Please enable JavaScript.

Coggle requires JavaScript to display documents.

Market Risk (11.Term structure (drift in term structure (Model 3 (CIR…

- - - - interest rate drift
  - - - volatility effect
      - convexity effect
        
        maturity
        
        yield
        
        volatility
  - - - negetive drift
    - - ho-lee
      - vasicek
    - - effectiveness
      - half-life
      - formula&calculation
      - CIR MODEL
  - - - calculate short rate
      - describe
      - efficacy
    - - deterministic drift
      - mean-reversion
    - - calculate: short-term rate
      - basis point volatility
    - - FX
      - Equity
- - - - Normal Distribution
        
        百题：95% 1.56 比例固定位置更近瘦尾
        比较尖峰肥尾的前提是同均值方差
      - ♣LogNormal Distribution
        
        公式
        log normal var 计算
- - - - 检验公式
        
        sigma=sqrt(np(1-p))
        
        另一种算法顺序
      - 有了接受域再与实际值比较
- - - - undiversified VaR
      - diversified VaR
- - - - Calculate adjustment factor, delta
      - calculate the off set position
        
        one asset
        
        Multiple assets