concentration-risk
-
P2.T5.22.11 Correlation Basics
Learning objectives: Describe financial correlation risk and the areas in which it appears in finance. Explain how correlation contributed to the global financial crisis of 2007-2009. Describe the structure, uses, and payoffs of a correlation swap. Estimate the impact of different correlations...- Nicole Seaman
- Thread
- concentration-risk correlation correlation-risk correlation-swap global-financial-crisis systemic-risk trading-book var-capital-charge
- Replies: 0
- Forum: FRM® Practice Questions
-
P2.T6.701. Unexpected loss and return on risk-adjusted capital (RARORAC) (De Laurentis)
Learning objectives: Explain expected loss, unexpected loss, VaR, and concentration risk, and describe the differences among them. Evaluate the marginal contribution to portfolio unexpected loss. Define risk-adjusted pricing and determine risk-adjusted return on risk-adjusted capital (RARORAC)...- Nicole Seaman
- Thread
- concentration-risk delaurentis expected-loss rarorac risk-adjusted-pricing unexpected-loss var
- Replies: 5
- Forum: FRM® Practice Questions