- CFA Exams
- 2025 Level II
- Topic 9. Portfolio Management
- Learning Module 41. Measuring and Managing Market Risk
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Learning Outcome Statements PDF Download
| 1. Value at Risk explain the use of value at risk (VaR) in measuring portfolio risk; compare the parametric (variance -covariance), historical simulation, and Monte Carlo simulation methods for estimating VaR; estimate and interpret VaR under the parametric, historical simulation, and Monte Carlo simulation methods; describe advantages and limitations of VaR; describe extensions of VaR; | |
| 2. Other Key Risk Measures describe sensitivity risk measures and scenario risk measures and compare these measures to VaR; demonstrate how equity, fixed-income, and options exposure measures may be used in measuring and managing market risk and volatility risk; describe the use of sensitivity risk measures and scenario risk measures; describe advantages and limitations of sensitivity risk measures and scenario risk measures; | |
| 3. Using Constraints in Market Risk Management explain constraints used in managing market risks, including risk budgeting, position limits, scenario limits, and stop-loss limits; explain how risk measures may be used in capital allocation decisions. | |
| 4. Applications of Risk Measures describe risk measures used by banks, asset managers, pension funds, and insurers; |
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