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Chunli Liang
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Decks in this class (23)
BKM 6-8: Portfolio Theory
Risk premium 1,
Utility function 2,
Risk averse 3
64
cards
BKM 11
Random walk 1,
Efficient market hypothesis 2,
Weak form hypothesis 3
36
cards
BKM 10: APT and Multifactor Models of Risk and Return
Single factor model of excess ret...,
Apt key propositions 3 2,
Law of one price 3
8
cards
BKM 9: CAPM
Mutual fund theorem 1,
Risk premium on market portfolio 2,
Market price of risk 3
18
cards
BKM 12: Behavorial Finance and Technical Analysis
Behavioral finance 1,
Irrationalities of individuals 2,
Information processing irrational...
14
cards
BKM 14: Bonds
Par value 1,
Coupon rate 2,
Bond indenture 3
38
cards
BKM 15: Term Structure of Interest Rates
Yield curve 1,
Strips program 2,
Pure yield curve vs on the run yi...
10
cards
BKM 16: Managing Bond Portfolios
Relationship between interest rat...,
Macaulay s duration 2,
Modified duration 3
26
cards
BKM 23.4 Swaps
Interest rate swap 1,
Swap dealer profit 2,
Credit risk in swap market 3
4
cards
Panning: Managing Interest Rate Risk
Franchise value 1,
Where franchise value is typicall...,
Equation for net income 3
11
cards
Cummins: CAT Bonds
Cat bond 1,
Early history of cat bonds 2,
Basis risk 3
29
cards
Cummins: Capital
Raroc 1,
If raroc cost of capital 2,
Economic value added 3
20
cards
Butsic: Solvency Measurement
Technical insolvency 1,
When solvency regulation would no...,
Why solvency protection is desira...
29
cards
Goldfarb: Risk-Adjusted Performace
Goldfarb issue with general retur...,
Raroc equation 2,
Alternate measures of income to u...
48
cards
Coval: Economics of Structured Finance
Structured finance 1,
Overcollateralization of junior t...,
Junior tranche vs senior tranche 3
19
cards
Bodoff: Capital Allocation by Percentile Layer
External forces dictating how muc...,
Kreps allocation of capital 2,
Var approach of allocating capita...
15
cards
McClenahan: Insurer Profitability
Opportunity cost to policyholder 1,
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 3
23
cards
Ferrari: Leverage and Return on Owners' Equity
Critical measure of return from s...,
Return on equity ferrari 2,
Ferrari equation pieces 3
15
cards
Robbin: UW Profit Provision
Five types of underwriting profit 1,
Corporate target uw profit provis...,
Breakeven uw profit provision 3
23
cards
Robbin: IRR, ROE, and PVI/PVE
Growth model calendar year roe 1,
Robbin s goals for prices 2,
Equation for underwriting income ...
21
cards
Mango: Risk Load/Game Theory
Var l mango 1,
Cov l n mango 2,
Variance of combined portfolio l n 3
11
cards
Kreps: Riskiness Leverage Models
Desirable quantities for an alloc...,
Riskiness leverage ratio 2,
Riskiness leverage model form 3
15
cards
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Exam 9 Flashcard
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