Derivatives, bonds, VaR models, expected shortfall and valuation techniques.
40 cards · basic cards · AI-written, checked twice. Edit anything.
- What does a call option give the holder?
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The right (not obligation) to buy an asset at a strike price- What does a put option give the holder?
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The right (not obligation) to sell an asset at a strike price- How do forwards and futures contracts differ?
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Forwards are customized and OTC; futures are standardized and exchange-traded- What does delta measure in options?
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The change in option price for a one-unit change in the underlying asset price- What does gamma measure in options?
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The change in delta for a one-unit change in the underlying asset price- What does vega measure?
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The change in option price for a 1% change in volatility- What does theta measure in options?
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The change in option price for a one-day decrease in time to expiration- What does rho measure?
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The change in option price for a 1% change in the interest rate- What is duration?
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The weighted average time to receive a bond's cash flows, measured in years- How does modified duration differ from Macaulay duration?
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Modified duration accounts for yield and measures price sensitivity; Macaulay does not- What does convexity measure?
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The curvature in the relationship between bond price and yield- What is DV01?
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The dollar change in a bond's value for a 1 basis point change in yield- How are spot rates and forward rates related?
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Forward rates are derived from spot rates; the spot curve determines the forward curve- What is a yield curve?
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A graph showing bond yields at different maturities- What does an inverted yield curve typically signal?
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An expected economic slowdown or recession in the future
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