Litterman, Chapter 17: Risk Monitoring and Performance Measurement Study Notes include 13 pages covering the following learning objectives:
* Define, compare and contrast VaR and tracking error as risk measures.
* Describe risk planning including objectives and participants in its development.
* Describe risk budgeting and the role of quantitative methods in risk budgeting.
* Describe risk monitoring and its role in an internal control environment.
* Identify sources of risk consciousness within an organization.
* Describe the objectives and actions of a risk management unit in an investment management firm.
* Describe how risk monitoring can confirm that investment activities are consistent with expectations.
* Describe Liquidity Duration Statistic and how it can be used to measure liquidity.
* Describe the use of alpha, benchmark, and peer group as inputs in performance measurement tools.
* Describe the objectives of performance measurement.
After reviewing the notes, you will be able to apply what you learned with practice questions.
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