202005FRM二级基础班_风险管理与投资管理-阅读版.pdfVIP免费

www.gfedu.net1-198FRM二级培训讲义-基础班RiskManagementandInvestmentManagement讲师：MikeyChowwww.gfedu.net2-198TopicWeightingsinFRMPartIISessionNO.Content%Session1MarketRiskMeasurementandManagement20Session2CreditRiskMeasurementandManagement20Session3OperationalRiskandResiliency20Session4LiquidityandTreasuryRiskMeasurementandManagement15Session5RiskManagementandInvestmentManagement15Session6CurrentIssuesinFinancialMarket10www.gfedu.net3-198FrameworkRiskManagementandInvestmentManagementFactorInvestingPortfolioConstructionPortfolioRiskMeasuresPortfolioRiskManagementPerformanceMeasurementandEvaluationHedgeFundswww.gfedu.net4-198Reading1FactorInvestingwww.gfedu.net5-198Framework1.FactoryTheory2.Factors3.Alpha(andtheLow-RiskAnomaly)www.gfedu.net6-198FactoryTheoryFactorInvestingwww.gfedu.net7-198FactorTheoryTherearemanysimilaritiesbetweenfoodandassets,forexample:Fivemacronutrients—water,carbohydrates,protein,fiber,andfat—foran“average”male,female,andchild.Threemajorriskfactorsarethedrivingforcebehindassets’riskpremiums—marketrisk,creditriskandoperationalriskfactors.AllFoodcontainsdifferenttypesofnutrientsandthemoreexpensivethenutrients,thehigherthepriceofthefood.Allassetshavedifferentexposurestothemarketfactorandthegreatertheexposure,thehighertheriskpremium.Nutrientscanbecheaporexpensiveundercertaincircumstance.Assetshavedifferentpayoffsduringhighorlowinflationperiodsorduringeconomicrecessionsandexpansions,inotherwords,riskpremiumscanbecheaporexpensiveundercertaincircumstance.www.gfedu.net8-198TheTheoryofFactorRiskPremiumsInsummary,therearethreesimilaritiesbetweenfoodandassets:Factorsmatter,notassets.Assetsarebundlesoffactors.Differentinvestorsneeddifferentriskfactors.Thereisonedifference,however,betweenfactorsandnutrients.Nutrientsareinherentlygoodforyou.Factorrisksarebad.www.gfedu.net9-198FactorRiskandCAPMThefactortheoryistryingtoexplainthephenomenon:Investorsexposedtolossesduringbadtimesarecompensatedbyriskpremiumsingoodt...