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Ying Yuan
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Decks in this class (32)
BKM Chapter 13 - Empirical Evidence on Security Returns
Test procedure to test capm,
What should the regression coeffi...,
Early tests completed by research...
8
cards
BKM Chapter 15 - The Term Structure of Interest Rates
Short rate vs spot rate,
Spot vs forward rates,
Interest rate uncertainty and for...
9
cards
BKM Chapter 16 - Managing Bond Portfolios
What are the six general properti...,
What are the three reasons that d...,
What is the duration of a zero co...
17
cards
Hull Chapter 4 - Interest Rates
Describe treasury rates,
Describe libor,
Zero rates
4
cards
Hull Chapter 7 - Options, Futures, and Other Derivatives
2003 q9a define an interest rate ...,
2003 q9b assume that an intermedi...,
2003 q9c cite and explain one exa...
7
cards
Noris: Asset/Liability Management Strategies for P&C Companies
Describe the three different ways...,
Why should a company manage its mvs,
What is the formula for the durat...
8
cards
Feldblum - Asset Liability Matching for P&C Insurers
What are the five crucial differe...,
Describe the two matching techniques,
A loss reserve duration can be ca...
15
cards
Hull Chapter 23 - Credit Risk
Define hazard rates,
Define recovery rates,
Why do estimates of default proba...
5
cards
Coval, Jurek & Stafford - The Economics of Structured Finance
Two futures of the structured fin...,
The market for structured securit...,
Manufacturing aaa rated securities
8
cards
Cummins - CAT Bonds and Other Risk-Linked Securities
Cat bonds,
Cat bonds often are issued to cov...,
Explain how a typical cat bond is...
18
cards
Venter - Modeling and Managing Liquidity Risk
Liquidity risk,
Liquidity management
2
cards
Academy - Report of Life Liquidity
What is liquidity risk,
Possible sources of liquidity risk,
Three levels of liquidity managemetn
7
cards
Stulz - Rethinking Risk Management
What is the lesson of market effi...,
Why the concept of diversificatio...,
What are the three major costs as...
20
cards
Goldfarb - Risk-Adjusted Performance Measures for P&C Insurers
Why can standard return on capita...,
Four income measures,
Limitations of using economic value
19
cards
Culp, Miller & Neves - Value at Risk - Uses and Abuses
What is var,
Features of var that account for ...,
What are the two steps of creatin...
10
cards
Butsic - Solvency Measurement for Risk Based Capital Applications
What are the criteria risk based ...,
Why probability of ruin is not a ...,
Formula for epd and epd ratio
12
cards
Cummins - Allocation of Capital in the Insurance Industry
Why allocate capital,
How can these line allocations be...,
How can these line allocations be...
13
cards
Feldblum - Pricing Insurance Policies: The Internal Rate of Return
What are the three simuli for mor...,
What are the important difference...,
What are the implications of the ...
11
cards
Robin - Analysis of Surplus and Rate of Return
What is policyholder supplied funds,
What is stockholder supplied funds,
What are the five types of underw...
30
cards
Ferrari - Total Return on Owner's Equity
What is the choice between total ...,
Insurance leverage and reserve ca...,
What does the insurance leverage ...
11
cards
Roth - Analysis of Rate of Return without Using Leverage Ratio
What is the controversy regarding...,
Give an example of different prem...,
What are the sources of risk cont...
9
cards
McClenahan - Insurance Profitability
Investment income when determine ...,
Different types of participants,
Three choices for the denominator...
8
cards
BKM Chapter 6 - Risk and Risk Aversion
Risk aversion,
Utility function,
Three types of investors
14
cards
BKM Chapter 7 - Optimal Risky Portfolios
Two broad sources of uncertainty ...,
Expected return for a portfolio o...,
Risk and return trade offs
18
cards
BKM Chapter 8 - Index Models
Single factor model,
Variance of returns,
Covariance of returns
16
cards
BKM Chapter 9 - The Capital Asset Pricing Model
Capital market line,
Risk premium of market portfolio,
Market price of risk
12
cards
BKM Chapter 10 - APT and multi-factor Models
Multi factor model,
Multifactor sml,
The fundamental apt formula
12
cards
BKM Chapter 11 - Market Efficiency
Efficient market hypothesis emh,
Technical analysis,
Fundamental analysis
15
cards
BKM Chapter 12 - Behavioral Finance and Technical Analysis
What are the three major categori...,
Information processing errors,
Behavioral biases
9
cards
Panning - Managing Interest Rate Risk
Three important points about fran...,
Managing the interest sensitivity...,
Using pricing strategy to manage ...
5
cards
Hull Chapter 24 - Credit Derivatives
Credit default swap,
Cds credit event,
Cds spread
12
cards
Kreps - Investment Equivalent Reinsurance Pricing
Large risk load,
Briefly describe kreps para,
Explain why
4
cards
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CAS EXAM 9
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