FRM 2021 Schweser Quicksheet Part II更多资料敬请期待.pdf

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 Models Historical simulation approach: order return • Has the exact opposite properties of mean reversion. observations and find the observation that • The sum of the mean reversion rate and the one- Model 1: assumes no drift and that interest rates corresponds to the VaR loss level.