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# 1.

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]