Скачать с ютуб Measures of Financial Risk (FRM Part 1 2023 – Book 4 – Chapter 1) в хорошем качестве

Measures of Financial Risk (FRM Part 1 2023 – Book 4 – Chapter 1)

For FRM (Part I & Part II) video lessons, study notes, question banks, mock exams, and formula sheets covering all chapters of the FRM syllabus, click on the following link: https://analystprep.com/shop/unlimite... AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams After completing this reading, you should be able to: - Describe the mean-variance framework and the efficient frontier. - Explain the limitations of the mean-variance framework with respect to assumptions about return distributions. - Define the VaR measure of risk, describe assumptions about return distributions and holding period, and explain the limitations of VaR. - Define the properties of a coherent risk measure and explain the meaning of each property. - Explain why VaR is not a coherent risk measure. - Explain and calculate Expected Shortfall (ES), and compare and contrast VaR and ES. - Describe spectral risk measures, and explain how VaR and ES are special cases of spectral risk measures. - Describe how the results of scenario analysis can be interpreted as coherent risk measures.