Jorion, Chapters 7 & 17 practice question set reviews the following learning objectives:
Chapter 7: Portfolio Risk: Analytical Methods
Define, calculate, and compare the following portfolio VaR measures: diversified and undiversified portfolio VaR, individual VaR, incremental VaR, marginal VaR, and component VaR.
Explain the impact of correlation on portfolio risk.
Apply the concept of marginal VaR in making portfolio management decisions
Explain and calculate the risk-minimizing position and the position that maximizes the ratio of expected return to risk.
Explain the difference between risk management and portfolio management, and describe how to use marginal VaR in portfolio management.
Chapter 17: VaR and Risk Budgeting
Define risk budgeting.
Describe the impact of horizon, turnover, and leverage on the risk management process in the investment management industry.
Describe the investment process of large investors such as pension funds.
Describe the risk management challenges associated with investments in hedge funds.
Describe and compare the following types of risk: absolute risk, relative risk, policy-mix risk, active management risk, funding risk, and sponsor risk.
Explain the use of VaR to monitor risk.
Explain how VaR can be used in the development of investment guidelines and for improving the investment process.
Describe the risk budgeting process and calculate risk budgets across asset classes and active managers.
We have also provided individual links for each question to their respective forum discussion.
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