I have assembled a list of outstanding things I don't quite get by paper. Feel free to chime in on any of them. Yes it is very long and I apologize, but the title was a hint.
SECTION A
BKM9:
1)How is it that buying less of stocks that are similar in nature to private business doesn't alter CAPM substantially, but bidding up hedge assets of the private firms unique risks does?
2)What is a good way to explain the clientele effect on liquidity (example).
BKM12:
1)Is forecasting error just the combination of the other information processing errors?
BKM13:
1)Is the e(it) term in the first stage regression a parameter in the 2nd stage, and if so is this value averaged when portfolios are introduced to reduce volatility?
2)What does the phrase "highly correlated with its self and the true market" mean in the critique of using a proxy to the true market.
SECTION B
Hull 4:
1)Why are treasury rates understated version of true risk free rate.
BKM16:
1)Does effective duration incorporate inflation if we model price change that way?
Hull 7:
1)If CMOs are called CDO^2, are MBS a CDO?
2)For CMO tranches short to long, what is the interplay of definition with a general CDO tranche junior to senior? Are they completely different?
Feldblum ALM
1)Feldblum says P&C has inflation sensitive liabilities. Panning says that FV causes total firm value to be much higher than just CEV. Could this be a legitimate tie-together as to why longer term bonds would be recommended? Or should we focus on the premium cash flow prevents need to have short term so P&C enjoys extra yield from long term?
SECTION C
Hull 23:
1) Are corporates more illiquid than risk free of same maturity?
2) What are some examples of vi instruments in the CVA procedure?
Cummins CAT
1)Why are we investing in high rated bonds but then swapping the fixed for an inflation sensitive return? Why not just buy an inflation sensitive bond? Do those not exist?
Goldfarb:
1)How would we adjusted the RAROC for stranded capital charge (decrease/increase) and why?
Stulz:
1)Does higher expected Bankruptcy cost mean "given bankruptcy it is worse" or "more likely to incur bankruptcy" or both?
SECTION D
McClenahan:
1)How do we recognize infrastructure in an example? Paper doesn't seem to address aside from mentioning they should be valued as bought at the front and sold at the end.
2)When adjusting the U in Robbin, the PHSF are credited with the portfolio or new money rates. McClenahan says opportunity cost should be calculated at the risk free rates. Why the difference in methods (is Robbin's offset not reflecting opportunity cost to PH)?
Felblum IRR:
1)In the discussion on different policy forms, what kind of IRR model would make no distinction between excess coverage, etc?
Ferari:
1)I don't see Increase Premium to Surplus leads to decrease in Underwriting Profitability. Is this not one of the relationships?
Roth:
1)How is surplus paid in, by which I mean what is the market dynamic? At issue are we requiring that shares are sold to gain the surplus/capital?
2)How would a mutual company account for surplus paid in since they can't issue stock?
Robbin:
1)Why does PVI/PVE method exist? What is it trying to accomplish; some sort of discounted average of the year to year CYROE?
Mango:
1)Why are we bothering with the binomial approximation (is each event loss case a unique independent catastrophe)?
2)For Covariance Share, are we free to use subjective weights if we just say "Mango said we can use subjective weights and mine are simpler"?
SECTION A
BKM9:
1)How is it that buying less of stocks that are similar in nature to private business doesn't alter CAPM substantially, but bidding up hedge assets of the private firms unique risks does?
2)What is a good way to explain the clientele effect on liquidity (example).
BKM12:
1)Is forecasting error just the combination of the other information processing errors?
BKM13:
1)Is the e(it) term in the first stage regression a parameter in the 2nd stage, and if so is this value averaged when portfolios are introduced to reduce volatility?
2)What does the phrase "highly correlated with its self and the true market" mean in the critique of using a proxy to the true market.
SECTION B
Hull 4:
1)Why are treasury rates understated version of true risk free rate.
BKM16:
1)Does effective duration incorporate inflation if we model price change that way?
Hull 7:
1)If CMOs are called CDO^2, are MBS a CDO?
2)For CMO tranches short to long, what is the interplay of definition with a general CDO tranche junior to senior? Are they completely different?
Feldblum ALM
1)Feldblum says P&C has inflation sensitive liabilities. Panning says that FV causes total firm value to be much higher than just CEV. Could this be a legitimate tie-together as to why longer term bonds would be recommended? Or should we focus on the premium cash flow prevents need to have short term so P&C enjoys extra yield from long term?
SECTION C
Hull 23:
1) Are corporates more illiquid than risk free of same maturity?
2) What are some examples of vi instruments in the CVA procedure?
Cummins CAT
1)Why are we investing in high rated bonds but then swapping the fixed for an inflation sensitive return? Why not just buy an inflation sensitive bond? Do those not exist?
Goldfarb:
1)How would we adjusted the RAROC for stranded capital charge (decrease/increase) and why?
Stulz:
1)Does higher expected Bankruptcy cost mean "given bankruptcy it is worse" or "more likely to incur bankruptcy" or both?
SECTION D
McClenahan:
1)How do we recognize infrastructure in an example? Paper doesn't seem to address aside from mentioning they should be valued as bought at the front and sold at the end.
2)When adjusting the U in Robbin, the PHSF are credited with the portfolio or new money rates. McClenahan says opportunity cost should be calculated at the risk free rates. Why the difference in methods (is Robbin's offset not reflecting opportunity cost to PH)?
Felblum IRR:
1)In the discussion on different policy forms, what kind of IRR model would make no distinction between excess coverage, etc?
Ferari:
1)I don't see Increase Premium to Surplus leads to decrease in Underwriting Profitability. Is this not one of the relationships?
Roth:
1)How is surplus paid in, by which I mean what is the market dynamic? At issue are we requiring that shares are sold to gain the surplus/capital?
2)How would a mutual company account for surplus paid in since they can't issue stock?
Robbin:
1)Why does PVI/PVE method exist? What is it trying to accomplish; some sort of discounted average of the year to year CYROE?
Mango:
1)Why are we bothering with the binomial approximation (is each event loss case a unique independent catastrophe)?
2)For Covariance Share, are we free to use subjective weights if we just say "Mango said we can use subjective weights and mine are simpler"?
Long list of ponderances
0 commentaires:
Enregistrer un commentaire