The following methods are used to measure market risk in the industry, except A Regression method B Historical simulation method C Delta-normal method D Monte Carlo method
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The following methods are used to measure market risk in the industry, except
| A |
Regression method |
|
| B |
Historical simulation method |
|
| C |
Delta-normal method |
|
| D |
Monte Carlo method |
Market risk refers to the measurement of uncertainty in the future outcomes underlying the investment decision. It shows the factors involved in the fluctuations affecting teh entire financial market.
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- Comparing Value at Risk (VAR) and Expected Shortfall (ES), which is preferred by regulators for measurement of market risk and why? Please explain your answer.Compare and contrast the MPT with the CAPM with reference to the following aspects: Risk measurement; Risk-return graphical presentation – Capital Market Line (CML) versus Security Market Line (SML); Usage in portfolio management.This is a generalized framework for analyzing the relationship between risk and return: a. capital asset pricing model b. diversification theory c. capital market line d. arbitrage pricing theory
- Calculate WACC based on market valuesCritically discuss the application of EWMA, GARCH and asymmetric GARCH models to volatility estimation in financial engineering.Using the data generated in the graph, show what the information looks like in a spreadsheet. a) Plot the Security Market Line (SML) b) Superimpose the CAPM’s required return on the SML c) Indicate which investments will plot on, above, and below the SML? d) If an investment’s expected return (mean return) does not plot on the SML, what does it show? Identify undervalued/overvalued investments from the graph.
- Using the data generated in the previous question (Question 1) Plot the Security Market Line (SML) b) Superimpose the CAPM’s required return on the SML c) Indicate which investments will plot on, above and below the SML?Asset pricing Models provide a logical basis for computing the risk premiums anddetermining the asset price. Describe using CAPM and APT. Also differentiatebetween CAPM & APT. Also discuss its assumptions. This question is related to Investment Analysis and Portfolio ManagementA plot/graph of the positive relation between systematic risk and expected return is called: O security market line standard deviation and width of the normal distribution O covariance graph O capital asset pricing model