Principles for Effective Risk Data Aggregation and Risk Reporting

After completing this reading, you should be able to: Explain the potential benefits of having effective risk data aggregation and reporting. Describe key governance principles related to risk data aggregation and risk reporting practices. Identify the data architecture and IT…

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Arbitrage Pricing Theory and Multifactor Models of Risk and Return

After completing this reading, you should be able to: Describe the inputs, including factor betas, to a multifactor model. Calculate the expected return of an asset using a single-factor and a multifactor model. Describe properties of well-diversified portfolios and explain…

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Applying the CAPM to Performance Measurement

After completing this reading you should be able to: Calculate, compare, and evaluate the Treynor measure, the Sharpe measure, and Jensen’s alpha. Compute and interpret tracking error, the information ratio, and the Sortino ratio. Exam tip: Be sure to understand…

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The Capital Asset Pricing Model

After completing this reading, you should be able to: Understand the derivation and components of the CAPM. Describe the assumptions underlying the CAPM. Interpret the capital market line. Apply the CAPM in calculating the expected return on an asset. Interpret…

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Risk Management Failures – What Are They and When Do They Happen?

After completing this reading you should be able to: Explain how a large financial loss may not necessarily be evidence of a risk management failure. Analyze and identify instances of risk management failure. Explain how risk management failures can arise…

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Getting up to Speed on the Financial Crisis

After completing this reading you should be able to: Describe the historical background and provide an overview of the 2007-2009 financial crisis. Describe the build-up to the financial crisis and the factors that played an important role. Assess the consequences…

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Deciphering the Liquidity and Credit Crunch 2007-2008

After completing this reading you should be able to: Describe the key factors that contributed to the lending boom housing frenzy. Explain the banking industry trends leading up to the financial crisis and assess the triggers for the liquidity crisis….

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Financial Disasters

After completing this reading, you should be able to: Analyze the key factors that led to and derive the lessons learned from the following risk management case studies: Chase Manhattan and their involvement with Drysdale Securities Kidder Peabody Barings Allied…

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Risk Management, Governance, Culture, and Risk taking in Banks

After completing this reading, you should be able to: Assess methods that banks can use to determine their optimal level of risk exposure, and explain how the optimal level of risk can differ across banks. Describe implications for a bank…

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Regression with a Single Regressor – Hypothesis Tests and Confidence Intervals

After completing this reading you should be able to: Calculate and interpret confidence intervals for regression coefficients. Interpret the \(p-value\). Interpret hypothesis tests about regression coefficients. Evaluate the implications of homoskedasticity and heteroskedasticity. Determine the conditions under which the OLS…

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