Creating portfolio risk and return models [3]

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Bullet points include: Many different types, many different uses Most include subjective prior views, i.e. “expert opinion”, even when ostensibly just risk focused Example model types Short term vs. longer term Normal vs. non-Normal innovations Own directional views? Past data vs. market-implied and/or market consensus Fundamental vs. econometric vs. statistical and economic intuition Characteristics analysis Example uses Risk quantification Capital computation / allocation Identifying / validating views Hedging / implementation Insight / challenge Controls / disciplines

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