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1. Arithmetic Return= (Pt+Dt-Pt-1)/Pt-1 where Pt and Pt-1 are prices at
time t and t-1 resp. and Dt is the dividends flow between time t-1 and t
2. Geometric Return= ln([Pt+Dt]/Pt-1)
3. delta normal VaR(alpha%)= [-mean(returns)
+stdDev(returns)*z(alpha%)]*Pt-1 where Pt-1 is initial portfolio
position ...remember this is absolute Var
4. Lognormal VaR(alpha%)= [1-exp[mean(returns)stdDev(returns)*z(alpha%)]]*Pt-1
5. Standard error of Quantile se(q)= sqrt[p(1-p)/n]/f(q)
6. Generalized Extreme Value Distribution(GEV) :
F(X|E,mean,stdDev)= exp[-[1+E*((x-mean)/stdDev)]^(-1/E)] ;E=shape
parameter of tail !=0
F(X|E,mean,stdDev)= exp[-exp((x-mean)/stdDev)] ;E=shape parameter
of tail =0
7. Generalized Pareto Distribution(GPD):
1-[1+(E*x/beta)]^(-1/E) ;E=shape parameter of tail !=0
1-[exp(-x/beta)] ;E=shape parameter of tail =0
8. Var Using PoT VaR= u+(beta/E)[[(n/Nu)*(1-CL)]^-E - 1] where u is the
upper limit for losses. CL is confidence level, Nu no of losses above u
and total no of observations is n
9. Expected Shortfall Using POT parameters
ES= VaR/(1-E) + (Beta-E*u)/(1-E)
10. Yield based DV01= (1/10000)*[(Sum of PV(weighted time) of Bond's
Cash flows)/(1+periodic yield)]
11. Modified Duration= 1/P*(1/1+periodic yield)*(Sum of PV(weighted
time) of Bond's Cash flows)
12. Macualay duration= (1+periodic yield)* Modified Duration
13.Mortgage payment(monthly)= MB0*[r/1-(1+r)^-T] where r is
monthly interest rate and MB0 is original loan balance ,T is loan
maturity
14. Loan to Value ratio= Current Mortgage Amount/Current Apprised
Value
15. Single monthly Mortality Rate, SMM= 1-(1-CPR)^1/12 where CPR is
current prepayment rate
16. Bond Equivalent yield=2*[(1+monthly CF yield)^6-1]
17.option Cost= Zero Volatility Spread- Option Adjusted Spread
18. Put call parity: p+S=c+X*e^(-Rf*T)
19.Information ratio= [Rp-Rb]/std Dev(Rp-b) where Rp is portfolio

.return....Marginal Contribution to value added= Alpha of asset.(IR) 24. Risk Aversion= Information Ratio/2*Active risk thats the first half wait for more thanks ShaktiRathore.. 2013 #3 2.2) 33. May 11. Undiversified VaRp=VaR1+VaR2 34. 21.. Component VaR= VaR*Betai*wi .Marginal VaRi= (VaR/P)*Betai 36.1*V where Q is no of shares of security.wi is weight of individual security i 31..smb*[E(SMBt)]+ Betai.ln(1+rT)/T 23.t]+ Betai. t=[MERp/stdDev(p)]-[MERb/stdDev(b)]/sqrt(2/N) where MER is mean excess return 25... Liquidity Duration= Q/. ShaktiRathoreActive Member Here are the rest of the lot for the part II...t= Rf. Individual VaR=z*stdDev(i)*wi*P . V is volume of security 29. Active portfolio return= Rpa= beta(pa)*Rb+[Xpa1*Rf1+Xpa2*Rf2. std Deviation of equally weighted portfolio of n securities with equal stdDeviation stdDev and correlation rho stdDeviation of portfolio= stdDev *sqrt[1/n+(1-1/n)*rho] 35.P is portfolio value 30...2)] for securities 1 and 2 32.m*[E(Rm)-Rf. Covariance(1. Rb is benchmark return.t + alphai + Betai. Sharpe Ratio t-Test. std Dev(Rp-b) is active risk and Rp-Rb is active return 20.Average Log Return= ln(1+r1)+ln(1+r2)+ln(1+r3)+..X are factors sensitivities to portfolio and s is unsystematic risk 26...Xpan*Rfn]+Spar where beta(pa) is sensitivity to benchmark.hml*[E(HMLt)] 27. VaR of Two Asset Portfolio= z*P*sqrt[w1^2*stdDev1^2+w2^2*stdDev2^2+2w1w2*stdDev1*stdDev2*correlation(1. Total Active Systematic Return=Expected Active beta return+ Active beta surprise+ Active benchmark timing return 28.2)=stdDev1*stdDev2*correlation(1.. Fama French three factor model: Ri.. Alpha and IR test: t(alpha%)= alpha-0/SE(alpha) and t(IR)= IR-0/S.E. Diversified VaR= z*stdDev(p)*P .2*Risk Aversion* Active Risk*Marginal contribution to active risk 22.

2)]/ULp .2)]/ULp so that RC1+RC2=ULp 46. E(ROA) is expected return on assets 44. stdDev is stdDeviation of firm assets. Distance to Default(lognormal Distribution)= [log(V/defaultThreshold)+ [E(ROA)-. Distance to default= [expected Asset return-default threshold]/stdDev(exp asset returns) 43. RAROC= [Revenues-Expected Loss-Expenses+Return on Economic capital+/-transfer price]/Economic Capital 54. D is current value of debt. LGD= F*PD-V*exp(mean*(T-t))*N(d) 51. Adjusted RAROC= ARAROC= RAROC-Rf/Beta(eqty) 56. CDS Spread. 2013 #4 o 3.0) 42.*(Liabs/Assets) where Surplus = Assets.RC2= UL2*[UL2+UL1*corr(1.2)] 45.5*stdDev^2]*Maturity]/stdDev*sqrt(Maturity) where V is value of firm assests. PD= CS/1-RR where CS is spread of corporate bond wrt Rf and RR is expected recovery rate 39.Liabilities 38. spread= (Ask price-Bid Price)/. PV of payoff =s* PV of payments => s=PV of payoff/PV of payments 53. Credit spread= -[(1/T-t)*ln(D/F)]-Rf where T-t is remaining maturity. F face value of debt and Rf is risk free rate 48. Vasicek Model: change in interest rate r= speed of reversion of r*(k-r(t))*small change in time t+ stdDev of r* random error term ShaktiRathore.change in Liabilities)/Assets=Rasset-Rliabs. Probability of Default. Portfolio Unexpected Loss of two asset portfolio ULp= sqrt[UL1^2+UL2^2+2*UL1*UL2*correlation(1. Like x 1 ShaktiRathoreActive Member here are rest to 49. Vulnerable option= (1-PD)*c +PD*RR*c 52.Mean Loss Rate=PD(1-RR)= PD*LGD 47.37.5*stdDev^2*(T-t)]/stdDev*sqrt(T-t)} 50.5*(Ask price+Bid Price) . Economic Capital= Operation VaR-EL=Unexpected Loss 55. Risk Contribution=RC1= UL1*[UL1+UL2*corr(1.max(Dm-Vm. Cumulative probability of default(2yrs)= 1-{(1-PD1)*(1-P(Default in yr2|no default in yr 1))} 41. May 11. Merton Model. Payment to Debtholder= Dm.Return on surplus=change in surplus/Assets=(change in Assets. Merton Models: PD=N{[ln(F/V)-mean*(T-t)+. Risk neutral probability of default= 1-[(1+Rf)/(1+y)] where Rf is risk free rate and y is yield on Bond 40.0) and Payment to Stockholder= max(Vm-Dm.

Stressed VaR= max(SVaRt-1. LVaR/VaR|comb. 62. EL= PD*LGD .) where m is a factor 67. m*SVaRavg.=LVaR/VaR|exog. Elasticity=E= (change in P/P)/(change in N/N) 60. net stable funding ratio= Available amount of stable funding/Required amount of stable funding 66.5*V*spread where V is asset value 58. LVaR/VaR= 1+[spread/2*(1-exp(-stdDev*z)] 59. Liquidity Coverage ratio= Stock of highly Liquid Assets/Total net cash outflow over next 30 days 65.57. *LVaR/VaR|endo. Capital Ratio= Total Capital/Total Risk weighted Assets 63. LVaR= VaR*(1-change in P/P)=VaR*(1-E*change in N/N) 61. Capital Requirement(K)= [Conditional EL-EL]*maturity Adjustment 64. Liquidity Adjusted VaR=LVaR= V*z*stdDev+ .