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Steve Giusti
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Decks in this class (23)
BKM 6-8: Portfolio Theory
Risk premium,
Utility function,
Risk averse
64
cards
BKM 11
Random walk,
Efficient market hypothesis,
Weak form hypothesis
36
cards
BKM 10: APT and Multifactor Models of Risk and Return
Single factor model of excess ret...,
Apt key propositions 3,
Law of one price
8
cards
BKM 9: CAPM
Mutual fund theorem,
Risk premium on market portfolio,
Market price of risk
18
cards
BKM 12: Behavorial Finance and Technical Analysis
Behavioral finance,
Irrationalities of individuals,
Information processing irrational...
14
cards
BKM 14: Bonds
Par value,
Coupon rate,
Bond indenture
38
cards
BKM 15: Term Structure of Interest Rates
Yield curve,
Strips program,
Pure yield curve
10
cards
BKM 16: Managing Bond Portfolios
Relationship between interest rat...,
Macaulays duration,
Modified duration
26
cards
BKM 23.4 Swaps
Interest rate swap,
Swap dealer profit,
Credit risk in swap market
4
cards
Panning: Managing Interest Rate Risk
Franchise value,
Where franchise value is typicall...,
Equation for net income
11
cards
Cummins: CAT Bonds
Cat bond,
Early history of cat bonds,
Basis risk
29
cards
Cummins: Capital
Raroc,
If raroc cost of capital,
Economic value added
20
cards
Butsic: Solvency Measurement
Technical insolvency,
When solvency regulation would no...,
Why solvency protection is desirable
29
cards
Goldfarb: Risk-Adjusted Performace
Goldfarb issue with general retur...,
Raroc equation,
Alternate measures of income to u...
48
cards
Coval: Economics of Structured Finance
Structured finance,
Overcollateralization of junior t...,
Junior tranche
19
cards
Bodoff: Capital Allocation by Percentile Layer
External forces dictating how muc...,
Kreps allocation of capital,
Var approach of allocating capita...
15
cards
McClenahan: Insurer Profitability
Opportunity cost to policyholder,
Why investment income on surplus ...,
3 bases to use in calculation of ...
10
cards
Feldblum: IRR Models
Three stimuli for more accurate p...,
Why an insurer would not target a...,
Markets for insurance transactions
23
cards
Ferrari: Leverage and Return on Owners' Equity
Critical measure of return from s...,
Return on equity ferrari,
Ferrari equation pieces
15
cards
Robbin: UW Profit Provision
Five types of underwriting profit,
Corporate target uw profit provision,
Breakeven uw profit provision
23
cards
Robbin: IRR, ROE, and PVI/PVE
Growth model calendar year roe,
Robbins goals for prices,
Equation for underwriting income ...
21
cards
Mango: Risk Load/Game Theory
Var l mango,
Cov l n mango,
Variance of combined portfolio l n
11
cards
Kreps: Riskiness Leverage Models
Desirable quantities for an alloc...,
Riskiness leverage ratio,
Riskiness leverage model form
15
cards
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Exam 9
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