2010-May-FRM-Part 1-复习计划2-(2010年1月30日杨亚凯每页打两个)
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Financial Risk Management 13
2010 Copyright by DMC
Financial Markets and Products
INTEREST RATE FUTURES
Day count conventions The clean and dirty price for a US Treasury bond the accrued interest A US Treasury bill (from a discount rate to a price) The cost of delivering a bond into a Treasury bond futures contract
Financial Risk Management
2010 Copyright by DMC
9
Financial Markets and Products
INTEREST RATES
Valuation of an investment using daily, weekly, monthly, quarterly, semiannual, annual, and continuous compounding Convert rates based on different compounding frequencies Calculation of the theoretical price of a coupon paying bond using spot rates Bond pricing Bond yield Bootstrapping spot rates
Financial Risk Management
2010 Copyright by DMC
11
Financial Markets and Products
DETERMEINATION OF FORWARD AND FUTURES PRICES
Investment vs. consumption assets Short-selling and short squeeze Calculation of the forward price given the underlying asset's price with or without short sales and/or consideration to the income or yield of the underlying assets Interest rate parity (IRP) relationship to calculate a forward foreign exchange rate
Financial Risk Management 2010 Copyright by DMC 4
Financial Markets and Products
Arbitrage payoff and the nature that arbitrage opportunities are ephemeral (i.e. short-lived) The risks arising from the (mis)use of derivatives MECHANICS OF FUTURES MARKETS Key features of a future contract as comparing to a forward contract The rationale and working mechanics for margin requirement initial margin maintenance margin variation margin Normal vs. inverted future market
Financial Risk Management 2010 Copyright by DMC 7
Financial Markets and Products
HEDGING STRATEGIES USING FUTURES
Short vs. long hedges (when they are appropriate) The pros and cons on hedging and its impact on firm profitability Basis (the definition and computation) The various sources of basis risk The definition of cross hedging
Financial Risk Management
2010 Copyright by DMC
2
Financial Markets and Products
The relationship between exchanges and clearing houses Limitations of structural hubs: Marking-to-market Netting Standardized contracts transparency requirement on regulations complex and time-consuming development
Financial Risk Management
2010 Copyright by DMC
3Leabharlann Baidu
Financial Markets and Products
INTRODUCTION (OPTIONS, FUTURES, AND OTHER DERIVATIVES)
The difference between an open outcry system & electronic trading system OTC vs. trading on an exchange Hedging strategies and its payoff via forward contracts and options Speculative strategies and its payoff via futures and options
Financial Risk Management 2010 Copyright by DMC 12
Financial Markets and Products
The relationship between forward and futures prices Various delivery options in the futures markets and how they can influence futures prices The relationship between current futures prices and expected future spot prices the impact of systematic and nonsystematic risk Backwardation Contango Commodity futures prices vs. spot prices The cost-of-carry model
Settings to reduce counterparty risk: participant standards contract standardization margin requirements netting collateral requirements downgrade triggers marking to market surveillance
Financial Risk Management
2010 Copyright by DMC
6
Financial Markets and Products
Four ways to terminate a futures contract: delivery cash-settlement contract reverse/offsetting exchange for physicals Different order types: Market Limit Stop-loss Stop-limit Market-if-touched Discretionary Time-of-day Open (Good-till-canceled) Fill-or-kill
Financial Risk Management
2010 Copyright by DMC
14
Financial Markets and Products
The Eurodollar futures contract convexity adjustment The duration-based hedging strategy using interest rate futures the duration-based hedge ratio The limitations of using a duration-based hedging strategy
2010 Financial Risk Manager (FRM) Program
Preparation Scheme The 2nd Half
January 30 , 2010 扬亚凯 CFA FRM
Financial Markets and Products
STRUCTURAL COMPANIES, HUBS: CLEARINGHOUSE, DERIVATIVE PRODUCT AND EXCHANGES
Financial Risk Management 2010 Copyright by DMC 5
Financial Markets and Products
MECHANICS OF FUTURES MARKETS
Key features of a future contract as comparing to a forward contract The rationale and working mechanics for margin requirement initial margin maintenance margin variation margin Normal vs. inverted future market
Financial Risk Management
2010 Copyright by DMC
8
Financial Markets and Products
The minimum variance hedge ratio Hedge effectiveness The optimal number of futures contracts needed to hedge an exposure A "tailing the hedge" adjustment Stock index futures contracts being used to change a stock portfolio's beta Rolling the hedge forward
Financial Risk Management
2010 Copyright by DMC
10
Financial Markets and Products
Deriving forward interest rates from a set of spot rates Cash flows from a FRA Calculation of the change in a bond's price given duration, convexity, and a change in interest rates Major theories of the term structure of interest rates
2010 Copyright by DMC
Financial Markets and Products
INTEREST RATE FUTURES
Day count conventions The clean and dirty price for a US Treasury bond the accrued interest A US Treasury bill (from a discount rate to a price) The cost of delivering a bond into a Treasury bond futures contract
Financial Risk Management
2010 Copyright by DMC
9
Financial Markets and Products
INTEREST RATES
Valuation of an investment using daily, weekly, monthly, quarterly, semiannual, annual, and continuous compounding Convert rates based on different compounding frequencies Calculation of the theoretical price of a coupon paying bond using spot rates Bond pricing Bond yield Bootstrapping spot rates
Financial Risk Management
2010 Copyright by DMC
11
Financial Markets and Products
DETERMEINATION OF FORWARD AND FUTURES PRICES
Investment vs. consumption assets Short-selling and short squeeze Calculation of the forward price given the underlying asset's price with or without short sales and/or consideration to the income or yield of the underlying assets Interest rate parity (IRP) relationship to calculate a forward foreign exchange rate
Financial Risk Management 2010 Copyright by DMC 4
Financial Markets and Products
Arbitrage payoff and the nature that arbitrage opportunities are ephemeral (i.e. short-lived) The risks arising from the (mis)use of derivatives MECHANICS OF FUTURES MARKETS Key features of a future contract as comparing to a forward contract The rationale and working mechanics for margin requirement initial margin maintenance margin variation margin Normal vs. inverted future market
Financial Risk Management 2010 Copyright by DMC 7
Financial Markets and Products
HEDGING STRATEGIES USING FUTURES
Short vs. long hedges (when they are appropriate) The pros and cons on hedging and its impact on firm profitability Basis (the definition and computation) The various sources of basis risk The definition of cross hedging
Financial Risk Management
2010 Copyright by DMC
2
Financial Markets and Products
The relationship between exchanges and clearing houses Limitations of structural hubs: Marking-to-market Netting Standardized contracts transparency requirement on regulations complex and time-consuming development
Financial Risk Management
2010 Copyright by DMC
3Leabharlann Baidu
Financial Markets and Products
INTRODUCTION (OPTIONS, FUTURES, AND OTHER DERIVATIVES)
The difference between an open outcry system & electronic trading system OTC vs. trading on an exchange Hedging strategies and its payoff via forward contracts and options Speculative strategies and its payoff via futures and options
Financial Risk Management 2010 Copyright by DMC 12
Financial Markets and Products
The relationship between forward and futures prices Various delivery options in the futures markets and how they can influence futures prices The relationship between current futures prices and expected future spot prices the impact of systematic and nonsystematic risk Backwardation Contango Commodity futures prices vs. spot prices The cost-of-carry model
Settings to reduce counterparty risk: participant standards contract standardization margin requirements netting collateral requirements downgrade triggers marking to market surveillance
Financial Risk Management
2010 Copyright by DMC
6
Financial Markets and Products
Four ways to terminate a futures contract: delivery cash-settlement contract reverse/offsetting exchange for physicals Different order types: Market Limit Stop-loss Stop-limit Market-if-touched Discretionary Time-of-day Open (Good-till-canceled) Fill-or-kill
Financial Risk Management
2010 Copyright by DMC
14
Financial Markets and Products
The Eurodollar futures contract convexity adjustment The duration-based hedging strategy using interest rate futures the duration-based hedge ratio The limitations of using a duration-based hedging strategy
2010 Financial Risk Manager (FRM) Program
Preparation Scheme The 2nd Half
January 30 , 2010 扬亚凯 CFA FRM
Financial Markets and Products
STRUCTURAL COMPANIES, HUBS: CLEARINGHOUSE, DERIVATIVE PRODUCT AND EXCHANGES
Financial Risk Management 2010 Copyright by DMC 5
Financial Markets and Products
MECHANICS OF FUTURES MARKETS
Key features of a future contract as comparing to a forward contract The rationale and working mechanics for margin requirement initial margin maintenance margin variation margin Normal vs. inverted future market
Financial Risk Management
2010 Copyright by DMC
8
Financial Markets and Products
The minimum variance hedge ratio Hedge effectiveness The optimal number of futures contracts needed to hedge an exposure A "tailing the hedge" adjustment Stock index futures contracts being used to change a stock portfolio's beta Rolling the hedge forward
Financial Risk Management
2010 Copyright by DMC
10
Financial Markets and Products
Deriving forward interest rates from a set of spot rates Cash flows from a FRA Calculation of the change in a bond's price given duration, convexity, and a change in interest rates Major theories of the term structure of interest rates