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Part One：Qunats Analysis
1. Bays rules
2. Variance(ax+by)
3. Confidence interval estimate 簡單的計(jì)算，已知置信水平，標(biāo)準(zhǔn)差，mean
4. P-value
5. R∧2=SSR/SST
6. Correlation coefficient 計(jì)算
7. 極值定理，比課堂講得考的深，問到了具體的密度函數(shù)公式中的內(nèi)容
Part two：market risk
1. 已知幾個(gè) bonds' effective duration, market prices, and face values. Calculate portfolio's duration
2. Convexity 對 bond 價(jià)格的影響
3. IO strips and PO strips 那個(gè)duration 是負(fù)的
4. Forward price 的計(jì)算有dividend yield 和 convenience yield
5. Commodity forward price的計(jì)算
6. 那個(gè)案例是basis risk
7. Interest swap present value的計(jì)算
8. Currency swap 單個(gè)cash flow的計(jì)算
9. AMERICAN option什么情況下可提前執(zhí)行，upper and lower bounds
10. Covered call + protective put = collar
11. Strap 的運(yùn)用在什么條件下
12. Binary option
13. Shout option
14. Portfolio VaR計(jì)算
15. GARCH persistence factor
16. Greek letters考gamma vega 調(diào)整，考調(diào)整vega后買stock最后delta為零
Part three：credit risk
1. 國家credit rating和6個(gè)影響國家信用的比例列表，問該投資哪國國債
2. Though the cycle，at the point哪個(gè)procyclicality
3. Merton model 計(jì)算 value of equity，沒有公式一定要很清楚的記住d的求法
4. Neyman pearson decision rule.
Use the statistical concept of Type 1 and Type 2 errors
5. Altman credit scoring 沒有要求計(jì)算
It is an example of a subgroup model , where as logit models give a score that can be interpreted as the probability of default.
6. probability of default 的計(jì)算3-5題
7. concentration limit 的計(jì)算
8. Novation
9. Hot collateral=“on special”
Difficult to obtain
10. 列表7筆交易5項(xiàng) netting 2項(xiàng)non netting agreement算一方的credit exposure
11. risk neutral mean loss rate
12. multiyear resturing agreement的計(jì)算
13. ISDA TRIGGERING EVENTS
A downgrade from a rating agency is not defined as a credit enent.
14. Settlement amount of credit default swap
Note:don't forget "accrued interest"
15. n-to-default swap 和 basket default swap
Note that the probability of any one （or nth）reference entity defaulting is lower when the Assets are highly correlated， but higher when they are less correlated。
16. Cancelable default swap=having the right to cancel the swap
Callable default swap = buyer of the swap
Putable default swap = seller of the swap
17. TROR 在 libor 變化時(shí) receiver 的cash flow 變化
Protect payers from interest risk
18. Credit spread option pay off 的計(jì)算
Schweser notes 3 / page 125
19. Cash CDOs and synthetic CDOs 區(qū)別
In Cash CDOs , the issuer directly buys the actual securities
20. BISTRO 和 j-port區(qū)別
Both are synthetic structures. Pls refer to Schweser note 3 / page 138-139
21. Dollar VaR的計(jì)算
Part four：optional risk
1. BIS定義中不包含的風(fēng)險(xiǎn)
Not include strategic and reputatiponal risk
Include legal risk
2. Connectivity model two techniques 要詳細(xì)看，考的很細(xì)
3. Parametric model：convolution 的定義，案例題convolution的應(yīng)用原理，公式
4. Contingent credit line 和 risk prevention control 的定義
5. Cat bond 的 payoff 免賠共保
6. LVAR的計(jì)算
7. Close out
8. Economic of scale and scope 案例題
9. Model risk 定義，案例題判斷是不是model risk
10. 市場假說對 risk management 的影響
11. Flight to the quality 案例
12. Financial conglomerates diversification benefits
13. Hub and spoke 定義
14. 3+1 pillars legal firewall
15. 新 basel 風(fēng)險(xiǎn)權(quán)重函數(shù)是有basel committee給出不能自己設(shè)
16. Basel back testing 99% daily，one year historical data，time lag 6 months
17. Case study SUMITOMO , BARINGS , LTCM主要考風(fēng)險(xiǎn)原因
18. Asian crisis（Thailand）, may not be tested again
19. For 2007, Amaranth Debacle
Part five：investment management
1. Pure diversifier 的定義
2. Style drift 的表現(xiàn)形式，和考察方法
3. Convertible arbitrage strategy
4. Regulation D
5. ASSETS ALLOCATION 是一到案例題
6. Treynor measurement 分子上減的是risk free rate
7. Tracking error 的計(jì)算案例題 給出兩組數(shù)據(jù)
8. MSD（半方差）計(jì)算給出 information ration ，sortino ratio
