kthwow

2010년 9월 23일 목요일

weaknesses identified and recommendations for improvement in StressTest

작성자: kthwow 시간: 오전 9:30 댓글 없음:
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  • ▼  2010 (208)
    • ▼  9월 (202)
      • weaknesses identified and recommendations for impr...
      • Rationale for the use of stress testing
      • Moral hazard, adverse selection
      • Power law to measure operational risk
      • Comman data issue related to inaccuracies and biases
      • Loss distribution ( loss frequency & loss severity )
      • Basic indicator approach and the standardized appr...
      • Skew & kurtosis features
      • How the results of scenario can be interpreted as ...
      • Spectral risk measure
      • Expected shortfall
      • Why VaR is not a coherent risk measure
      • the properties of a coherent risk measure
      • VaR
      • relatinoship between economic capital, expected lo...
      • unexpected loss of an asset
      • Objective for quantifying both expected and unexpe...
      • Economic capital
      • The process of parameterizing credit risk models
      • Usage given default & credit optionality
      • The infuence of risky and risk-free parts of an ex...
      • Exposures, adjusted exposures, commitments, covena...
      • Distinguish between expected and unexpected loss
      • How a credit downgrade or loan default affects the...
      • Distinguish between loan and bond portfolio
      • Expected loss
      • Different mechanisms for dealing with sovereign ri...
      • country risk evaluation
      • The differences between credit risk and sovereign ...
      • Sovereign risk
      • Biases that may affect a rating system
      • Through-the-cycle and at-the-point approaches
      • Pro-cyclicality effect
      • Impact of ratings changes on bond and stock prices
      • External ratings
      • Style differences among agencies
      • Traditional Credit Analysis
      • Major risk factors that are relevant for sovereign...
      • Some controversy between an issuer-pay and a subsc...
      • Standard and Poor's and Moody's rating scales
      • The role of rating agencies
      • Summary of various appoaches to scenario analysis
      • The drawbacks to scenario analysis
      • The drawbacks to scenario analysis
      • Event-driven scenarios and portfolio-driven scenarios
      • The purposes of stress testing
      • Stress testing(2)
      • Possible responses when scenario analysis reveals ...
      • Conditional scenario method
      • The advantages and disadvantages of using prospect...
      • Unideimensional and multidimensional scenario anal...
      • How stress testing complements VaR
      • Effect negative convexity
      • Effective duration and convexity of a portfolio of...
      • Interpret and apply convexity
      • Estimation the price change of a security
      • Duration and Convexity Together
      • Convexity measure
      • Dollar convexity
      • Convexity of a fixed income security
      • Contrast DV01 and effective duration as measures o...
      • Effective duration of a fixed income security
      • Calculation of the face amount of bonds required t...
      • Limitations of DV01
      • DV01 "dollar value of an 01 (0.01%)"
      • one-factor measures of sensitivity for bonds
      • Four ways in which measures of fixed income price ...
      • Reinvestment risk
      • The realized return on a bond
      • Coupon effect & Pull-to-par
      • The relationship between coupon rate, YTM, and bon...
      • The price of an annuity and a perpetuity
      • The relationship between spot rates and YTM
      • TI BA2+
      • YTM to bond pricing
      • P-STRIPS and C-STIRIPS (2)
      • Impact of maturity on returns
      • Impact of maturity on bond price
      • Price of a bond using discount factors, spot rates...
      • Computation forward rates give spot rates
      • semi-annual compounded rate of return for a C-strip
      • Impact of different compounding frequencies on a b...
      • Arbitrage oppotunities for fixed income securities...
      • theretical spot rate curve and foward rates based ...
      • P-STRIPS and C-STIRIPS
      • Discount factor
      • Individual and market expressions of the time valu...
      • Hedging activities regarding option positions
      • The relationship between delta, theta, and gamma
      • How to implement and maintain a gamma-neutral posi...
      • Rho
      • Vega
      • Gamma
      • Theta
      • Delta of a portfoliio
      • Dynamic aspects of delta hedging
      • Delta for an option
      • Delta of european stock options , Forward contract...
      • Stop-loss strategy
      • The methods for estimating future volatility
    • ►  8월 (6)

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