Risk Portfolio and Investment Analysis

Risk Portfolio and Investment Analysis

a) Explain CAPM for risk analysis and investment management. [10 Marks]

b) Comment on the validity of the CAPM model assumptions and their implications for CAPM empirical strengths. [10 marks]

c) Explain credit risks and corporate default risks? Why does it matter for the portfolio managers to minimise them? [10 Marks]

[30 Marks-900 Words]

Question 2

There is no room for active fund management if random walk theory and the Efficient Market Hypothesis (EMH) holds. Do you agree? Why or why not?

[25 Marks-750 Words]

Question 3

Evaluate the role of securitisation in the financial crisis of 2007. Why risk modelling techniques such as Value at Risk (VaR), and GAARCH were not successful. Support your arguments using empirical literature and existing academic research. Suggest improvements that can be employed to make these techniques more robust.

[45 Marks-1350 Words]