CAS EXAM 9 Flashcards

Decks in this Class (32):

• Bkm Chapter 13 Empirical Evidence On Secu

  BKM Chapter 13 - Empirical Evidence on Security Returns

  Sample Cards:

  test procedure to test capm,

  what should the regression coefficien...,

  early tests completed by researchers ...
  8 Cards
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• Bkm Chapter 15 The Term Structure Of Inte

  BKM Chapter 15 - The Term Structure of Interest Rates

  Sample Cards:

  short rate vs spot rate,

  spot vs forward rates,

  interest rate uncertainty and forward...
  9 Cards
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• Bkm Chapter 16 Managing Bond Portfolios

  BKM Chapter 16 - Managing Bond Portfolios

  Sample Cards:

  what are the six general properties o...,

  what are the three reasons that duration,

  what is the duration of a zero coupon...
  17 Cards
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• Hull Chapter 4 Interest Rates

  Hull Chapter 4 - Interest Rates

  Sample Cards:

  describe treasury rates,

  describe libor,

  zero rates
  4 Cards
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• Hull Chapter 7 Options Futures And Other

  Hull Chapter 7 - Options, Futures, and Other Derivatives

  Sample Cards:

  2003 q9a define an interest rate swap,

  2003 q9b assume that an intermediary ...,

  2003 q9c cite and explain one example of
  7 Cards
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• Noris Asset Liability Management Strategi

  Noris: Asset/Liability Management Strategies for P&C Companies

  Sample Cards:

  describe the three different ways to ...,

  why should a company manage its mvs,

  what is the formula for the duration ...
  8 Cards
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• Feldblum Asset Liability Matching For P A

  Feldblum - Asset Liability Matching for P&C Insurers

  Sample Cards:

  what are the five crucial differences...,

  describe the two matching techniques,

  a loss reserve duration can be calcul...
  15 Cards
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• Hull Chapter 23 Credit Risk

  Hull Chapter 23 - Credit Risk

  Sample Cards:

  define hazard rates,

  define recovery rates,

  why do estimates of default probabili...
  5 Cards
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• Coval Jurek Amp Stafford The Economics Of

  Coval, Jurek & Stafford - The Economics of Structured Finance

  Sample Cards:

  two futures of the structured finance,

  the market for structured securities ...,

  manufacturing aaa rated securities
  8 Cards
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• Cummins Cat Bonds And Other Risk Linked S

  Cummins - CAT Bonds and Other Risk-Linked Securities

  Sample Cards:

  cat bonds,

  cat bonds often are issued to cover t...,

  explain how a typical cat bond is str...
  18 Cards
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• Venter Modeling And Managing Liquidity Ri

  Venter - Modeling and Managing Liquidity Risk

  Sample Cards:

  liquidity risk,

  liquidity management
  2 Cards
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• Academy Report Of Life Liquidity

  Academy - Report of Life Liquidity

  Sample Cards:

  what is liquidity risk,

  possible sources of liquidity risk,

  three levels of liquidity managemetn
  7 Cards
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• Stulz Rethinking Risk Management

  Stulz - Rethinking Risk Management

  Sample Cards:

  what is the lesson of market efficien...,

  why the concept of diversification sh...,

  what are the three major costs associ...
  20 Cards
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• Goldfarb Risk Adjusted Performance Measur

  Goldfarb - Risk-Adjusted Performance Measures for P&C Insurers

  Sample Cards:

  why can standard return on capital me...,

  four income measures,

  limitations of using economic value
  19 Cards
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• Culp Miller Amp Neves Value At Risk Uses

  Culp, Miller & Neves - Value at Risk - Uses and Abuses

  Sample Cards:

  what is var,

  features of var that account for its ...,

  what are the two steps of creating a var
  10 Cards
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• Butsic Solvency Measurement For Risk Base

  Butsic - Solvency Measurement for Risk Based Capital Applications

  Sample Cards:

  what are the criteria risk based capital,

  why probability of ruin is not a adeq...,

  formula for epd and epd ratio
  12 Cards
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• Cummins Allocation Of Capital In The Insu

  Cummins - Allocation of Capital in the Insurance Industry

  Sample Cards:

  why allocate capital,

  how can these line allocations be use...,

  how can these line allocations be use...
  13 Cards
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• Feldblum Pricing Insurance Policies The I

  Feldblum - Pricing Insurance Policies: The Internal Rate of Return

  Sample Cards:

  what are the three simuli for more ac...,

  what are the important differences be...,

  what are the implications of the diff...
  11 Cards
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• Robin Analysis Of Surplus And Rate Of Ret

  Robin - Analysis of Surplus and Rate of Return

  Sample Cards:

  what is policyholder supplied funds,

  what is stockholder supplied funds,

  what are the five types of underwriti...
  30 Cards
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• Ferrari Total Return On Owner S Equity

  Ferrari - Total Return on Owner's Equity

  Sample Cards:

  what is the choice between total asse...,

  insurance leverage and reserve capital,

  what does the insurance leverage fact...
  11 Cards
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• Roth Analysis Of Rate Of Return Without U

  Roth - Analysis of Rate of Return without Using Leverage Ratio

  Sample Cards:

  what is the controversy regarding sur...,

  give an example of different premium ...,

  what are the sources of risk contribu...
  9 Cards
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• Mcclenahan Insurance Profitability

  McClenahan - Insurance Profitability

  Sample Cards:

  investment income when determine rate of,

  different types of participants,

  three choices for the denominator whe...
  8 Cards
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• Bkm Chapter 6 Risk And Risk Aversion

  BKM Chapter 6 - Risk and Risk Aversion

  Sample Cards:

  risk aversion,

  utility function,

  three types of investors
  14 Cards
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• Bkm Chapter 7 Optimal Risky Portfolios

  BKM Chapter 7 - Optimal Risky Portfolios

  Sample Cards:

  two broad sources of uncertainty in t...,

  expected return for a portfolio of tw...,

  risk and return trade offs
  18 Cards
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• Bkm Chapter 8 Index Models

  BKM Chapter 8 - Index Models

  Sample Cards:

  single factor model,

  variance of returns,

  covariance of returns
  16 Cards
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• Bkm Chapter 9 The Capital Asset Pricing M

  BKM Chapter 9 - The Capital Asset Pricing Model

  Sample Cards:

  capital market line,

  risk premium of market portfolio,

  market price of risk
  12 Cards
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• Bkm Chapter 10 Apt And Multi Factor Model

  BKM Chapter 10 - APT and multi-factor Models

  Sample Cards:

  multi factor model,

  multifactor sml,

  the fundamental apt formula
  12 Cards
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• Bkm Chapter 11 Market Efficiency

  BKM Chapter 11 - Market Efficiency

  Sample Cards:

  efficient market hypothesis emh,

  technical analysis,

  fundamental analysis
  15 Cards
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• Bkm Chapter 12 Behavioral Finance And Tec

  BKM Chapter 12 - Behavioral Finance and Technical Analysis

  Sample Cards:

  what are the three major categories o...,

  information processing errors,

  behavioral biases
  9 Cards
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• Panning Managing Interest Rate Risk

  Panning - Managing Interest Rate Risk

  Sample Cards:

  three important points about franchis...,

  managing the interest sensitivity of ...,

  using pricing strategy to manage dura...
  5 Cards
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• Hull Chapter 24 Credit Derivatives

  Hull Chapter 24 - Credit Derivatives

  Sample Cards:

  credit default swap,

  cds credit event,

  cds spread
  12 Cards
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• Kreps Investment Equivalent Reinsurance P

  Kreps - Investment Equivalent Reinsurance Pricing

  Sample Cards:

  large risk load,

  briefly describe kreps para,

  explain why
  4 Cards
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