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Learning Outcome Statements PDF Download
|1. Value at Risk|
a. explain the use of value at risk (VaR) in measuring portfolio risk;
b. compare the parametric (variance-covariance), historical simulation, and Monte Carlo simulation methods for estimating VaR;
c. estimate and interpret VaR under the parametric, historical simulation, and Monte Carlo simulation methods;
d. describe advantages and limitations of VaR;
e. describe extensions of VaR;
|2. Other Key Risk Measures|
f. describe sensitivity risk measures and scenario risk measures and compare these measures to VaR;
g. demonstrate how equity, fixed-income, and options exposure measures may be used in measuring and managing market risk and volatility risk;
h. describe the use of sensitivity risk measures and scenario risk measures;
i. describe advantages and limitations of sensitivity risk measures and scenario risk measures;
|3. Applications of Risk Measures|
j. describe risk measures used by banks, asset managers, pension funds, and insurers;
|4. Using Constraints in Market Risk Management|
k. explain constraints used in managing market risks, including risk budgeting, position limits, scenario limits, and stop-loss limits;
l. explain how risk measures may be used in capital allocation decisions.
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