资专业人士或使用专业的交易绩效分析工具来计算"Implementation shortfall"。
FRM二级 Operational and Integrated Risk Management要点
Operational and Integrated Risk ManagementI. Risk management frameworkOperational Risk Management Framework-Framework documentation. ----9 pointsAn effective control environment: Five components,(1)A control environment; (2) Risk assessment; (3) Control activities; (4)Information&communication; (5) Monitoring activities Fundamental principles---11 points.Economic value or Accounting value: based on objective of ERM---economic value: value future CF;---accounting value: manage default probabilityBenefit for retain or layoff of firms---should Layoff: face to exchange rate risk, interest rates risk, commodities prices risk;---should retain: face to business risk, strategic riskRisk appetite framework (RAF)---董事会---could help strategic decision and risk management.---need a clearly defined risk appetite, include risk management & forward-looking business strategies---the board of directors sets overarching expectations (顶层设计)---8 elements; 4 benefits for well-developed RAF. Page 28Best practices of Chief Risk Officer (CRO), Chief Executive Officer (CEO), Board of Director---CRO: easily to board; the final word on many risk decisions; strong alliance CRO and CFO---CEO: should strong support RAF, give CRO final word on risk decisions; ---Board: see above.Key elements of an effective IT risks:---clearly defined standards and interest rate risk reporting requirements; have single person in charge of ...office; comparable funding for IT projects and revenue-generation projects; post-implementation reviews 6-18 months; outsourced & in-house IT have same level of monitoring; assessing IT infrastructure and capacity prior to approving new products Poor Data Quality---Financial impacts: cause lower revenue, higher expense, lower CF---Confidence-based impacts: based on faulty data(数据造假), poor forecasting, inaccurate internal reporting---Satisfaction impacts: customer dissatisfied, employees dissatisfied---Productivity impacts: additional work is needed, delays or increase processing time.---Risk impacts: underestimating credit risk, underestimating investment risk---Compliance impacts: a business may no longer be in compliance with regulations.Data quality inspection VS Data Validation---Data Validation: a one-time step, review and assess---Data quality inspection: on-going set of steps, (1) reduce errors to a tolerable level; (2) appropriate adjustments, (3) solve cause of errors and flaws in a timely manner.---Goal of data quality inspection is to catch issues early on before they have negative impact.II. Operational Risk DataFour steps are commonly used in designing an Risk Control Self Assessment(RCSA) Program---1, Identify and assess risks associated with each business unit’s activities.---2, Control, then added to the RCSA program to mitigate risks identified for the firm.---3, Risk metrics, such as KRI or internal loss events, measure the success of OpRisk...---4, Control testsCategories of operational risk events (七大风险).Scenario analysis: common biases (8 points).Risk organization and governance (4 designs).The motivation for firms to use external data---1, to provide inputs into OpRisk calculations; 2, to engage in risk self-assessment activities (RSA); 3, to use in the advanced measurement approach (AMA) capital calculationSubscription database---IBM Algo FIRST & Consortium-based operational risk event services (ORX).The limitation of using external databases---must be viewed with caution; suffer from collection biases; do not report all events.III. Modeling ApproachesThree main approaches on operational risk capital---the basic indicator approach (BIA, BA); the standardized approach (SA); Advanced Measurement Approach (AMA). Advanced Measurement Approach (AMA)---allow a bank to design its own model for calculating OpRisk capital---性质要求Loss distribution approach（LDA）--要求比AMA更高---advantage & disadvantage---介绍---Modeling frequency: Poisson distribution; Modeling severity: Lognormal distributionAMA vs LDAMonte Carlo Simulation---used to combine frequency and severity distributions (convolution). at 99.9% confidence level.TOTAL for LDA-- Poisson modeling frequency, Lognormal modeling severity, use Monte Carlo convolution at 99.9% confidence level.Modeling Extreme Losses---the most common and least complex method is lognormal distribution;---when low frequency losses, use Generalized Gamma, Transformed Beta, Generalized Pareto, or Weibull.Extreme Value Theory---Generalized extreme-value (GEV) distribution: 公式---Peaks-Over-Threshold (POT): 公式Generalized Extreme-value theory---tail problem: Xi反映尾部---Xi>0, tail is heavy ---- Frechet distribution, which is a risk---Xi=0, tail is light ---- Gumbel distribution, which is not a risk, is good.---Xi<0, tail is lighter ---- Weibull distribution, which is not a risk, is good. According to the Fisher-Tippett theorem, as the sample size n gets large, the distribution of extremes converges to: a generalized extreme value distribution.The threshold of POT approach---Setting the the threshold relatively high, makes the model: more applicable but decrease the number of observations in the modeling procedure.VaR and Expected shortfall---VaR using POT parameters: 公式---Expected shortfall: 公式Model Validation process---The validation group could be involved with the rating system design and development process as long as sufficient controls are in place to ensure independence.---Structure and model methodology is dealt with under qualitative validation, not quantitative.---The breadth and depth of validation is not primarily focused on the dollar value of the loans outstanding...---There is more emphasis on qualitative validation over quantitative. Which means qualitative is placed on more important level.Elements of Qualitative Validation---(1) Obtaining probabilities of default (PD)---(2) Completeness of rating system: sufficiency 充足in number of factors used for credit granting propose.---(3) Objectivity客观of rating system: clearly define creditworthiness factors.---(4) Acceptance of rating system: Heuristic models are easier accepted. ---(5) Consistency of rating system:Elements of Quantitative Validation---(1) Sample representativeness: when to take the sample of population, and if its characteristics match those of total population.---(2) Discriminatory power: relative ability of a rating model to accurately differentiate between defaulting and non-defaulting entities for a given forecast period.---(3) Dynamic properties: rating system stability & attributes---(4) Calibration 标准化: relative ability to estimate PDChallenges to Data Quality---(1) Completeness---(2) Availability---(3) Sample representativeness---(4) Consistency and integrity---(5) Data cleansing procedureSeveral Method---Classification tests: include the binomial test, chi-square test, normality test. All of them are used to analyze both discriminatory power and calibration.---Accuracy indices and migration matrices: are only used for discriminatory power.---The traffic lights approach: is only used for calibration.The Validation of Data Quality---Data should be created from a full credit cycle.---Validating central tendency in the long term is done through backtesting and stress testing.---There is credit rules and regulations for even fixed years of credit cycle.---To make inferences about the population from the sample used in a model, it is necessary to calibrate appropriately and do out-sample testing.Six Common Model Errors---1, assuming constant volatility; 2, assuming a normal distribution of return;3, underestimating the number of risk factors; 4, assuming perfect capital markets;5, assuming adequate liquidity; 6, Misapplying a model.Increasing the length of the sampling period lead to:---adding more observations---reduce model risk & estimation errors---improves the power of statistical tests---gives greater relevance to old and potentially stale data---puts greater weight on obsolete information---increase the relevance of old data.Vetting Model---Soundness of a model: accepting/rejecting a model;---Benchmark modeling: testing models against simulation;---Health check of the model: ensure the model contains all of the necessary properties;---Stress testing a model: uses simulations to check the model’s reaction to different situations.LTCM’s collapse, several flaws---(1)use a 10-day horizon, which is too short...---(2)did not factor in liquidity risk (assume markets perfectly liquid).---(3)did not incorporate correlation and volatility risks (in fact, there is strong positive correlation during periods of stress)Economic Capital = Risk Capital + Strategic risk capital---Risk capital: provides protection against risk (unexpected losses);---Three distinct differences between risk capital & regulatory capital Strategic risk capital = Goodwill + Burned-out capitalRAROC = After-tax expected risk-adjusted net income / economic capitalAfter-tax expected risk-adjusted net income = expected revenue - costs - expected losses - taxes + return on economic capital +/- transfers Default Probability---A point-in-time (PIT) probability of default: used to compute short-term expected losses and priced financial instruments with credit risk exposure.---A through-the-cycle (TTC) probability of default: more commonly used for computations involving economic capital, profitability, and strategic decision.---A firm’s rating is more likely to change when analyzed under the Point-in-time (PIT) approach compared to the through-the-cycle (TTC) approach.---A TTC approach is more likely to result in a lower volatility of capitalcompared to the PIT approach.Hurdle Rate for Capital Budgeting Decisions 公式---If RAROC>hurdle rate: value creation from project and accept it;---If RAROC<hurdle rate: value destruction (价值减值) from project and reject it.Adjusted RAROC---it shows excess return per systematic risk---Adjusted RAROC = RAROC - Beta (Rm - Rf)---Excess market return = market return - risk-free rate---ARAROC & Excess market return have same systematic risk---If ARAROC>excess market return: accept the project---If ARAROC<excess market return: reject the project.RAROC approach---a lower confidence level will not likely reduce the amount of risk capital required if the firm has little exposure to operational credit, and settlement risks.---While have a dramatic reduction only if the firm has significant exposure to such risks because large losses would be rare.---In selecting a time horizon for RAROC calculations, risk and return data for periods over one year is likely to be of questionable reliability (可靠性值得怀疑).RAROC Best Practices---focused on the level of profits earned by the firm in relation to the level of risks taken;---A restriction on the firm’s growth due to leverage limitations may result in higher profits because it requires the firm to be “creative” and to optimize a scarce resource (the limited amount of capital available).---Data collection process should be the responsibility of the RAROC team, should be centralized with built-in edit and reasonability checks to increase the accuracy of the data.---Metrics involving credit and market risk, which are defined and objectivity;---however, metrics involving operational risk are not as defined as credit and market risk, so there is a significant subjectivity (主观) and debate (争论).IV. Capital Planning and FrameworkRisk measure used to practice in risk management---VAR: good at to measure absolute risk; not stable, not coherent;---Expected shortfall: good at to measure capital allocation; may or may not stable, hard to interpret;---Standard deviation: not stable, not coherent, simple;---Spectral an distorted risk measure: the least commonly; rarely used;may or may not stable.Three items to consider before risk types can be aggregated in a single measure---Risk metric; Confidence level; Time horizon.Five commonly used aggregation methodologies---1, Simple summation: ignore the complications arising from using different confidence levels; equal weight the all risk type.---2, Constant diversification: same drawbacks as simple summation---3, Variance-covariance matrix: provide a flexible framework; difficult and costly to obtain the estimation of inter-risk correlation.---4, Copulas: difficult to validating parameterization; difficult to build a joint distribution---5, Full modeling/simulation: may provide a false sense of security; high information technology demands.Six qualitative validation processes, Limitation---1, Use test:---2, Qualitative review:---3, Systems implementation:---4, Management oversight:---5, Data quality checks:---6, Examination of assumptions-sensitivity testing:Six quantitative validation processes, Limitation---1, Validation of inputs and parameters:---2, Model replication:---3, Benchmarking and hypothetical portfolio testing: limitation -can only compare one model against another and may provide little comfort that the model actually relects “reality.”---4, Backtesting:---5, Profit and loss attribution:---6, Stress testing:Ten Banks for International Settlements (BIS) recommendations---1, Use of economic capital models in assessing capital adequacy:---2, Senior management:---3, Transparency and integration into decision-making:---4, Risk identification:---5, Risk measures:---6, Risk aggregation:---7, Validation:---8, Dependency modeling in credit risk:---9, Counterparty credit risk: need to consider using additional methods, such as stress testing, to help cover all exposures;---10, Interest rate risk in the banking book:Economic Capital Constraints and Opportunities---Credit portfolio management: used as a means to protect against risk deterioration---Risk-based pricing: used to max the bank’s profitability;---Customer profitability analysis: used to determine unprofitable or only slightly profitable customers---Management incentives: used to motivate managers to participate in the technical aspects of the economic capital allocation process.Seven Principles of an effective capital adequacy process of bank holding company (BHCs) subject to the Capital Plan Rule---1, Risk management foundation; 2, Resource estimation methods; 3, Loss estimation methods; 4, Impact on capital adequacy; 5, Capital planning policy; 6, Internal controls; 7, Effective oversight.The Federal Reserve’s Capital Plan Rule requires BHCs to maintain an effective process for assessing their capital adequacy for BHCs with total consolidated assets of $50 billion or greater.Risk Identification---BHCs should have risk identification processes that evaluate all risk exposures, including: 1, stress condition; 2, changing economic and financial environments; 3, on-and-off balance sheet items; 4, impact on capital adequacy; 4, risk transfer and/or risk mitigation techniques; 5, changes in institutions’ risk profiles due to portfolio quality; 6, reputational risk.Internal Controls---Governance Policy---requires that senior management should furnish the board of directors with sufficient information to comprehend the BHC risk exposures. Capital Policy---offers fundamental guidelines and principles to BHCs for the capital issuance, use, distribution, and planning purposes.---Capital contingency (suspension or reduction in dividends or repurchase programs) are key part of capital policies of BHCs.Stress Testing and Stress Scenario Design---Designing and testing a scenario-related default of a major counterparty.Loss Estimation Methods---Loss estimation involves: probability of default, loss given default, and exposure at default.Net Interest Income Projections---should incorporate changing conditions for balance sheet positions, including: embedded options, prepayment rates, loan performance, and re-pricing rates.V. Financing: Liquidity and LeverageRepurchase Agreements---Contract price = Market value * [1 + (quoted rate * days / 360)]---Collateral is an important counterparty credit risk mitigant (缓释物), posting collateral mitigant credit risk;---Collateral haircuts are important in mitigating (缓释) liquidity risk in repo transactions.---Liquidity management: the process of weighting the cost of its funding against the risk of being left without financing.---Counterparty (credit) risk: the risk of borrower default of non-payment of its obligations.---Special trading: a lender of cash initiates a repo trade in order to receive a particular security (special collateral).---Overnight funding: refers to borrowing and lending in the overnight market.Fed Funds-GC Spread---the different between the federal funds rate and the General Collateral (GC) rate.---the fed funds-GC spread widens when the GC rate falls, or during financial stress/crisis.Special Spread---the different between the GC rate and the special rate.---Small immediately after auctions and large before auctions.The Value of Lending amounts of cash---the Value = amounts * (special spread * during days / 360)The bid-ask spread---is a cost of liquidity---a wider spread indicates lower liquidity; while narrower one means higher liquidity.Liquidity Risk---exogenous (外生) liquidity---endogenous (内生) liquidityConstant Spread Approach, Liquidity-Adjusted VaR, Lognormal VaR---Spread = (ask price - bid price) / 0.5*(ask price + bid price)---use lognormal VaR to calculate the Liquidity-adjusted VaR (LVaR) LVaR to VaR ratio---公式---the ratio increase when: spread increase; confidence level decrease; holding period decreases.Exogenous Spread Approach--公式---Spread volatility increases the liquidity adjustment.Endogenous Price Approach---believe that the liquidity adjustment will also depend on the responsiveness of market prices to our trade: the more responsive themarket price, the bigger the loss.---LVaR to VaR ratio公式---In endogenous price approach, ratio of LVaR to VaR depends entirely on the elasticity of demand and the size of our trade relative to the size of the market (△N/N).Combine Exogenous and Endogenous---Combined(LVaR/VaR)=Exogenous(LVaR/VaR)*Endogenous(LVaR/VaR) Liquidity Discount Approach---assumes that trader must liquidate his of her position within a certain period of time to maximize expected utility, and seeks the best way to do so.---encompasses exogenous and endogenous market liquidity, spread cost, spread risk, an endogenous holding period and an optimal liquidation policy.---three modification: 1, uses an optimal holding period; 2, adds the average liquidity discount to the trader’s losses; 3, has the volatility measure include the volatility of the time to liquidation and the volatility of the liquidity discount factor, as well as the volatility of the underlying market price.Liquidity at Risk---also known as cash-flow-at-risk (CFaR)---max likely cash outflow over the horizon period at a specifiedconfidence level.---A positive value for LaR means the worst outcome will be.---Five factors influence cash flow and LaR: 1, borrowing or lending; 2, margin requirements; 3, collateral obligation; 4, unexpected cash flows; 5, changes in risk management policy.Model Risk---three sources of risks: 1, model contain bugs; 2, may appear linkages between different types of risk; 3, used in wrong way.---leads to market risk (buying overvalued securities that are thought to be undervalued) and operational risk (recording unprofitable trades as profitable).Mapping---Cash flow mapping: greater accuracy---duration-convexity mapping: fewer and less complex computation; reduce costs and data errors.Sources of Liquidity Risk---Transaction (market) liquidity risk: buy or sell an asset will result in adverse price move.---Funding liquidity (Balance sheet) risk: maturity mismatch; withdraw(撤走) credit(拒借); change the terms---Systemic risk: general impairment(损害) of the financial system.---Three types of liquidity risk interact(相互作用).Liquidity Transformation by Banks---Securities lending (using structured credit products as collateral for short-term loans)抵押借款---off-balance vehicles (长期性): asset-backed commercial paper (ABCP); structured investment vehicles (SIVs)Systematic Funding Liquidity Risk---borrowers must be able to refinance in order to repay short-term loans---Leveraged buyouts (LBOs): are generally financed by large loans, called leveraged loans;---Merger arbitrage funds: invest merger trading;---Convertible arbitrage funds: invest convertible bond;Money Market Mutual Funds (MMMF)---provide instant liquidity for their investors;---can write checks and make electronic bank transfers;---are obligated to repay investors/depositors on demand;---do not have to be marked-to-market each day.Collateral Markets---have two important purposes: 1, enhance the ability of firms to borrow money; 2, make it possible to establish short positions insecurities.---four basic forms: 1, margin loans; 2, repurchase agreements; 3, securities lending; 4, total return swaps.Leverage Ratio and Leverage Effect---Leverage ratio = 1 + D/E---Return on equity公式---The effect of increasing leverage = Return on Asset - Return on Debt Margin Loans & Leverage---The Federal Reserve requires an initial margin of 50%.Transaction Cost & Liquidity-adjusted VaR---Transaction Cost---Liquidity-adjusted VaRVI. Banks FailureAccelerate a dealer bank’s liquidity crisis---a counterparties try to reduce their exposure by restructuring existing OTC derivatives with dealer or by requesting a novation.---the flight of repo creditors and prime brokerage clients.---the refusal of repurchase agreement creditors to renew their position. EBA, CCAR, SCAPStress Tests---one of the challenges of designing useful stress tests is coherence (相干性，一致性).Outsourcing Risk & Due Diligence & Contract ProvisionsVII. Basel AccordsModule 1: Basel I---there is no operational riskCookie ratio---Capital requirement (Tier1, Tier2)1996 Amendment---Standardized approach, Internal model-based approachMc---between 3 and 4---the number of exception less than 5: Mc=3---the number of exception greater than 10: Mc=4---the number of exception is between 5 and 10: Mc si between 3 and 4 Backtesting---1-day, 99% VaR over the pervious 250 days.Module 2: Basel II---Operational risk capital & Credit risk capitalOperational risk capital---BIA, SA, AMACredit risk capital---Standardized approach & Foundation internal ratings based (IRB) approach & Advanced IRB approachPillars of Basel II---Minimum capital requirement---Supervisory review---Market disciplinePillars of Solvency II---Calculation of capital requirements---Supervisory review process---Disclosure of risk management information to the marketModule 3: Basel II.5---required banks to calculate two VaRs, the usual VaR: using historical simulation method; stressed VaR: using a 99% confidence level, 250-day period of stressed market conditionsTotal capital charge---is the sum of the usual bank VaR and the stressed VaRIncremental default risk charge (IRC)---Banks are required to estimate a liquidity horizon for each instrument subject to the IRCComprehensive risk measure---takes account of risks in correlation bookModule 4: Basel IIICapital Requirement---Tier 1 euqity capital: at least 4.5% of risk weighted assets at all times---Total Tier 1 capital: at least 6% of ...---Total capital (Tier 1 plus Tier 2): at least 8% of ...Capital Conservation Buffer---7%, 8.5%, 10.5%Countercyclical Buffer---protection for the cyclicality of bank earnings---The buffer can be set to between 0% and 2.5% of total risk-weight assetsBasel III Leverage Ratio---Liquidity coverage ratio (LCR): short-term, 30 days---Net stable funding ratio (NSFR): long-term, one years---NSFR: 分子是要求的变现速度，分子越大说明负债和权益端越稳定，分母是资金实际的变现速度，分母越小就说明资产变现能力越强。
保险专业英语词汇
magnitude 震级
malicious damage 恶意损害
moderate damage 中度破坏
multi-story building 多层建建筑
Munich Re 慕尼黑再
net retained lines 净自留额
risk of mould 发霉险
on deck risk 舱面险
保险业词汇
Terms used in insurance industryaccident
意外事故险
actuarial method
精算法
Advance Loss Profits (ALOP)
With Particular Average （W.P.A.） 水渍险
All Risks 一切险
risk of breakage 破碎险
risk of clashing 碰损险
risk of rust 生锈险
risk of hook damage 钩损险
priority 分保自留额
priority 自付责任
proportional reinsurance 比例再保险
rainstorm 雨暴
rating 费率
reinforced concrete building 钢筋混凝土建筑
finite risk 有限制的风险
flash floods 骤发洪水
flooding of rivers 洪水泛滥
frame structure 框架结构
full coverage 全额承保
full insurance value 足额保险价值
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implementation shortfall method -回复
什么是实施不足方法（Implementation Shortfall Method）
实施不足方法是一种投资策略，旨在帮助投资者最大限度地减少由高成本、高波动性和流动性问题所引起的投资执行成本。
这种方法是量化投资的一个重要组成部分，通过计算投资者的执行成本并进行比较，从而为投资者提供理智和准确的决策依据。
实施不足方法的步骤和流程
实施不足方法通过以下步骤和流程来评估和管理投资者的执行成本：
1. 定义交易目标和约束条件：在开始执行交易前，投资者需要明确他们的交易目标、期望收益和风险承受能力。
这些目标和约束条件将确定投资者为实施不足方法设定的框架。
2. 初始基准价格的确定：投资者需要确定交易开始时的初始基准价格。
这一价格通常是交易单元的平均成本或者市场的加权平均价格。
3. 交易期间的执行成本计算：投资者需要准确计算交易期间的执行成本。
执行成本包括交易费用、滑点和准备资金收益的损失等。
这些成本可以通过交易记录和成本分析工具来确定。
4. 管理交易过程：在交易期间，投资者需要根据市场波动和流动性情况来管理交易过程。
这包括执行交易策略、调整交易量、选择交易渠道等。
5. 交易结束后的基准价格计算：在交易结束后，投资者需要确定交易的最终基准价格。
这一价格通常是交易单元结束时的平均成本或者市场的加权平均价格。
6. 比较和分析：通过比较初始基准价格和最终基准价格，投资者可以获得实施不足成本的准确估计。
这将帮助他们评估自己的交易执行效率，并对投资策略和执行方法进行调整。
实施不足方法的优势和局限性
实施不足方法具有以下优势：
1. 减少交易成本：实施不足方法通过准确计算交易执行成本，帮助投资者降低交易成本。
这将增加投资者的收益并提高投资效率。
2. 提供决策依据：实施不足方法提供了有关交易执行效能的准确信息，帮助投资者做出理性的决策。
这将帮助他们改进投资策略，提高执行效率。
3. 精确评估交易策略：实施不足方法提供了对交易策略的精确评估，并帮助投资者了解策略的盈亏情况。
这将帮助他们决定是否需要优化策略或调整交易方法。
然而，实施不足方法也存在一些局限性：
1. 数据和模型的依赖性：实施不足方法需要大量的数据和复杂的模型来计算执行成本和比较基准价格。
这可能增加投资者的数据需求和计算工作量。
2. 市场波动和流动性的影响：实施不足方法在市场波动和流动性不确定时可能会面临挑战。
这可能导致投资者的执行成本与预期偏离，从而影响投资效果。
3. 实际交易中的困难：实施不足方法在实际交易中可能会面临一些困难，例如交易渠道的选择、市场信息不对称等。
这可能影响投资者的交易执行效率。
总结
实施不足方法是一种帮助投资者降低交易执行成本的重要投资策略。
通过准确计算交易执行成本、比较和分析基准价格，投资者可以提高投资效率
和决策准确性。
然而，实施不足方法也需要投资者处理数据和模型的依赖性、市场波动和流动性的挑战以及实际交易中的困难。
投资者应根据自身情况和目标权衡实施不足方法的利弊，以获得最佳的投资执行效果。