multi-factor-models
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P1.T4.911. Multi-factor interest rate risk models (Tuckman Ch.5)
Learning objectives: Describe and assess the major weakness attributable to single-factor approaches when hedging portfolios or implementing asset liability techniques. Define key rate exposures and know the characteristics of key rate exposure factors including partial ‘01s and forward-bucket...- Nicole Seaman
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- asset-liability-techniques forward-bucket-01 hedging-portfolios interest-rate-risk-models key-rate-exposures key-rate-shift-analysis multi-factor-models partial-'01s single-factor-approach
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- Forum: FRM® Practice Questions
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P1.T1.705. Fama-French three factor model (Bodie's multifactor models continued)
Learning objectives: Describe properties of well-diversified portfolios and explain the impact of diversification on the residual risk of a portfolio. Explain how to construct a portfolio to hedge exposure to multiple factors. Describe and apply the Fama-French three factor model in estimating...- Nicole Seaman
- Thread
- bodie diversification fama-french multi-factor-models well-diversified-porfolio
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- Forum: FRM® Practice Questions