Chapter 1. Measures of Financial Risk Practice Question set contains 25 pages covering the following learning objectives:
* Describe the mean-variance framework and the efficient frontier.
* Explain the limitations of the mean-variance framework with respect to assumptions about return distributions.
* Compare the normal distribution with the typical distribution of returns of risky financial assets such as equities.
* Define the VaR measure of risk, describe assumptions about return distributions and holding period, and explain the limitations of VaR.
* Explain and calculate Expected Shortfall (ES), and compare and contrast VaR and ES.
* Define the properties of a coherent risk measure and explain the meaning of each property.
* Explain why VaR is not a coherent risk measure.
* Describe spectral risk measures, and explain how VaR and ES are special cases of spectral risk measures.Shop Courses