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23 Cards in this Set

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In how many parts the Anlage Risiko is estimated. list all details risk parameters (5) ?
two Parts
1. Ex-post - risk adjested return
(Sharpe Ratio, Information Ratio)
2. Ex-ante - risk predictions
(Volatility, Tracking Error, Value-at-risk)
Properties of a Normal Distribution , list 4?
1.Skewness (asymmetry) = 0
2.Kurtosis = 3
3.Mean, Median and mode coincide
4.Linear combination of two or normal variable is still a normal variable.
ref Page 19 Handout CPD
Probablity Ditribution
12,3 sigma bereich ?
1-Sigma betrich = 68.2
2-Sigma betrich = 95.5
3-Sigma betrich = 99.8
Z-werte with Probability Distribution ?
2-tail with Confidence intervals 90%, 95% , 99%
Z_0.05 = 1.645
Z_0.025 = 1.96
Z_0.005 = 2.58
Tracking Error ?
Tracking errors are reported as a "standard deviation percentage" difference. This measure reports the difference between the return you received and that of the benchmark you were trying to imitate.
Standerd Deviation Formula with mean return as Benchmark return
what are the parameters for VAR ?
Condfidence Interval = 99%
Halteperiode : 20 Haneltage
Beobachtungsperiode : min 1 Year
Berechnungsarten der VAR ? (list 3)
1. Varianz-Kovarianz
2. Historische Situation
3. Monte-Carlo
VAR Formula with Varianz-koverianz Method ?
Var = X * (small-sigma*Z - mue)
drive self ? (Rendite in minus bereich)
Historische Situation Method ?
3 Properties
1. Keine Annahme der Normalverteilung
2. Anhamne mit Historische Situations ist , dass Zukunft die Vergangenheit repitieren wird.
3. Hier braucht man mindestens Beobachtungen von 1 Jahr.
What is the VAR calculation formula for Delta-Gamma-Method for Options ?
VAR (options) = (detla) * VAR(basevalue) - 0.5 * (gamma) * VAR(basevalue)^2
Was sind die VAR Problemstellungen ?
Picture from Iphone (Page 12 Script : Grundlagen Anlagerisiko-Messung)
What is a Fat tail Problem ?
When the realised loss is more the estimated short-fall risk. and further realised loss are not more with short fall risk estimated, then its a case of fat tail problem. at the Normal distribution on the left fat tail.
What is the sharpe Ratio ?
Sharpe Ratio eine Anlageportofolio ist der Quotient der Überschussrendite (relative zur Risikolosen Rendite) und dem Gesamten Risiko des Portfolios.
Wie viel Prozent der Resndie über riskoloss Rendite pro Prozent der Volatilität des Portfolios.
(Picture on iphone : Page 23 script : Grundlagen der Anlagenrisiko Messung)
formula and Application of Sharpe Ration ?
SR = ( r(p) - r(r) ) / smallsigma (p)
Can be used to compare the portfolios where unsystematic risk is not possible to devercify completely.
What is a systematic Risk .
one Example ?
Risk caused by factors that affect the prices of virtually all securities, although in different proportions. Examples include changes in interest rates and consumer prices. Although it is not possible to eliminate systematic risk through diversification, it is possible to reduce it by acquiring securities (for example, those of utilities and many blue chips) that have histories of relatively slowly changing prices

Systematic risk, also called market risk, is risk that's characteristic of an entire market, a specific asset class, or a portfolio invested in that asset class.

Example :
It's the opposite of the risk posed by individual securities in a class or portfolio, also known as nonsystematic risk. The predictable impact that rising interest rates have on the prices of previously issued bonds is one example of systematic risk.
What is a nonsystematic Risk .
one Example ?
The risk that is specific to an industry or firm. Examples of unsystematic risk include losses caused by labor problems, nationalization of assets, or weather conditions. This type of risk can be reduced by assembling a portfolio with significant diversification so that a single event affects only a limited number of the assets.
Treynor Ratio ?
TR = ( r(p) - r(f) ) / Beta(p)
Beta = rho(p,b) * smallsigma(p) / smallsigma(b)
What is a Beta ?
Besta ist die Änderunge der( Anlage rendite per Änderung in Markt rendite.
(small delta) Änderung in Rendite der Anlage / (small delta) Änderung in Markt rendite
(small sigma) Sys / (small sigma) M = rho(A,M) * (small sigma) A / (small sigma) M
Systematic Example from Note book ?
((small sigma) Systematic )^2 = (rho(A,M))^2 * ( (small sigma) A )^2
Photo from Iphone
What is a Treynor Ratio (Represend by which line )?
It devide the Individual portfolio's risk premium by BETA of the portfolio. It represented by SML (Stepness of the Security Markt Line between Risk free Rate and Stock expected return points)
TR = (r(P) - r(f) ) / Beta(P)
How does the Sharpe Ratio represented ?
It is represented by CML . It is the Stepness of the Capital Markt Line between Risk free Rate and Stock expected return points.
what is a Information ratio ?
Information Ratio ist der Quotient aus der Überschussrendite (relative zu Benchmark) und der Tracking Error des Portfolios.
IR = ( r(P) - r(B)) / TE
What is a Jensen-Alpha ?
Differenz zweichen der tatsächlichen Portfolio-Rendite und der gemäss dem CAPM erwartete Rendite eines theoretischen Portfolios mit dem gleichen Systematischen Risiko (Beta) wie das tatsächliche Portfolio.
alpha = r(P) - r(f) - Beta * (r(B) - r(f))