Caia Level 1
Caia Level 1 Questions
Caia Level 1 Questions
Fichier Détails
| Cartes-fiches | 253 |
|---|---|
| Langue | English |
| Catégorie | Finances |
| Niveau | Autres |
| Crée / Actualisé | 10.02.2016 / 13.06.2022 |
| Lien de web |
https://card2brain.ch/box/caia_level_1
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CDS credit default swap
Funded credit instruments involve the transfer of notional principal
- Defensive stage (late 1980s - early 1990s) - Emergence of intermediaries (1991 - late 1990s) - Development of Redulations (late 1990s - 2002) - Liquid Market (2003 - present)
Credit Default Swap CDS
- CDS (credit default swap) - TRS (total return swaps)
-CDS spread - Contract size and maturity - Payment trigger events - Method of settlement - Choice of assets to deliver
- Credit reference - Notional amount - CDS spread - CDS maturity
- contract termination - offsetting postion - novation
- ability to isolate pure credit risk - synthetic short credit positions can be implemented cheaply and effectively - ability to create synthetically credit exposure without owning the underlying asset - serve as a link between bond, loan, equity, structured products - provide much needed liquidity during market stress
- Operational risk - Pricing/model risk - Liquidity risk
- Counterparty risk - Basis risk
- Ramp -up period - Revolving period - Amortization period
- weighted average rating factor WARF -> measures the risk; scale 1 -10'000 - weighted average spead WAS -> measure of the return - diversity score -> measures diversity
- balance sheet CDO - arbitrage CDO
- reduce credit exposure from balance sheet - capital infusion - reduce regulatory capital charges
earn profits through management fees and excess spread in the equity tranche
- cash -funded CDOs - synthetic CDOs
- cash flow CDOs - market value CDOs - synthetic CDOs
- Ownership: cash -funded own the assets - Use of proceeds from the sale of tranches: cash -funded buy laons and bonds from collateral, synthetic buy treasury securities
- avoids the transfer of assets - less burdensome - scarce assets - use of leverage
- cash flow CDOs: maturities of CDO assets and liabilities are matched - market value CDOs: portfolio is actively traded to generate a higher return
credit enhancements are made to improve credit ratings. Subordination
internal: - overcollateralization - excess spread - cash external: - standard insurance contract - put option - CDS
copula approach
- financial engineering risk - differences in payment periodicity and dates - basis risk - credit spread compression - yield curve risk
- style drift - operational errors - fraud
- operational errors - operational fraud - agency conflicts
- Prevention - Detection - Mitigation
54%
- risks inherent in the stated hedge fund strategy - risks that arise from the use of leverage - idiosyncratic risks that arise from the implementation of the actual strategy
- Fund structure review - Investment strategy review - Administrative review - Performance review - Risk Assessment - Legal review - Checking references
- What is the fund's investment objective? - What is the fund's investment process? - What is the fund manager's comepitive advantage / value added?
a dependent variable and one or more independent variables
the percent of the variation in the dependent variable explained by the independent variables
OLS ordinary least squares method
- uncorrelated - homoskedastic - normally distributed
slope and intercept are biased upward, therefore, in return the t -statistic is biased downward - -> Type II error
to explain fund returns relative to: - returns of asset classes held by the fund (style analysis) - returns of funds with similar strategies - market factors that drive asset returns - fund replication using specialized market factors
fund replication using specialized market factors
- Regression test - Measure of skill test - Persistence of volatility test - Serial correlation test
