FRM_II_Book 4_Current issues in financial markets

Learning Objectives and Reading Assignments......Page 5
Module 64.1: Factors That Impact Asset Prices and the CAPM......Page 11
Module 64.2: Multifactor Models, Pricing Kernels, and Efficient Market Theory......Page 16
Key Concepts......Page 20
Answer Key for Module Quizzes......Page 22
Module 65.1: Value Investing and Macroeconomic Factors......Page 24
Module 65.2: Managing Volatility Risk and Dynamic Risk Factors......Page 28
Module 65.3: Value and Momentum Investment Strategies......Page 31
Key Concepts......Page 36
Answer Key for Module Quizzes......Page 38
Module 66.1: Low-Risk Anomaly, Alpha, and the Fundamental Law......Page 40
Module 66.2: Factor Regression and Portfolio Sensitivity......Page 44
Module 66.3: Time-Varying Factors, Volatility and Beta Anomalies, and Anomaly Explanations......Page 47
Key Concepts......Page 52
Answer Key for Module Quizzes......Page 54
Module 67.1: Illiquid Markets, Market Imperfections, Biases, and Unsmoothing......Page 56
Module 67.2: Illiquidity Risk Premiums and Portfolio Allocation to Illiquid Assets......Page 60
Key Concepts......Page 66
Answer Key for Module Quizzes......Page 68
Module 68.1: The Portfolio Construction Process and Transaction Costs......Page 70
Module 68.2: Practical Issues in Portfolio Construction......Page 73
Key Concepts......Page 78
Answer Key for Module Quizzes......Page 80
Module 69.1: Diversified Portfolio VaR, Correlation, and Marginal VaR......Page 81
Module 69.2: Incremental VaR......Page 86
Module 69.3: Managing Portfolios Using VaR......Page 89
Key Concepts......Page 93
Answer Key for Module Quizzes......Page 95
Module 70.1: Budgeting and Managing Risk With VaR......Page 96
Module 70.2: Monitoring Risk With VaR......Page 101
Key Concepts......Page 107
Answer Key for Module Quizzes......Page 109
Module 71.1: Risk Planning, Budgeting, and Monitoring......Page 110
Module 71.2: Risk Management Units, Liquidity Considerations, and Performance Measurement......Page 113
Key Concepts......Page 117
Answer Key for Module Quizzes......Page 119
Module 72.1: Time-Weighted and Dollar-Weighted Returns......Page 120
Module 72.2: Risk-Adjusted Performance Measures......Page 122
Module 72.3: Alpha, Hedge Funds, Dynamic Risk, Market Timing, and Style......Page 129
Key Concepts......Page 135
Answer Key for Module Quizzes......Page 137
Module 73.1: Hedge Fund Industry, Alpha-Beta Separation, and Hedge Fund Strategies......Page 139
Module 73.2: Hedge Fund Performance, Risk Factors, Risk Sharing, and Institutional Investors......Page 143
Key Concepts......Page 147
Answer Key for Module Quizzes......Page 149
Module 74.1: Past Fund Failures, Due Diligence, and Evaluation......Page 150
Module 74.2: Operational Due Diligence......Page 155
Key Concepts......Page 161
Answer Key for Module Quizzes......Page 163
Module 75.1: Cyber Risk, Market Failures, and Financial Stability......Page 164
Key Concepts......Page 169
Answer Key for Module Quiz......Page 170
Module 76.1: Big Data......Page 171
Key Concepts......Page 178
Answer Key for Module Quiz......Page 179
Module 77.1: Machine Learning......Page 181
Key Concepts......Page 186
Answer Key for Module Quiz......Page 187
Module 78.1: Artificial Intelligence and Machine Learning in Financial Services......Page 188
Key Concepts......Page 193
Answer Key for Module Quiz......Page 194
Module 79.1: Fintech Revolution......Page 195
Key Concepts......Page 205
Answer Key for Module Quiz......Page 206
Module 80.1: Central Clearing and Risk Transformation......Page 207
Key Concepts......Page 213
Answer Key for Module Quiz......Page 214
Module 81.1: Secured Overnight Financing Rate......Page 215
Key Concepts......Page 218
Answer Key for Module Quiz......Page 219
Topic Assessment: Risk Management and Investment Management; Current Issues in Financial Markets......Page 220
Topic Assessment Answers: Risk Management and Investment Management; Current Issues in Financial Markets......Page 223
Formulas......Page 226
Appendix......Page 229
Copyright......Page 236