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Financial Markets & Products Hull, Risk Management: Chapters 2, 3 & 4 Question Set: Hull, Risk Management: Chapters 2, 3 & 4

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This practice question set consists of 52 pages reviewing the concepts of:

Chapter 2: Banks
Chapter 3: Insurance Companies and Pension Plans
Chapter 4: Mutual Funds and Hedge Funds

We have provided individual links for each question to their respective forum discussion.

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Topic Tagged With: banking book, best efforts, clawback, closed-end mutual funds, combined ratio, commercial banking, conflict of interest, convertible arbitrage, dedicated short, defined benefit plan, defined contribution plan, deposit insurance, distressed securities, Dutch auction approach, economic capital, emerging markets, exchangetraded funds (ETFs), expense ratio, Financing, firm commitment, fixed income arbitrage, global macro, guaranty system, hedge fund performance, Hedge fund strategies, Hedge Funds, Hedging, hedging strategies, high-water mark, hurdle rate, incentive fee structure, insurance companies, investment banking, life insurance, long/short equity, longevity risk, loss ratio, managed futures, measurement biases, merger arbitrage, moral hazard, mortality risk, mortality table, mutual funds, net asset value (NAV), open-end mutual fund, operating ratio, originate-to-distribute model, Pension funds, pension plans, Performance Measurement, premium payment, private placement, property casualty insurance company, public offering, regulatory capital, regulatory requirements, return on a hedge fund investment, securities services, trading book

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  • 2007 Credit Crisis
  • 2009 SCAP
  • 2011 and 2012 CCAR
  • 2011 EBA European stress test
  • 2011 EBA Irish stress test
  • absolute risk
  • accuracy ratio (AR)
  • active management risk
  • active managers
  • Advanced IRB Approach
  • Advanced Measurement Approach
  • adverse selection
  • age-weighted approach
  • aggregate contribution
  • aggregated loss distribution
  • aggregating stress tests
  • Akaike information criterion (AIC)
  • Allied Irish Bank
  • Alpha
  • alternative hypothesis
  • Alternative Measurement Approaches (AMA)
  • alternative standardized approach
  • AMA guidelines
  • american call option
  • american put option
  • American stock options
  • annualized default rate
  • annuity
  • antithetic variate technique
  • AR(1) model
  • Arbitrage
  • arbitrage argument
  • arbitrage payoff
  • arbitrage pricing of derivatives
  • Arbitrage Pricing Theory (APT)
  • arbitrage transaction
  • arbitrage-free models
  • artificial intelligence
  • artificial neural network
  • Asian
  • asset allocation decision
  • Asset Categories
  • asset classes
  • asset classes
  • asset liability techniques
  • asset liability techniques
  • asset price jumps
  • asset prices
  • asset return distributions
  • asset returns
  • asset-backed credit-linked note
  • asset-liability management process
  • Assets Under Management (AUM)
  • assumptions
  • at-the-point
  • at‐the‐point approach
  • autocorrelation function
  • autocovariance function
  • autoregression
  • autoregressive moving average (ARMA) process
  • autoregressive representation
  • Backtesting VaR
  • backwardation
  • balance sheet/funding liquidity risk
  • balance-sheet hedging
  • bank credit portfolio
  • bank failure
  • bank holding companies (BHC’s)
  • bank insolvency
  • bank's governance
  • Banker's Trust
  • banking book
  • banking credit analyst
  • banking supervision
  • bankruptcy costs
  • barbell portfolio
  • Barings
  • barrier
  • Basel
  • Basel 1
  • Basel 2.5
  • Basel Committee
  • Basel II
  • Basel III
  • Basel III: Net Stable Funding Ratio
  • Basel operational risk charge
  • Basel reform
  • basel regulations
  • Basel rules
  • basic equilibrium formula
  • Basic Indicator Approach
  • Basic Statistics
  • basis point volatility
  • basis risks
  • basket
  • Bayes’ theorem
  • Bayesian Analysis
  • bear spread
  • Bear Stearns
  • benchmark
  • benchmark choice
  • Berkshire Hathaway
  • Bernoulli distribution
  • Bernoulli trial
  • best efforts
  • best linear unbiased estimator (BLUE)
  • beta
  • beta anomaly
  • biases
  • bid-ask spread
  • big data
  • bilateral CVA (BCVA)
  • bilateral OTC derivatives trading
  • binary
  • Binomial distribution
  • binomial model
  • Binomial Trees
  • BIS recommendations
  • bivariate normal distribution
  • Black-Scholes-Merton Model
  • board of directors
  • Bodie
  • bond duration
  • bond indenture
  • bond insurance
  • bond pricing
  • bond trading special
  • book value
  • bootstrap historical simulation approach
  • borrower rating
  • bottom-up risk aggregation
  • box spread
  • Box-Pierce Q- statistic
  • bull spread
  • business indicator
  • Business Model Risk
  • butterfly spread
  • calculating regulatory capital
  • calculation of the “Greeks”
  • calendar spread
  • call and put options
  • Call option model
  • capital adequacy process
  • capital asset pricing model (CAPM)
  • Capital Charge
  • capital conservation buffer
  • capital market line
  • Capital Modeling
  • Capital Planning
  • capital policy
  • Capital Ratio
  • capital stress testing
  • Capital Structure
  • capital value adjustment (KVA)
  • CAPM
  • carry markets
  • carry roll-down
  • case study
  • cash flow
  • cash flow simulation model
  • cash waterfall
  • CDS market
  • CDS spread
  • Central Clearing
  • Central counterparties
  • central limit theorem
  • centrally cleared OTC derivative markets
  • change regression
  • Chase Manhattan
  • cheapest-to-deliver (CTD)
  • Chi-squared distribution
  • Chief Executive Officer (CEO)
  • Chief Risk Officer (CRO)
  • chooser
  • Citigroup
  • clawback
  • clean bond pricing
  • close-out procedures
  • closed-end mutual funds
  • cluster analysis
  • coherent risk measure
  • cokurtosis
  • Collateral
  • collateral market
  • collateral market transactions
  • collateral trust bonds
  • collateralization
  • collateralized debt obligations
  • collateralized loan obligations
  • combination profiles
  • combination strategies
  • combined ratio
  • commercial banking
  • Commercial Paper
  • commissions
  • Committee of European Banking Supervisors (CEBS)
  • commodity concepts
  • commodity cost of carry
  • Commodity derivatives
  • Commodity Forwards
  • commodity futures curves
  • commodity lease rates
  • commodity spreads and basis risk
  • commodity swaps
  • comparative advantage argument
  • compartmentalized risk measurement
  • component VaR
  • component VaR
  • composite measures
  • compound
  • compounding frequencies
  • comprehensive risk measure (CRM)
  • Compression
  • Concentration risk
  • conditional coverage
  • conditional distribution
  • conditional prepayment rate (CPR)
  • conditional probability
  • conditional volatility
  • Confidence Intervals
  • confidence level
  • confidence sets
  • confirmation
  • conflict of interest
  • constant maturity Treasure swap
  • constant maturity Treasury swap
  • constant prepayment rate (CPR)
  • constant spread approach
  • consumption assets
  • contango
  • contingent claim approach
  • contingent convertible bonds (CoCos)
  • continuous and discrete random variables
  • continuous distributions
  • control variates
  • convenience yield
  • conversion
  • conversion factors (CF)
  • convertible arbitrage
  • convertible arbitrage hedge funds
  • convexity
  • copula
  • copula correlation
  • Corporate Bonds
  • corporate credit risk
  • corporate governance
  • corporate risk
  • corporate security pricing
  • corporate trustee
  • Correlation
  • correlation breakdown
  • correlation effects
  • correlation risk modeling
  • correlation swap
  • correlation-based credit portfolio
  • correlation-based credit portfolio framework
  • correlation-weighted approach
  • correlation-weighted approach
  • coskewness
  • cost-of-carry model
  • countercyclical buffers
  • counterparty credit risk
  • counterparty exposure
  • Counterparty Risk
  • Country Risk
  • coupon effect
  • coupon rate
  • covariance
  • covariance stationary
  • covered call
  • covered option positions
  • Cox-Ingersoll-Ross (CIR)
  • Credit Analysis
  • credit analyst roles
  • Credit Assessment
  • credit contracts
  • credit crisis
  • credit default risk
  • credit default swap
  • Credit derivative product companies
  • Credit Derivatives
  • credit enhancements
  • Credit Exposure
  • credit factor model
  • credit loss distribution
  • credit migration
  • credit portfolio management
  • Credit Portfolio Risk
  • credit quality
  • credit rating process
  • credit ratings
  • credit ratings cycle
  • Credit Risk
  • credit risk distributions
  • credit risk evaluation
  • credit risk event
  • credit risk exposure
  • credit risk mitigants
  • credit risk scoring models
  • credit scoring models
  • credit spread risk
  • Credit Spreads
  • credit support amount
  • credit support annex (CSA)
  • credit transfer markets
  • Credit Value Adjustment (CVA)
  • Credit VaR
  • CreditMetrics
  • CreditRisk+
  • creditworthiness
  • crisis liquidity risk
  • cross hedging
  • crouhy
  • cumulative accuracy profile (CAP)
  • cumulative distribution function
  • cumulative probability of default
  • currencies
  • currency swap
  • current exposure
  • curtailments
  • curve mapping
  • customer profitability analysis
  • customer relationship cycle
  • cutoff scores
  • CVA spread
  • cyber risk
  • cybersecurity
  • dark side
  • Data Aggregation
  • data architecture
  • data errors
  • data quality
  • data quality inspection
  • data validation
  • day count conventions
  • Debenture bonds
  • debt
  • debt overhang
  • debt service coverage ratio (DSCR)
  • debt value adjustment (DVA)
  • dedicated short
  • default
  • Default and Recovery
  • default correlation
  • default events
  • Default Probability
  • default rates
  • default ratio
  • default risk
  • Default Risk: Quantitative Methodologies
  • default sensitivities
  • default time
  • defined benefit plan
  • defined contribution plan
  • delinquency ratio
  • delta
  • delta
  • delta hedging
  • delta of a portfolio
  • delta of an option
  • delta-normal method
  • dependency modeling
  • dependent variables
  • deposit insurance
  • derivative contracts
  • derivative portfolio
  • derivatives
  • Derivatives product companies
  • deterministic drift
  • diagonal spread
  • dirty bond pricing
  • Discount Factors
  • discount rates
  • discrete distributions
  • discrete probability function
  • discrete random variable
  • Dispersion
  • distance to default
  • distressed securities
  • Distributions
  • diversification
  • diversification benefits
  • diversified portfolio VaR
  • dividend paying stocks
  • Dodd-Frank
  • dollar default rate
  • dollar duration
  • dollar roll transaction
  • Dollar-weighted Returns
  • Drysdale Securities
  • Due Diligence Process
  • Due Diligence Questionnaire
  • duration
  • duration-based hedge ratio
  • duration-based hedging strategy
  • Dutch auction approach
  • DV01
  • DV01-neutral hedge
  • dynamic hedging
  • dynamic risk factors
  • econometrics
  • economic capital
  • economic capital implementation framework
  • economic cycle
  • economic growth life cycle
  • economic structure
  • effective control environment
  • effective duration
  • effective exposure
  • efficient frontier
  • efficient market theory
  • electronic trading
  • Elton
  • embedded options
  • emerging markets
  • Empirical Approaches
  • empirical properties
  • empirical studies
  • endogenous liquidity
  • Enron
  • Enterprise Risk Management (ERM)
  • Enterprise-wide stress testing
  • equilibrium
  • equipment trust certificates
  • equity
  • equity based approach
  • Equity derivatives
  • Equity indices
  • equity options
  • equity options
  • equity piece
  • error term
  • estimate trends
  • estimating losses
  • estimating VaR
  • estimating volatility
  • Eurodollar futures contract
  • European Banking Authority (EBA)
  • european call option
  • European put option
  • European stock options
  • evaporation of liquidity
  • event risk
  • event-driven scenarios
  • EWMA
  • exceedances
  • exceptions
  • Exchange
  • exchange
  • exchange-traded market
  • exchange-traded options
  • exchangetraded funds (ETFs)
  • exercise dates
  • exogenous liquidity
  • exogenous spread approach
  • exotic options
  • exotic swaps
  • expected exposure
  • expected gains and losses
  • Expected Loss (EL)
  • expected market-to-market
  • expected positive exposure
  • expected return
  • Expected Shortfall
  • expected shortfall (ES)
  • expected value
  • expense ratio
  • experts-based approaches
  • exponential distributions
  • exponentially weighted moving average (EWMA)
  • Exposure at default (EAD)
  • exposure risk
  • exposure to factor risk
  • exposures
  • External Loss Data
  • external rating scales
  • External Ratings
  • extreme value theory (EVT)
  • F-distributions
  • F-statistic
  • face amount of bonds
  • factor betas
  • factor regression
  • factor risk premiums
  • Factor theory
  • factors
  • Failure Mechanics of Dealer Banks
  • failure rates
  • Fama-French three-factor model
  • fat tails
  • Federal Reserve’s Capital Plan Rule
  • filtered approach
  • financial correlation modeling
  • financial crisis
  • financial intermediaries
  • Financial Loss
  • financial stability
  • financial terrorism
  • Financing
  • Fintech
  • firm commitment
  • firm value
  • firm-specific risks
  • firm-specific risks
  • first-loss piece
  • first-order autoregressive (AR(1)) process
  • first-order moving average (MA(1)) process
  • first-to-default put
  • fitting models
  • fixed income
  • fixed income arbitrage
  • fixed income portfolio
  • Fixed Income Securities
  • fixed rate mortgage payment
  • flattening and steepening
  • forecast trends
  • Forecasting
  • forecasting seasonality
  • forecasting volatility
  • foreign currency debt
  • foreign currency options
  • foreign currency options
  • Foreign exchange derivatives
  • foreign exchange exposure
  • foreign exchange rate distributions
  • foreign exchange rate distributions
  • Foreign Exchange Risk
  • foreign exchange trading
  • foreign exchange trading activities
  • formula sheet
  • forward contract
  • forward foreign exchange rate
  • forward hedges
  • forward LIBOR rates
  • forward price
  • forward rate agreement (FRA)
  • forward rate agreements
  • Forward Rates
  • forward start
  • forward-bucket ‘01s
  • forwards
  • Foundation IRB Approach
  • fractional-reserve bank
  • Fraud Risk
  • frequency and severity distributions
  • frequentist approach
  • full revaluation approaches
  • funding liquidity
  • funding risk
  • funding value adjustment (FVA)
  • future volatility
  • futures
  • Futures & Options
  • futures clearinghouse
  • futures contract
  • futures contract
  • futures contracts
  • FUTURES CURVES
  • futures prices
  • gamma
  • gamma
  • gamma neutral position
  • gamma-neutral
  • gap
  • GARCH (1
  • GARCH(1
  • GARP Code
  • Gauss-Markov Theorem
  • Gaussian copula
  • Gaussian white noise
  • GBM
  • general finite-order process
  • general linear process
  • General Market Risk
  • general pth order autoregressive (AR(p)) process
  • generalized auto regressive conditional heteroskedasticity (GARCH(p
  • generalized Pareto (GP) distribution
  • geography
  • global financial crisis 2007 to 2009
  • global macro
  • governance
  • governmental policy responses
  • Greek Letters
  • Grinold’s fundamental law
  • gross and net realized returns
  • guaranteed bonds
  • guaranty system
  • h-step-ahead point forecast
  • haircuts
  • hazard rate
  • hedge effectiveness
  • hedge fund performance
  • Hedge fund strategies
  • Hedge Funds
  • hedge-and-forget strategy
  • Hedging
  • hedging portfolios
  • hedging strategies
  • heteroskedasticity
  • heuristic approaches
  • High Quality Liquid ssets (HQLA)
  • high-water mark
  • high-yield bonds
  • historical data approach
  • historical simulation approach
  • historical volatility
  • Ho-Lee Model
  • homoskedasticity
  • horizon
  • horizon
  • housing bubble
  • housing cycle
  • hurdle rate
  • hybrid approach
  • Hypothesis Testing
  • Hypothesis Tests
  • Illiquid Assets
  • Illiquid Markets
  • ILLIQUID POSITIONS
  • Illiquidity
  • Illiquidity Risk Premiums
  • imperfect and perfect multicollinearity
  • implied correlation
  • implied distribution
  • implied distribution
  • implied volatility
  • incentive fee structure
  • incentive structure
  • income
  • incremental CVA
  • incremental risk capital charge
  • incremental VaR
  • independent and identically distributed (i.i.d)
  • independent and mutually exclusive events
  • independent review
  • independent variables
  • independent white noise
  • index tranches
  • individual VaR
  • industry
  • inflation
  • information asymmetry
  • Information Ratio
  • initial margin
  • insurance companies
  • integration in risk governance
  • intercept
  • interest
  • interest payment classifications
  • Interest rate derivatives
  • interest rate drift
  • interest rate drift
  • interest rate expectations
  • interest rate exposures
  • interest rate factor
  • interest rate futures
  • interest rate parity
  • interest rate parity theorem
  • interest rate risk
  • interest rate swaps
  • interest rate swaps
  • interest rates
  • internal audit
  • internal controls
  • Internal Loss Data
  • internal loss multiplier
  • Internal Models Approach
  • internal operational loss data
  • Internal Ratings
  • internal ratings
  • inverse cumulative distribution function
  • investment
  • investment activities
  • investment banking
  • Investment Guidelines
  • investment management
  • investment management firms
  • ISDA Master Agreement
  • issue and issuer ratings
  • issuer default rate
  • IT Infrastructure
  • Jensen's inequality
  • Jensen’s alpha
  • joint probability
  • JPMorgan
  • K nearest neighbor approach
  • key rate ‘01
  • key rate duration
  • key rate exposures
  • key risk indicators (KRI’s)
  • key variables
  • key-rate shift analysis
  • Kidder Peabody
  • KMV model
  • kurtosis
  • lag operator
  • Lam
  • large shareholder
  • Law of One Price
  • lease rate
  • legal risk
  • Lehman Brothers
  • lending risk
  • Level 1 assets
  • Level 2A assets
  • Level 2B Assets
  • level regression
  • Leverage
  • leverage
  • leverage effect
  • Leverage Ratios
  • leveraged buyouts
  • LIBOR
  • LIBOR zero curve
  • LIBOR-OIS spread
  • life insurance
  • limit orders
  • linear derivatives
  • linear discriminant analysis
  • Linear programming
  • Linear Regression
  • Linear Regression with One Regressor
  • linear trends
  • linear unbiased estimator
  • linear value at risk
  • lines of defense
  • Liquidity
  • liquidity adjustment
  • liquidity at risk (LaR)
  • Liquidity Coverage Ratios
  • liquidity crisis
  • liquidity crisis
  • Liquidity Risk
  • liquidity stress testing
  • liquidity transformation
  • liquidity-adjusted VaR (LVaR)
  • liquidity-adjusted VaR models
  • Ljung-Box Q-statistic
  • loan portfolio
  • local currency debt
  • logistic regression model
  • lognormal distribution
  • lognormal model
  • lognormal property
  • London Whale Trading
  • long equity positions
  • long hedges
  • long horizon volatility
  • Long Term Capital Management
  • long-equity tranche
  • long/short equity
  • longevity risk
  • lookback
  • loss component
  • loss distribution approach
  • loss given default
  • Loss given default (LGD)
  • Loss mutualization
  • loss rate
  • loss ratio
  • loss waterfall
  • low risk anomaly
  • LTCM
  • machine learning
  • macroeconomic risk factors
  • managed futures
  • management incentives
  • mapping forwards
  • mapping forwards
  • mapping portfolios
  • mapping process
  • margin requirements
  • margin value adjustment (MVA)
  • marginal contribution
  • marginal CVA
  • marginal probability of default
  • Marginal VaR
  • marginal VaR
  • mark-to-market
  • Market Discipline
  • Market Imperfections
  • market liquidity
  • market orders
  • Market risk
  • market risk distributions
  • market risk event
  • Market Risk Framework
  • Market Risk Measures
  • market theory
  • Market Timing Ability
  • market value
  • Maturity (M)
  • maximum exposure
  • mean
  • mean reversion
  • mean reversion
  • Mean Squared Error (MSE)
  • mean variance
  • measurement biases
  • measures of fit
  • mechanics of options
  • merger arbitrage
  • merger arbitrage hedge funds
  • Merton Model
  • MERTON-BASED DEFAULT PROBABILITIES
  • Metallgesellschaft
  • Minimax.
  • Minimum Capital Requirements
  • minimum capital requirements (MCR)
  • minimum error
  • minimum risk
  • minimum transfer amount
  • minimum variance hedge ratio
  • mitigate credit risk
  • mitigating volatility risk
  • mixture distribution
  • Model Risk
  • model selection criteria
  • model verification
  • modeling assumptions
  • Modeling Cycles
  • modeling dependence
  • modeling errors
  • modeling risk factors
  • modified duration
  • Modigliani-squared
  • momentum investment strategies
  • money laundering
  • money market mutual funds
  • Monitoring metrics
  • Monolines
  • Monte Carlo simulation
  • monthly payment rate (MPR)
  • moral hazard
  • moral hazard
  • mortality risk
  • mortality table
  • mortgage bonds
  • mortgage credit assessment
  • mortgage pools
  • mortgage prepayment option
  • Mortgage-backed Securities
  • Mortgages
  • moving average representation
  • multi-factor analysis
  • Multi-Factor Risk Metrics
  • multicurrency asset‐liability positions
  • multidimensional scenarios
  • multifactor model of asset returns
  • multifactor models
  • multilateral netting
  • Multilateral offset
  • multiple coefficients
  • multiple offsetting swap positions
  • multiple regression
  • multivariate EVT
  • multivariate linear regression
  • mutual funds
  • naked and covered option positions
  • negative exposure
  • negative short-term rates
  • net asset value (NAV)
  • net position exposure
  • Net Stable Funding Ratios
  • Netting
  • Neyman-Pearson
  • nominal interest rates
  • non-arbitrage assumption
  • non-dividend paying stocks
  • non-linear derivatives
  • non-linear trends
  • non-linear value at risk
  • Non-parametric Approaches
  • non-parametric density
  • non-vanilla swaps
  • nonlinear strategies
  • nonstandard products
  • nonsystematic risk
  • normal backwardation
  • normal distribution
  • Novation
  • null hypothesis
  • numerical approaches
  • offsetting position
  • OIS rate
  • OIS zero curve
  • omitted variable bias
  • one-factor model
  • One-Factor Risk Metrics
  • one-step binomial model
  • one-tailed test
  • open outcry system
  • open-end mutual fund
  • operating ratio
  • operational data governance
  • operational loss data
  • Operational Risk
  • operational risk capital charge
  • operational risk capital requirement
  • Operational Risk Categories (ORCs)
  • operational risk distributions
  • operational risk distributions
  • operational risk events
  • operational risk governance
  • operational risk management framework (ORMF)
  • operational risk management system (ORMS)
  • optimal holdings
  • optimal level of risk
  • Option Adjusted Spread (OAS
  • option combination trades
  • option greeks
  • option positions
  • option pricing
  • option pricing models
  • option spread trades
  • option's price
  • options
  • options
  • options contract
  • ordinary least squares (OLS) regression
  • original-issue discount
  • originate-to-distribute model
  • outsourcing risk
  • over the counter derivatives (OTC)
  • over-collateralization
  • over-the-counter market
  • P-STRIPS and C-STRIPS
  • p-value
  • panic periods
  • par rate of a bond
  • Par Rates
  • parameters
  • Parametric Approaches
  • parametric discriminatio
  • partial ‘01s
  • partial autocorrelation function
  • payment frequencies
  • payoffs
  • peak exposure
  • peaks-over-threshold (POT)
  • Pension funds
  • pension plans
  • perfect multicollinearity
  • performance analysis tools
  • Performance Attribution Procedures
  • performance benchmark
  • Performance Evaluation
  • Performance Measurement
  • perpetuity
  • plain vanilla derivatives
  • plain vanilla interest rate swap
  • Poisson distributions
  • policy measures
  • policy measures
  • policy-mix risk
  • political risk
  • population regression function
  • portfolio choice decisions
  • Portfolio Construction
  • Portfolio Credit Risk
  • Portfolio diversification strategies
  • portfolio insurance
  • portfolio management
  • portfolio risk
  • portfolio volatility
  • portfolio-driven scenarios
  • potential future exposure
  • power law
  • predatory lending and borrowing
  • predicting default
  • premium payment
  • prepayment forecasting methodologies
  • prepayment modeling
  • prepayment option
  • price options
  • price sensitivity
  • Pricing
  • pricing counterparty risk
  • pricing of options
  • principal
  • principal component analysis
  • principal component analysis
  • private placement
  • pro-cyclical amplification
  • Probabilities
  • probability density function
  • probability matrix
  • probability of default
  • Probability of default (PD)
  • profitability
  • property casualty insurance company
  • protective put strategy
  • pseudorandom number generator
  • public offering
  • Public Securities Association (PSA)
  • put option
  • put-call parity
  • QQ plots
  • Quadratic programming
  • QUALITATIVE DISCLOSURES
  • qualitative information
  • quantifying credit risk
  • quantifying volatility
  • quantiles
  • QUANTITATIVE DISCLOSURES
  • Quantitative Methodologies
  • R2 and adjusted-R2
  • rainbow
  • random number draws
  • random variable
  • RAROC
  • RARORAC
  • rate compounding frequency
  • rate curves
  • rate futures
  • rates of return
  • Rating Agencies
  • rating migration matrix
  • rating migrations
  • rating migrations
  • rating process
  • Rating system
  • ratings and default
  • ratings changes
  • ratings transition matrix
  • ratings transition matrix
  • real interest rates
  • real-world parameters
  • realized forwards
  • realized return
  • recombining trees
  • recombining trees
  • recovery rate assumptions
  • recovery rates
  • recovery risk
  • reduced-form approaches
  • refinancing
  • refining alphas
  • regime switching
  • Regression
  • regression analysis
  • regression coefficients
  • regression hedge
  • regression hedge
  • regression R2
  • regulatory capital
  • regulatory capital
  • regulatory changes
  • regulatory frameworks
  • Regulatory Guidance
  • regulatory requirements
  • reinvestment risk
  • relative risk
  • remargining period
  • replicating portfolio
  • repo agreements
  • repo rates
  • repo transactions
  • reported returns
  • Repurchase Agreement
  • required data elements
  • Resets
  • residential mortgage backed securities (RMBS)
  • residential mortgage products
  • Residual risk
  • residual sum of squares
  • retail banking
  • retail credit risk
  • return aggregation
  • return distributions
  • return on a hedge fund investment
  • return profile
  • Returns
  • reverse engineering
  • rho
  • rho
  • right-way risk
  • risk
  • risk aggregation
  • risk and control self assessment (RCSA)
  • risk and return-optimizing position
  • risk anomaly
  • risk appetite
  • risk appetite framework (RAF)
  • Risk Aversion
  • risk based pricing
  • Risk budgeting
  • risk capital
  • Risk Capital Attribution
  • risk consciousness
  • Risk Control Self-Assessment (RCSA)
  • risk culture
  • risk data infrastructure
  • risk exposure
  • risk factors
  • risk governance
  • risk identification
  • risk management
  • Risk Management Failures
  • Risk Management Process
  • Risk Management Unit
  • Risk Measures
  • risk metrics
  • risk models
  • risk models
  • Risk Monitoring
  • risk neutral approach
  • Risk Planning
  • risk premiums
  • risk profile
  • Risk Reporting
  • risk services
  • Risk Sharing Asymmetry
  • risk transformation
  • Risk-Adjusted Performance Measurement
  • RISK-ADJUSTED PERFORMANCE MEASURES
  • risk-adjusted pricing
  • risk-free rate
  • risk-minimizing position
  • risk-neutral default rates
  • risk-neutral interest rate tree
  • risk-neutral parameters
  • risk-neutral pricing
  • risk-neutral pricing
  • risk-neutral probabilities
  • risk-neutral probabilities
  • risk-weighted assets
  • risky bonds
  • rolling the hedge forward
  • rounding
  • running spread
  • Sample autocorrelation
  • Sample mean
  • Sample partial autocorrelation
  • sample regression function
  • sample variance
  • sampling error
  • scenario analysis
  • scenario selection
  • scenerio analysis
  • Schwarz information criterion (SIC)
  • scorecard performance
  • scorecards
  • Screens
  • seasonality
  • sector and security selection decision
  • secured overnight financing rate
  • securities services
  • Securitization
  • securitized products
  • Security Market Line
  • security-holder payoffs
  • senior and subordinated debt
  • senior management
  • sensitivity tests
  • shape of the term structure
  • shareholder value
  • shareholder value
  • Sharpe measure
  • Sharpe ratio
  • short hedges
  • Short Rates
  • short sales
  • short term interest rate tree
  • short-mezzanine credit trade
  • short-selling
  • short-term debt
  • short-term rate change
  • short-term rate change
  • short-term rate process
  • shout
  • simulation
  • simulation of joint defaults
  • single and multiple regression
  • single asset price jump
  • single coefficient
  • single restrictions
  • single-factor approach
  • single-factor model
  • single-tranche CDOs
  • skewness
  • slope
  • slope coefficient
  • Société Générale
  • SOFR
  • solvency capital requirements (SCR)
  • Solvency II
  • Sortino ratio
  • sovereign default
  • special purpose vehicle (SPV)
  • Special purpose vehicles (SPV)
  • special spreads
  • Specific Risk
  • spectral risk measures
  • speculative strategies
  • sponsor risk
  • spot prices
  • Spot Rates
  • SPOT/FUTURES EQUILIBRIUM
  • Spread '01
  • spread of a bond
  • spread risk factor
  • spread strategies
  • spread volatility
  • SPREAD-BASED DEFAULT PROBABILITY
  • Spreads
  • stack hedge
  • standard deviation
  • standard deviation
  • Standard Error
  • standard error of the regression
  • standard instruments
  • Standardised Approach
  • Standardised Measurement Method
  • static option replication
  • statistical correlation models
  • statistical distribution
  • statistical inference
  • statistical variable
  • statistical-based models
  • statistics
  • stochastic discount factors
  • stochastic interest rates
  • stock index futures contracts
  • stock indices
  • stock options
  • stocks with dividends
  • stop loss trading strategy
  • stop-loss trading strategy
  • storage costs
  • straddles
  • strangles
  • straps
  • Stratification
  • stress loss
  • stress scenario design
  • stress testing
  • stress testing coverage
  • stress testing methodologies
  • stress testing principles
  • stress testing scenerios
  • stressed CVA
  • stressed expected loss
  • Stressed inputs
  • stressed risk metrics
  • Stressed VaR
  • strip hedge
  • structural approaches
  • structural challenges
  • Structured Credit Risk
  • structured products
  • Student’s t
  • Stulz
  • Style Analysis
  • subordinated and convertible debenture bonds
  • subordinated debt
  • subprime mortgage backed securities
  • subprime mortgage credit securitization
  • subprime mortgage meltdown
  • sum of squares
  • super senior risk
  • Supervisory Capital Assessment Program (SCAP)
  • Supervisory Review
  • support vector machines
  • swaps
  • synthetic CDOs
  • synthetic commodity position
  • Systemic Risk
  • systemic risk funding liquidity risk
  • systemic risks
  • T-Statistic
  • tailing the hedge adjustment
  • Tarantino
  • tax argument
  • technology risk
  • Term Structure Models
  • Term Structure Models: Drift
  • Term Structure Models: Volatility and Distribution
  • termination events
  • Termination Features
  • test statistic
  • theta
  • theta
  • third-party service providers
  • three tiered securitization
  • threshold
  • through-the-cycle approach
  • through‐the‐cycle approach
  • Tier 1 capital
  • Tier 2 capital
  • Tier 3 Capital
  • time horizon
  • time horizon
  • time periods
  • time series analysis
  • time to maturity
  • time varying volatility
  • time-dependent volatility
  • time-varying factor exposures
  • Time-weighted returns
  • top-down risk aggregation
  • total capital
  • total net cash outflows
  • total return swap
  • total sum of squares
  • Tracking error
  • trading activities
  • trading book
  • trading requirements
  • traditional bank run
  • tranching
  • transactions cost
  • transactions liquidity risk
  • Treasury rates
  • Treasury STRIPS
  • Treynor measure
  • triggers
  • true probabilities
  • true probabilities
  • turnover
  • turnover
  • two-step binomial model
  • two-tailed test
  • Type I and Type II Errors
  • unchanged term structure
  • unchanged yields
  • unconditional distributions
  • unconditional probability
  • underlying asset price
  • undiversified portfolio VaR
  • Unexpected Loss (UL)
  • unidimensional scenarios
  • unified risk measurement
  • uniform distribution
  • univariate linear regression
  • unsmoothing of returns
  • upper and lower bounds
  • US Treasury bill
  • US Treasury coupon bond
  • validation
  • validation of models
  • valuation of assets
  • valuation of warrants
  • Value at Risk (VaR)
  • value investing
  • value premium
  • VaR
  • VaR capital charge
  • VaR estimates
  • VaR Mapping
  • VaR Models
  • variance
  • variance of sums
  • Vasicek Model
  • vega
  • Volatility
  • volatility anomaly
  • volatility forecasting
  • volatility risk
  • volatility skew
  • volatility smiles
  • volatility surfaces
  • volatility swaps
  • volatility term structure
  • volatility-weighted approach
  • vulnerabilities
  • warrants
  • waterfall structure
  • weighted average coupon
  • weighted average life (WAL)
  • weighted average maturity (WAM)
  • weighting schemes
  • well-diversified portfolios
  • white noise
  • Wold’s theorem
  • Worst-case probability of default
  • worst-case scenario (WCS) analysis
  • Wrong-way risk
  • yield curve
  • yield-to-maturity (YTM)
  • Yields
  • Yule-Walker equation
  • Z-score
  • zero-cost product
  • zero-coupon bonds
  • zero-coupon security
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Hull, Risk Management: Chapters 2, 3 & 4
  • Question Set: Hull, Risk Management: Chapters 2, 3 & 4
  • Learning Spreadsheet: Hull, Chapter 2, 3 & 4
  • Instructional Video: Hull, Chapter 2
  • Instructional Video: Hull, Chapter 3
  • Instructional Video: Hull, Chapter 4
Hull, Options, Futures: Chapters 1, 2, 3, 4, 5, 6, 7, 10, 11, 12 & 26
  • Question Set: Hull, Chapters 1, 2, 3, 4, 5, 6, 7, 10, 11, 12 & 26
  • Study Notes: Hull, Chapters 1, 2, 3, 4, 5, 6, 7, 10, 11, 12 & 26
  • Instructional Video: Hull, Chapters 1 & 2
  • Instructional Video: Hull, Chapter 3
  • Instructional Video: Hull, Chapter 4
  • Instructional Video: Hull, Chapter 5
  • Instructional Video: Hull, Chapter 6
  • Instructional Video: Hull, Chapter 7
  • Instructional Video: Hull, Chapter 10
  • Instructional Video: Hull, Chapter 11
  • Instructional Video: Hull, Chapter 12
  • Instructional Video: Hull, Chapter 26
  • Learning Spreadsheet: Hull, Chapters 1, 2, 3, 4, 5, 6, 7, 10 and 11
McDonald, Derivatives Markets, Chapter 6
  • Question Set: McDonald, Chapter 6
  • Study Notes: McDonald, Chapter 6
  • Instructional Video: McDonald, Chapter 6
  • Learning Spreadsheet: McDonald, Chapter 6
Gregory, Central Counterparties, Chapters 2, 3 & 14
  • Question Set: John Gregory, Chapters 2,3 & 14
  • Instructional Video: Gregory, Chapters 2, 3 and 14
Saunders, Financial Institutions Management, Chapter 13
  • Question Set: Saunders, Chapter 13
  • Study Notes: Saunders, Chapter 13
  • Instructional Video: Saunders, Chapter 13
  • Learning Spreadsheet: Saunders, Chapter 13
Fabozzi, Handbook of Fixed Income Securities, Chapter 12
  • Question Set: Fabozzi, Chapter 12
  • Study Notes: Fabozzi, Chapter 12
  • Instructional Video: Fabozzi, Chapter 12
Tuckman, Fixed Income Securities, Chapter 20
  • Question Set: Tuckman, Chapter 20
  • Learning Spreadsheet: Tuckman, Chapter 20
  • Instructional Video: Tuckman, Chapter 20
TOPIC 3 REVIEW
  • Financial Markets & Products Quiz
  • Learning Spreadsheets: P1.T3.a XLS Bundle
  • Learning Spreadsheets: P1.T3.b XLS Bundle
  • Learning Spreadsheets: P1.T3.c XLS Bundle
  • Learning Spreadsheets: P1.T3.d XLS Bundle
  • Financial Markets & Products Focus Review Video (1 of 2)
  • Financial Markets & Products Focus Review Video (2 of 2)
  • Financial Markets & Products Global Topic Review Question Set
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