single-factor-model

  1. Nicole Seaman

    P2.T6.24.12 Single-Factor Model and Granularity

    Learning Objectives: Describe the use of a single-factor model to measure portfolio credit risk, including the impact of correlation. Define beta and calculate the asset return correlation of any pair of firms using the single factor model. Using the single-factor model, estimate the probability...
  2. Nicole Seaman

    P2.T6.24.11. Correlation-based credit, credit portfolio framework, and Credit VaR

    Learning Objectives: Define and calculate default correlation for credit portfolios. Identify drawbacks in using the correlation-based credit portfolio framework. Assess the impact of correlation on a credit portfolio and its Credit VaR. Describe the use of a single-factor model to measure...
    • Nicole Seaman
    • Thread
    • correlation credit-portfolio credit-portfolio-framework default-correlation portfolio-credit-risk single-factor-model
    • Replies: 0
    • Forum: FRM® Practice Questions
  3. David Harper CFA FRM

    P1.T1.20.10. Multifactor models of risk-adjusted asset returns

    Learning objectives: Explain the arbitrage pricing theory (APT), describe its assumptions and compare the APT to the CAPM. Describe the inputs (including factor betas) to a multifactor model. Calculate the expected return of an asset using a single-factor and a multifactor model. Explain models...
    • David Harper CFA FRM
    • Thread
    • arbitrage-pricing-theory capital-asset-pricing-model expected-return factor-betas fama-french-model multifactor-models risk-adjusted-asset-returns single-factor-model
    • Replies: 0
    • Forum: FRM® Practice Questions
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