concentration-risk

  1. Nicole Seaman

    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...
  2. Nicole Seaman

    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)...
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