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  • 2015 FRM一级公示表

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    sony k
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    FRM Part 1 Schweshers quick sheet

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    2015_FRM一级公示表

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    FRM Part 1 Schweshers quick sheet

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    54 vues6 pages

    2015 FRM一级公示表

    Transféré par

    sony k
    FRM Part 1 Schweshers quick sheet

    Droits d'auteur :

    © All Rights Reserved
    Téléchargez comme PDF ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    sur 6
    SCHWESER’S QuickSheet™ Critica CONCEPTS FOR THE 2015 FRM” Exam FOUNDATIONS OF RISK os ‘Types of Risk Key dsses of ik include markers, edit. ik, quis, operational risk, egal and regulatory snk, busines isk sratgie isk, and reputation rk 1 Marke rik nade eet ae isk equy price ‘ie foreign exchange rk and commodity price ‘ik, + Chri inctdes defo is, bankrupey sik, downgrade rik, and element ik, + uy id inldes fading uy snd aig hui ik Enterprise Risk Management (ERM) ‘Compichensive and intgated Framework for managing firm sks in onder to mec business objectives, vinimize unexpected earnings ‘lati, and maxisize Rem vale, Benefis include (1) increased organizational effeivenes, (2) beter tk reporting, and (3 improved business performance Risk Appetite “Amount and ype of ska Gem is willing and able to acept to pursue busines objectives I must ‘ot exceed the maximum amoune of risk he em can take (rik capaci Diversifiable and Systematic Risk “The par of the vou ofa singe secureys returns thats uncorrelated with he volatility of the market porflio is that ecu’ diversifiable isk The prt of a individual sccuriy’s isk that arises because of the postive covariance ofthat Secures ecuns with overall market recurs is called ts systematic isk A sandardized near of steric ik i bet berm, = SBR Capital Asset Pricing Model (CAPM) In equilibrium, all inveors hol a porto of ay assets hat has he same weight asthe ‘marke porto. The CAPM is expressed in the equation of the security market line (ML). For any single security of polio of securities the expected retuen in equilibrium, EAR)) = Ry + ben E(R yg) Rp] CAPM Assumptions * Investors seck to maximize the expected uy of cir eath ac the end ofthe period, and all Investors have che same investment horizon, Invests ar ik aver Investors only corside the rsan and wandard ovation ofrecrns which imply asses the asset rturns are normaly dsb). Tnestors can borrow and lend atthe ume iste Investors have che ame expeetitins concerning + There ae neither wes nor ansacions cot and asset are infty dvsibl. This fen refered toss “perfec marks” Asbitrage Pricing Theory (APT) The APT describes expected recurs a linear funtion of exposures to common rk tors E(R)=R,+,RP, + BRP, +. RD, wher B= Pero bes for stock RP, = sk premium associated with sk Fcrrj “The APT defines the strvetare of retuos but doesnot deine which factors shouldbe used in the mode. ‘The CAPM isa special cave of APT wit only one factor expotare—the matket ak premium The Fine French shee factor mode describes returns as nes function ofthe market index return, frm size, and book-t-matket Factors. Measures of Performance “The Treynor messes equal othe risk premium divided by beta, or systematic isk [em=t| as “The Sharpe measure is equal the rk premium dlvided by the andard deviation, oF toa sk Exp) — Ry] Treynor ences Sharpe mesure “The Jensen measure (ka. Jensen’ alpha or jst alpha) ithe set exces return over the return predicted hy the CAPM: OFTEN) Ry + Sy) Rel The information ratio is esentialy che alpha of the managed portal elaive co its benchmark livid by the racking err E1Rp)— Ep} veacking vo | R “The Sortno ratio is similar roche Sharpe rato except we replace the cskfee eae with rinimuraceeprable return, denoted Rand swe replace the standard deviation with ype of| semcandaed devon, EIR) =R, Jemisandard devaion ec Financial Disasters Dial Scart: borrowed $300 milion in oe eee ater exploiting 2 aw in the system for computing the ‘ale of cola Kidder Peabody: Joseph Jet reported substanvial tfc profi; after che fake profits were ‘eect, $350 million in previously reported tins had tobe reverse, ‘Bering rogue trader, Nick Leeson, took speculative derivative posiions (Nikkei 225 utes) in an actempr co cover trading losses; Leeson had dual responsibilices of trading and supervising setelement operations, allowing him to ide trading lose: lessons include separation of duties and management oversight “Allied is Bank corencytraer, Job Rasa, tid 691 milion in lose: Resa bullied back fice workers into aot olorng-up on wade ‘confirmations for ake des UBS: equity derivatives busines lox milions due to incorrect modeling oflong-dated options and its stake in Long,Term Capital Management Socdé Gta jonios tae, Jerome Keri, participated in unauthorized wading aciviy and Bid activity with ke offetng transactions fraud revi loses of $7.1 bilon Mesllselichafi shorter atures contacts tsed ro hedge long crm exposure inthe petroleum markets staceend-ol hedging Satay: marking o market on Fatures cased huge cash How problems Long-Term Capital Management ede fund that used relative vale tates wich enormous mounts of leverage: when Rusia dfslted on its debe in 1998, the increase in yield preads Cased huge loses and enormous cok fw problems fom relzing marking o market fess: lessons ince ack of diversification, ‘model rik, leverage, and funding and rading Tigi risks ‘Bankers Tras: developed devvaive structures thar were inensonally complex in eaped phone conversations, staff ragged about how badly they food lens JPMorgan and Citigronp: esi counterparts in Enos derivatives wansactons agreed to pay a $286 million fin for aisting with Faud against Enron investors. Role of Risk Management 1. Ase al ks Faced by the Bm 2 Communicate these rss 0 rsk-aking decision makers '3. Monitor and manage ches ss Objective of sk management ito recogite that age loses ae possible and 0 develop contingency plans that deal with such loses if they should occur Risk Data Aggregation Defining, gathering, and processing risk data for measuring performance agains risk volerance Bencits of fective risk data aggregation and ‘porting systems + "Incieasesabiliy 1 anccpaeproblers enifiesoute eo Banca ech * Improves reslabitry in event of bank sess, 1+ Tnretes efile reduces cance of ou and increas profs GARP Code of Conduct ‘Sets forth principles elated to ethical behavior ‘within the rise management profession. Tescreses ethical behavior inthe Following aes Principles + Professional iweprity and ethical onder Confices oF ners + Confideniaiy aro cop ‘otGetonal Sandsrde + Fundanental responsibilities «Adherence ro best jractces Violation of the Code of Conduct may result in eemporary suspension or permanent removal fom GARP membership. In addition, violations could lad oa evocation of che righ ose the RM designation CS TMeS hy Probabilities aconina probaly (arial pcb) is the probably of an event ocutng. Candia prea, PA |B), s the probaly of mere Acting ie at een Bhasxcuel Bayes’ Theorem Updates the prior probaly for an event in response tothe ata fnew information. v1) rajo)= "C1 ray Expected Value ‘Weighted average ofthe posible outcomes of ‘random variable, where the weights are the probabilities tha the outcomes will acu. Pe Seis = Rede +a tort Pn Variance Provides a measure ofthe exten of the dispersion in the values ofthe random variable around the mean, The equate root of the variance is called the standard deviation variance(X) = EX —u)*] Covariance Expected vale of the produc ofthe deviations ‘of wo random variable from thee respective ‘expected vals Cov(Ri Rj) = EAR; Correlation Measures the strength ofthe linear relationship ‘beoneenewo random variables. ranges from : Gor( Ri.) ~etRi}e(R) ‘Sums of Random Variables WXand Yate any random variable: OK +) = E00) + EO) and Yar independent ezndom variables Vari + ¥) = Var) + Var) fXand Yace NOT independent: Var0¥ + ¥) = Var) + Var) +2 « Covl¥) Skewness and Kurtosis ‘Skewes, o shew, refers to the extent vo which a Aiseibution isnot symmetrical. The skewness of 2 normal ditibuion is equal to zero +A postive seed ditcbuton is characeived by ‘many outs in che upper tegion, oF ight ail + A neato sewed diibucon has a 0 Gane cone oF conv etna. DProfeesonal Seandarde ‘Fundamental reposts © Adherence sx he practices Violations ofthe Code of Conduct may result in temporary suspension or permanent removal From GARP membership. In addon, violations ‘ould lead roa revocation af dhe sigh use the FRM designation, ULTRA) Probabilities Unconditional probability (agioal probabil) is the probability of an event accueing Conditional probabil, P(A), isthe probity of an event A occuring given tha event B has occured Bayes’ Theorem Updates the prior probably for an eve in response othe arial of aew information PO!) PU) =A Expected Value ‘wecie erate peter Sr eter eee eee eee ee = Socom = reyes Peas tot Men ‘Variance Prvilera meine ofthe xen of the diperion inthe values ofthe random aileron the ee) ree saan) = EIN) Covariance Expected value ofthe produc ofthe deviations of ewo random variables Fim thie respective expected values, CoRR) Correlation ‘Measures che strength ofthe linear easionship berween two fandom variables. Ic ranges from —1 trl UR; ~ BORDER) ~ 1R Ih : conte) Col) = Fete) Sums of Random Variables If and Yate any random vsiable: EX + Y) = EX) + EY) I¢Xand Yare independent random variables ‘VarfX ¥) = VarX) + Vat IfXand Yare NOT independent: VavX- Y) = Var00 « Var) «2 x GovOX¥) ‘Skewness and Kurtosis ‘Skewness. of skew, refers o the exten 0 which a seribution isnot symmetrical, The skewness of normal ditributon is eqeal oer 1A pastel showed ditibtion is characerzed by many ours in tbe uppet eon, o fight al. +A epi shed detion ha 3 Lspropertionatly ge amount of otic that Fal within lower ef il, Kress isa mesure ofthe degree to which a dsibucion is more oles “peaked” chan a ‘normal disribution Exes karti kurtosis —3 1 Leptokurie describes a dsributon hat more peaked than 3 normal dion + Playhut refers to astbtion tai es petkd, ora chan a norma ditbion, Desirable Properties of an Estimator + An anbined estimators one for which the capected vale ofthe eximator cual the faamese you ze ying to sina +n unbiased estimator ao fice if the ‘ariance of sampling dsriburion is smale chan All the other unbiased eimai ofthe parameter ofthe paramere existe inerescs she sample + Appoint ewimate shuld be a ine etazor when fea be uid ae Tinea Function of sap da. Continuous Uniform Distribution Distribution whore dhe probability of X oceusing ina posse range ithe lngsh ofthe ange felatve to che total ofl possible values. Levting d4and bbe the lower and upp limits ofthe ‘uniform distibuion, respectively then for asx, 0 poTHES TESTING conte. Totaled ere rere whether value ie diferent from another value. For example: Hy: =0 versus Hy: 40 ‘TDistribution ‘The reisvibutionisa bell-shaped probability lisibution thats symmetrical about its mean. leis he appropriate distribution to ws when ‘constructing confidence intervals bated on smal samples fom populations with unknown tuarinee and normal, or approximately normal, VaR + Popular mestice orp lng wth VAR. 1 ES calokatwn ax condiinal VAR or expeted talon + Wolke VaR. ES has the abit sas the cahetent Sk msnine property afb Binomial Option Pricing Model ‘Aenestep binomial models best described within 2 two-state world where the price ofa tock wll either go up once or down once, ad the change will occu one step aead atthe end ofthe bolng period Inthe ro prod binvmial model nd m= petiod moves, the ree i expanded co provide For 2 recer mimic of potential ocome:. ‘Sep 1: Caesate option payoffs athe nd of al ‘Sp 2: Clete option acs using isk-nvaal probabilities oft sizeof up move = U =" ‘Sue 3: Discount to today usin risk fee rte. -, canbe altered so that che binomial model ‘ch price options on socks with dividends, stock indices, currencies, and future. ‘Stok with dividend ond tech indies place with 2, where qs the dividend yield of tock ‘or sock index. Gurenis replace €* with 2%, whet ithe forcig isk fe ae of interes ans replace ¢¥ with 1 since artes ae ‘considered zero growah instruments. Black-Scholes-Merton Model Sp x N(d,)— Xe" Nd) p= Xe™NG-d,)~SpN(-d)) where a, -nbblsleosseter sock reuen volley cumulative normal probabilicy Del eximates the change in value for an option fora one unit change in stock price. 1 Call dele erween 0 and 1s ners stock price increases. Cll dela closer 0 for fr our ofthe money calls dose | for dep in-he-money cals Puede between 1 and 0: incest rom I r00 as sock price increases. Puede coe 0 for Far out oF the money pts: dose =I for dep in-he-money put. ‘The dla of forward contacts equal © I, “The dela of furs contact equal eo 27 ‘When the underlying asset pays dividend, 4, the eka muse adjsced. If dividend yield exis, ‘eka of call equals » Nd), del of put equals ‘bc ING) ~ Hs dela af forward equals and eka of ftures equals" Tht: ove decay. change in value ofan option for aone-unit change ia time: move negative when ‘option sac-the-money and closer expiration. Ganag tte of change in dle 8 undesying stole price changes: largest when option is at-the mone. Nee: change in value ofan option fora one-unit. change in vlan; largest when option is at-he- ‘money le to 0 when option is deep in- or out ofsthe-money. ho: sestvty oF option’ price vo changes in the rik ie ae largest for in-the-money options. Dela-Neatral Hedging racers Kae grees ere postion, purchase sates of stock equal wo dela « ‘umber of options sold + Only appropriate for mal change inthe vale of the underlings *+ Gamma can correct hedging er by protecting gains large movements in ast pie ‘+ Camma-neural prion are crested by matching pordolo gamma with an abeing option psion. Bond Valuation “There are hte eps in the bond valuation proces: ‘Sie I: Esimate the ash fls. Fora bond there are yes of eat lows: (I) the anna 090 ETO nnd. ‘or semiannual coupon payment and (2) the recover of principal at maui or ‘when the bond seed. Sup 2: Darrin he apprprae dicot rte The ppronimate dacoane rate canbe ether the Bond’ yi to mataiy (YTM) oa series of pot ate. Sip 3° Cale tbe PV ofthe exited ah fl “The PV is determined by discounting the Bons ah ow stream bythe appropriate discount rte Clean and Dirty Bond Prices ‘When «bond is purchased the buyer must pay any acer interest (A) cane ehough the Setlement date of days fom lst coupon to teste dae ‘A= 28020) oF dayin coupon period en rice bon pie who acre itr. Din pri incade scred interes pce thelr of te bond es be paid wo ve oP covers. Compounding Saeco Fy, =Pvo[1+ wher: = annual rte ‘compounding periods por year yeu Continuous compounding: Vy, =P" Spot Rates ‘Repetiod soe rte, denoted a 2) the yield to maturigy ona eo-oupon bond that matures in tyr Tecan be calolted sig a nancial caer or by asin the Following fom (Gosuming periods are semannuaD, where diva discount fet 4) =2| (a0! Forward Rates Forward rates are inceret rates chat span Fuxure periods {+ forward rave) = Periodic yield" (1+ petodic yield) Realized Return “The gross realized rein for a bond is its end-of- period total value minus is beginning-of period value divided by is beginning of period value BY,+C,~ BV BV “The net realized return fora bond is its gross realized rerun minus per period financing cos ‘Yield to Maturity (YTM) ‘The YIM of afxed-income sccuiyis equivalent to its internal rae of rerurn. The YTM is the iscoune rate thar equates the preset value of al ‘ath flows associated with the instument to its Rute price. The yield co maturity assumes cash ows vill be reinvesced atthe YTM ad assumes that the bond wil be eld uni mata. Relationship Among Coupon, YTM, and Price coupon ate> YTM, bond price will be grester than pa value: premio bond. coupon rate

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