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After completing this reading, you should be able to:
- Describe the mean-variance framework and the efficient frontier.
- Explain the limitations of the mean-variance framework with respect to assumptions about return distributions.
- Define the VaR measure of risk, describe assumptions about return distributions and holding period, and explain the limitations of VaR.
- Define the properties of a coherent risk measure and explain the meaning of each property.
- Explain why VaR is not a coherent risk measure.
- Explain and calculate Expected Shortfall (ES), and compare and contrast VaR and ES.
- Describe spectral risk measures, and explain how VaR and ES are special cases of spectral risk measures.
- Describe how the results of scenario analysis can be interpreted as coherent risk measures.
29 мар 2020
