How Traders Manage Their Risk
Chapter 7
2015. 10. 13
Review 1
What is the definition of delta?
Delta of a portfolio is the rate of change of the portfolio price with
respect to the price of the underlying asset
Delta means the slope of portfolio value at
The Credit Crisis of 2007
Chapter 6
2015. 9. 22
Review 1
What is a swap contract?
An agreement between two parties to exchange two cash flows in several
times in the future dates
Plain vanilla IRS(interest rate swap) is most common
2Y IRS Pay position :
How Traders Manage Their Risk
Chapter 7
2015. 10. 6
Review 1
What is ABS CDO?
What is default correlation?
CDO is created from the
mezzanine tranche of ABS that
were created from the subprime
mortgage
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
A measure
Interest Rate Risk
Chapter 8
2015. 10. 20
Review 1
What is gamma?
Gamma is the rate of change of delta with
respect to the price of underlying asset
It is the second derivatives of the portfolio
with respect to asset price
Gamma measures the delta hedging
Introduction
Chapter 1
2015. 9. 3
Goals
Risk and Return
Efficient Frontier
CAPM
Beta/Alpha
2
What is Risk?
Risk
The potential of losing something
of value, against the potential to
gain something of value
Danger
The exposure to loss or
injury, the state o
Correlation and Copulas
Chapter 11
2015. 11. 17
Review
What is the EWMA method?
Basic method : assigning equal weights to all observations
EWMA : assigning different weights to the observations
The weights decline with a rate as we move back through time
Volatility
Chapter 10
2015. 11. 12
Review 1
How do we estimate the volatility from real data?
Implied method : the volatility embedded in the current option price
Implied volatility reflects the expected or predicted level of asset behavior by
market par
Trading in Financial Markets
Chapter 5
2015. 9. 15
Review 1
What is CAPM?
The excess expected return over the risk free rate required on the
investment is beta times the excess expected return on the market
portfolio
E (RP ) RF [E (RM ) RF ]
What are beta
Introduction
Chapter 1
2015. 9. 8
Review
What is the mean, standard deviation curve of two risky asset
portfolio?
B
16
Mean P w11 w 22
Standard deviation
P w12 12 w 22 22 2w1w 2 1 2
The diversified investment can reduce
the risk than individual investmen
The Credit Crisis of 2007
Chapter 6
2015. 10. 1
Announcement
1st Test
When : 10/8(Thu) on class
Range : Ch.1/5/6
No
midterm exam
Make-up
class
When : 10/20(Tue) 14:30-15:45
Review 1
Explain credit default swap(CDS) contract and meaning of CDS
premium
Market Risk VaR :
The Model Building Approach
Chapter 15
2015.12.10
Announcement
2nd
Test
When : Dec 11th (Fri.), 13:00 ~ 14:15 (75 min.)
Where : BAB 210 (Trading Room)
Problem : Computing Market VaR
3rd Test (Final Exam)
When : Dec 18th (Fri.), 13:00 ~
Value at Risk &
Expected Shortfall
Chapter 12
2015. 11. 26
Reviews 1
What is the definition of VaR?
Definition : The worst loss over a target horizon with a given level of
confidence
Two parameters : a time horizon (), a confidence level ()
VaR is the los
Trading in Financial Markets
Chapter 5
2015. 9. 17
Previous Review
What kinds of markets for trading financial instrument are there?
Exchange-traded market : The buyer and seller are trading the standardized
deal through the exchange, typically with the b
Market Risk VaR :
The Historical Simulation
Approach
Chapter 14
2015.12.03
Announcement
2nd
Test
When : Dec 11th, Fri.(Tentative), 9:00 ~ 10:15 (75 min.)
Where : BAB 210 (Computer Room)
Problem : Computing Market VaR by using standard, EWMA
and volatilit
Market Risk VaR :
The Model Building Approach
Chapter 15
2015.12.08
Announcement
2nd
Test
When : Dec 11th (Fri.), 13:00 ~ 14:15 (75 min.)
Where : BAB 210 (Trading Room)
Problem : Computing Market VaR
3rd Test (Final Exam)
When : Dec 15th (Tue.), 10:30 ~
Value at Risk &
Expected Shortfall
Chapter 12
2015. 11. 24
Review
How to get the historical correlation based on EWMA
model?
The formula for updating a covariance estimate in EWMA model is
with the weight declines as time moves back
As EWMA model, the for
Volatility
Chapter 10
2015. 11. 05
Review 1
What is a definition of duration and a meaning of it?
A duration of the bond is given by
where is a bonds yield and is its market price
A duration is an expected maturity of bond, it measures how long the
bondho
Value at Risk &
Expected Shortfall
Chapter 12
2015. 12. 01
Reviews
VaR
Compare the VaR and the expected shortfall(ES)
VaR is a loss level during time period that we are % certain will not
be exceeded
VaR is the answer of How bad can things get?
VaR cannot
Correlation and Copulas
Chapter 11
2015. 11. 19
Review 1
How to measure dependence?
Covariance between two variables and is defined as
The correlation coefficient between two variables and is defined as
Explain independence between two variables
Two varia
The Credit Crisis of 2007
Chapter 6
2015. 9. 24
Review 1
Describe examples of exotic products
Asian option : the payoff depends on the average price of the underlying
asset
Barrier option : the payoff depends on whether the underlying assets price
reaches
Course Schedule (all sections)
Accounting 312: Spring 2017 Fundamentals of Managerial Accounting
Week
1
2
3
4
5
6
7
8
Date
T/W
Jan 17/18
M/Th
Jan 16/19
M/T
Jan 23/24
W/Th
Jan 25/26
M/T
Jan 30/31
W/Th
Feb 1/2
M/T
Feb 6/7
W/Th
Feb 8/9
M/T
Feb 13/14
W/Th
Feb
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
Circle the first letter of your last name
HDF 322: Financial Goals
Name: _
Instructions. Type your answer the following questions. Note: this assignment will be one of the few that will not be returned w
Free Tax Prep & Filing
2017 Locations and Schedule
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BOW-TIE RISK ANALYSIS METHOD
Possible Causes
Actions to
Actions to
Reduce _
Reduce _
Possible Consequences
Cause 1
Consequence 1
Cause 2
Cause 3
_
Detailed Description
Consequence 2
Basis of Liability Risk
The Law
Statutory Law
Common Law
Civil Loss
Criminal
Tort Liability
Intentional Act
Contract Liability
Unintentional Act
Strict Liability
Jail / Fine / Both
Civil Action
Running head: Response to videos
Response to videos
Name:
Institution:
Course:
Date:
Response to videos
2
Leadership
One of the theories that I would highly acknowledge is the contingency theory of
leadership. The theory ascertains that an effective leade
Running head: Procurement
Procurement
Name:
Institution:
Course:
Date:
Procurement
2
Supply Chain Management (SCM) can be defined as the oversight of information,
finances and materials as they change ownership from one party to another for example from a