QRM1 Flashcards
1
Q
What is the formula for the linearized loss ?
A
= -(delta_t f(t,Z_t)Delta + sum_i delta_Z_i f(t,Z_i)X_i,t+Delta)
2
Q
What is the Value at Risk ?
A
VaR_alpha = inf{x réel : P(L>x)<=1-\alpha)}
3
Q
What is the Value at Risk_mean ?
A
Var_mean = Var-\mu
4
Q
What is the value at risk for a normal distribution ?
A
Var = \sigma \phi^-1 (alpha)
5
Q
What is the value at risk for a student distribution ?
A
Var = \sigma \t_v^-1 (alpha)
6
Q
What is the Variance of a sigma distribution ?
A
V(L) = \nu \sigma^2/(\nu - 2)
7
Q
What is expected Shortfall ?
A
1/(1-\alpha) \int_\alpha^1 Var_u(L)du
8
Q
What represents t_v for a student distribution ?
A
The CDF (cumulative distribution function) means less or equal <=
9
Q
What represents g_v for a student distribution ?
A
The PDF (Probability density function) means =
