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FRM®一级金融市场与金融产品备考公式（7）
文章来源：网络
发布时间：2021-12-29 10:38
阅读：533次
本文继续为大家介绍FRM®一级风险管理基础的备考公式，以下是第三部分金融市场与金融产品的相关公式（7），一起来看吧。
Financial Markets and Products
P&C Insurance Ratios
loss ratio = percentage of payouts versus premiums generated
expense ratio = percentage of expenses versus premiums generated
combined ratio = loss ratio + expense ratio
combined ratio after dividends = combined ratio + dividends
operating ratio = combined ratio after dividends – investment income
Net Asset Value (NAV)
Open-end mutual funds trade at the fund’s NAV:
Hedge Fund Strategies
Long/short equity: go long and short similar securities to exploit mispricings—decreases market risk and generates alpha.
Dedicated short: find company that is overvalued and then short sell the stock.
Distressed debt: purchase bonds of distressed company with the potential to turn things around.
Merger arbitrage: involves purchasing shares in a target firm and selling short shares in the purchasing firm.
Convertible arbitrage: investor purchases a convertible bond and sells short the underlying stock.
Fixed-income arbitrage: long/short strategy that looks for pricing inefficiencies between various fixed-income securities.
Emerging market: invests in developing countries’ securities and/or sovereign debt.
Global macro: makes leveraged bets on anticipated price movements in broad equity and fixed-income markets, interest rates, foreign exchange, and commodities.【点击免费下载>>>更多FRM学习相关资料】
Managed futures: focuses on investments in commodity futures. Employs a high degree of leverage.
Option and Forward Contract Payoffs
The payoff on a call option to the option buyer is calculated as: CT = max(0, ST – X)
The price paid for the call option, C0, is referred to as the call premium. Thus, the profit to the option buyer is calculated as:
profit = CT – C0
The payoff on a put option is calculated as:
PT = max(0, X – ST)
The payoff to a long position in a forward contract is calculated as:
payoff = ST – K
where: ST = spot price at maturity
K = delivery price
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