دانلود کتاب ارزش گذاری و مدل های ریسک – بخش 1 کتاب 4 (FRM Part 1)

After completing this reading, you should be able to:
• Describe the mean-variance framework and the efficient frontier.
• Compare the normal distribution with the typical distribution of returns of risky financial assets such as equities.
• Define the VaR measure of risk, describe assumptions about return distributions and holding periods, and explain the limitations of VaR.
• Explain and calculate ES and compare and contrast VaR and ES.
• Define the properties of a coherent risk measure and explain the meaning of each property.
• Explain why VaR is not a coherent risk measure.