CFA level 2 - Formula Practice Sheet

Quant

Standard error of estimate

Correlation Coefficient
(SSE)

Coefficient of Determination

Adjusted R square

T-test F-test

Anova Table

三大假設 定義 Test 修正

Unit Root ARCH

Mear reverting level for AR(1)

定義
model

檢測

例外

Precision Recall

FPR TPR

Accuracy F1 Score

Type 1 error Type 2 error

Data Curation Data Cleansing

Data Wrangling

AUC LASSO

Economics

Covered Interest Rate Parity Uncovered Interest Rate Parity

MTM Value of a Forward

Contract

Absolute PPP Relatvie PPP

International Fisher Effect Ex-ante PPP

IFE 成立條件 Fisher Effect

Carry Trade Taylor Rule

Cobb-Douglas Production
Return on equity market
Function

Caose Theroy Growth rate in potential GDP

Labor Force Participation Steady state of growth

Endogeneous Growth Model Neoclassical

Financial Reporting And Analysis

IFRS 9 MTM CG

Debt FVOCI

AC

Equity FVOCI

Full goodwill Partial goodwill

Equity Method

Funded status (兩公式) Periodic Pension Cost

 Ending Fair Value of Plan
Ending benefit obligation
Assets

CB圖

The impact of rate changes B/S I/S

DR

Compensation increase

Expected return

Pension Component Component IFRS GAAP

Total Tier 1 Capital Total Regulatory Cpaital

Common Equity Tier 1 Ratio Tier 1 Ratio

Total Capital Ratio

LCR NSFR

M-Score Z-Score

Net Operating Asset B/S based Accruals Ratio

Cash-flow-based Accruals
Ratio

Corporate Finance

Value of levered firm

Cost of Equity

MMI without tax MMI with tax

MMII without tax MMII with tax

Target payout adjustment

model (Lintner Model)

Initial Outlay ATOCF

TNOCF EAA

Economic income Economic profit

Equity

Gordan Growth Model (Equity

Ibbostson-Chen model
risk premium)

ROIC ROCE

PVGO (兩公式) H- Model

Sustainable growth rate PRAT model

FCFE FCFF

FCFE (A%、B%) FCFF (含特別股)

Enterprise Value (含特別股)

Trailing P/E Leading P/E

P/B

Trailing P/S Leading P/S

Trailing D/P Leading D/P

E/P PEG

FED Model Yardeni Model

Farma French Pastro Stambaugh Model

Blume's adjustment for

Buildup Method
regression Beta
Unleavered beta of public Leveared Beta of non public
company company

Economic Value Added Market Value Added

Residual Income Residual Income Model

Single Stage RI Valuation

CRI
Model

Clean surplus CCM

DLOC EEM

Total discount

Fixed Income

Forward pricing model Forward rate model

Swap spread Ted spread

LIBOR-OIS spread G-spread

Bull flatten Bear flattish

Abritrage free value of bond

Effective duration Effective convexity

Conversion Calue Conversion ratio

Market conversion premium

Market conversion price
per share
Market conversion premium
Value of convertible bond
ratio

CVA

Structural Model

Interms of Call option Put option

Equity

Debt

Upfront premium Price of CDS

Upfromt payment

Derivatives
Forward pricing

Forward valuation

FRA pricing FRA valuation

Currency swap pricing Currency swap valuation

Equity swap valuation

h (call) h (put)

No-arbitrage approach C

Expectation approach

Black-scholes option pricing

c
model

BSM with carry benefits

BSM Put-call parity

black option valuation model c

Black put-call parity

Payer Swaption

Receiver Swaption

Theta Vega Gamma Delta

Alternatives

Net lease Net operating income (NOI)

Appraisal-based index Return Highest ad Best use

Appraisal-based index Transaction based index

Value of property Cap rate

IRR (Real estate)

LTV ratio DSCR

Equity dividend rate Net asset value approach

FFO AFFO

VC method PIC

TVPI RVPI

Futures Price Calendar Spread

Roll return Basis Spread

Total Return Contango

Backwardation

Portfolio Management

Arbitrage Pricing Theory (APT) Carhart Four Factor Model

Macroeconomic Factor Model Statistical Model

Fundamental Factor Model

Active Return Active Risk

Information Ratio Active Risk Squared

Parametric VaR VaR 調時間

CVaR MVaR

Inter-temporal rate of
RVaR
substitution

Optimal Sharp Ratio (兩公式) Value addied (圖解)

TC (定義&公式) IC (定義&公式)

Full Findamental Law (含BR)

Effective Spread