1
Q
Put Call Parity
A
Assets - call = risk free bond - put
- > firm’s debt = risk free bond - put
- > firm’s equity = assets + put - risk free bond
2
Q
Morton’s Structural Model
A
- a firm’s risky debt is the combination of owning risk free debt and writing a put option on the firm’s assets
3
Q
Unlevering Firm equity volatility
A
σassets ~ σequity * (equity value / asset value)
CAIA Formulas
flashcards
Decks in class (27)
# Cards
-
2.3 - Quantitative Foundations8
-
2.4 - Statistical Foundations12
-
2.5 Measures of Risk and Performance17
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2.6 Foundations of Financial Economics19
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2.7 - Benchmarking and Performance Attribution3
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2.8 - Alpha, Beta and Hypothesis Testing5
-
2.9 - Regression, Mulrivariate and Non-linear Methods3
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3.1 - Natural Resources and Land6
-
3.2 - Commodity Forward Pricing6
-
3.3 - Commodities: Applications and Evidence2
-
3.4 - Operationally Intensive Real Assets2
-
3.5 - Liquid & Fixed Income Real Estate7
-
3.6 - Real Estate Equity Investment2
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4.1 - Structure of the Hedge Fund Industry2
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4.2 - Macro and Managed Futures Funds4
-
4.5 - Equity Hedge Funds3
-
4.3 - Event Driven Hedge Funds1
-
4.4 -Relative Value Hedge Funds7
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4.6 - Funds of Hedge Funds1
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5.1 - Intro to Private Equity1
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5.2 - Equity Forms of Private Equity1
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5.3 - Debt Types of Private Equity1
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6.1 - Introduction to Structuring3
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6.2 - Credit Risk & Credit Derivatives4
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6.4 - Equity Linked Structured Products3
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7.1 - Cases in Tail Events1
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7.4 - Portfolio Mgmt, Alpha and Beta2
