FRM 2021 Schweser Quicksheet Part II更多资料敬请期待.pdf
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- 2021-04-16 发布|
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HWESER' C r it ic a l C o n c e pt s f o r t h e 2021 FRM® E x a m MARKET RISK MEASUREMENT • Mean reversion rate, a, is expressed as: r(2) = -y/(l + q)(l + *2 ) ~ 1
AND MANAGEMENT St — St—x = a(p — St—j ) • The (3 coefficient of a regression is equal to the t(3) = yj( 1 + q)(l + ^ R l + — 1
Value at Risk (VaR) negative of the mean reversion rate. Convexity Effect
VaR for a given confidence level occurs at the Autocorrelation All else held equal, the value of convexity
cutoff point that separates the tail losses from the • Measures the degree that a variable s current value increases with maturity and volatility.
remaining distribution. is correlated to past values. Term Structure ModelsHistorical simulation approach: order return • Has the exact opposite properties of mean reversion.