About Me
Financial Instruments
Portfolio Analysis
Corporate Finance
European Integration
Accessories
Portfolio Theory (.doc, 0.16 MB)
Expected utility (risk aversion, certainty equivalent, St Petersburg paradox). Risk-return space (indifference map, risk-return calculus, investment opportunity set, Capital Market Line). Capital Asset Pricing Model (market portfolio, Security Market Line, portfolio beta, portfolio diversification, systemic and non-systemic risk, Single-Index Model). Extensions of CAPM (zero beta portfolio, Roll's critique, borrowing and lending rates). Arbitrage Pricing Theory. ... and more
Portfolio Management (.doc, 0.21 MB)
Techniques of passive management (buy-and-hold, stratified sampling, immunization, cash-flow matching). Techniques of active management (quest for alpha, beta trading, bond switching). Mixed techniques (contingent immunization, portfolio insurance). Portfolio performance (money-weighted and time weighted return). Risk adjusted returns (Sharpe ratio, Treynor ratio, Fama decomposition). Securitization (sequential and subordination structures, pros and cons of securitization). ... and more
Value at Risk (.doc, 0.63 MB)
Definition of VaR (confidence level, target horizon, probability distribution). VaR measurement (historical approach, parametric approach, Monte-Carlo simulation). Diversified and non-diversified VaR. Choleski factorisation. Linear and non-linear risk. Credit risk measurement (credit spread, risk-neutral probabilities of default, historical probabilities of default). Credit at Risk (credit transition matrix, CaR for two-bond portfolio). ... and more