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FRM®一级风险管理基础备考公式（8）
文章来源：网络
发布时间：2022-01-04 10:59
阅读：498次
本文继续为大家介绍FRM®一级风险管理基础的备考公式，以下是定量分析备考公式（8），一起来看吧。
Types of Risk
Key classes of risk include market risk, credit risk, liquidity risk, operational risk, legal and regulatory risk, business and strategic risk, and reputation risk.【点击免费下载>>>更多FRM学习相关资料】
Market risk includes interest rate risk, equity price risk, foreign exchange risk, and commodity price risk.
Credit risk includes default risk, bankruptcy risk, downgrade risk, and settlement risk.
Liquidity risk includes funding liquidity risk and market liquidity risk.
Credit Risk Transfer Mechanisms
Credit default swaps (CDSs) enable investors to transfer credit risk on a loan product to an insurance company by paying a premium to buy downside protection.
Collateralized debt obligations (CDOs) enable loan originators to repackage loan products into large baskets of loans and then resell those bundles of loans to investors on the secondary markets.
Collateralized loan obligations (CLOs) are very similar to CDOs except they primarily hold underwritten bank loans as opposed to the mortgage bias of CDOs.
Systematic Risk
A standardized measure of systematic risk is beta:
Capital Asset Pricing Model (CAPM)
In equilibrium, all investors hold a portfolio of risky assets that has the same weights as the market portfolio. The CAPM is expressed in the equation of the security market line (SML). For any single security or portfolio of securities i, the expected return in equilibrium is
CAPM Assumptions
Information is freely available.
Markets are frictionless.
Fractional investments are possible.
There is perfect competition.
Investors make their decisions solely based on expected returns and variances.
Market participants can borrow and lend unlimited amounts at the risk-free rate.
Expectations are homogenous.
Measures of Performance
The Sharpe measure is equal to the risk premium divided by the standard deviation, or total risk:
The Treynor measure is equal to the risk premium divided by beta, or systematic risk:
The Jensen measure (a.k.a. Jensen’s alpha or just alpha), is the asset’s excess return over the return predicted by the CAPM:
The information ratio is essentially the alpha of the managed portfolio relative to its benchmark divided by the tracking error, where tracking error is the standard deviation of the difference between portfolio return and benchmark return.
The Sortino ratio is similar to the Sharpe ratio except we replace the risk-free rate with a minimum acceptable return, denoted RMIN, and we replace the standard deviation with a type of downside deviation.
APT describes expected returns as a linear function of exposures to common risk factors:
E(Ri)=RF+BilRP1+bi2RP2+…+bikRPk
where:
bij = jth factor beta for stock i
RPj = risk premium associated with risk factor j
APT defines the structure of returns but does not define which factors should be used in the model. The CAPM is a special case of APT with only one factor exposure: the market risk premium.
The Fama-French three-factor model describes returns as a linear function of the market index return, firm size, and book-to-market factors.
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Derek
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