Financial risk modeling | Financial models
In finance, the capital asset pricing model (CAPM) is a model used to determine a theoretically appropriate required rate of return of an asset, to make decisions about adding assets to a well-diversified portfolio. The model takes into account the asset's sensitivity to non-diversifiable risk (also known as systematic risk or market risk), often represented by the quantity beta (β) in the financial industry, as well as the expected return of the market and the expected return of a theoretical risk-free asset. CAPM assumes a particular form of utility functions (in which only first and second moments matter, that is risk is measured by variance, for example a quadratic utility) or alternatively asset returns whose probability distributions are completely described by the first two moments (for example, the normal distribution) and zero transaction costs (necessary for diversification to get rid of all idiosyncratic risk). Under these conditions, CAPM shows that the cost of equity capital is determined only by beta. Despite its failing numerous empirical tests, and the existence of more modern approaches to asset pricing and portfolio selection (such as arbitrage pricing theory and Merton's portfolio problem), the CAPM still remains popular due to its simplicity and utility in a variety of situations. (Wikipedia).
How to Use the Capital Asset Pricing Model (CAPM) to Value Investments
If you like this video, drop a comment, give it a thumbs up and consider subscribing here: https://www.youtube.com/c/HowToBeAnAdult?sub_confirmation=1 Read more on the Capital Asset Pricing Model and DOWNLOAD the FREE Excel file here: https://magnimetrics.com/capital-asset-pricing-model-c
From playlist Excel Tutorials
Capital asset pricing model (CAPM, FRM T1-9)
The CAPM is a ex ante single-factor model where the single-factor is the market's excess return: it says that we should expect an excess return that is proportional to the stock's beta, which is the stock's exposure to market's excess return, as measured by the stock's beta. Beta can be re
From playlist Risk Foundations (FRM Topic 1)
Introduction to binomial option pricing model: two-step (FRM T4-6)
[my xls is here https://trtl.bz/2AruFiH] The binomial option pricing model needs: 1. A set of assumptions similar but not identical to those found in Black-Scholes; 2. A framework; i.e., risk-neutral valuation which allows us to infer the probability of an up-jump; 3. An assumption about a
From playlist Valuation and RIsk Models (FRM Topic 4)
QRM 10-3: The Model Building Approach
This video is taken from by basic RM course and deals with MR under the model-building approach.
From playlist Quantitative Risk Management
FRM: Capital market line (CML)
The capital market line is determined by a mix of: the riskfree asset and the market portfolio. The market portfolio, in turn, consists of all risky assets (this example has only two assets). For more financial risk management videos, visit our website at http://www.bionicturtle.com!
From playlist Intro to Quant Finance
Pricing Options Using the Binomial Tree (Risk Neutral Valuation Approach)
These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our website http://www.onfinance.org/ Follow Patrick on twitter here: https://twitter.com/PatrickEBoyle In finance, the binomial option
From playlist Class 3: Pricing Financial Options
Investment Analysis : Python for Finance 9
In this video I'll focus on Investment Analysis! We take will calculate Alpha and Beta for individual and portfolios of stocks. We'll also talk about the Capital Asset Pricing Model, Expected Returns, the Sharpe Ratio and much more. Not only will you understand Investment Analysis, but I'
From playlist Python for Finance
What are Real Options? - Real Options Valuation Method For Capital Budgeting Decisions
Real options valuation, also often termed real options analysis, applies option valuation techniques to capital budgeting decisions. These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our
From playlist Class 5 - Options Wrap Up
Binomial option pricing model for equity index, currencies, and futures options (FRM T4-9)
[here is my xls https://trtl.bz/2AZLCkA] Using a three-step binomial to price "options on other assets" (Hull 13.11 10th edition): equity index option, currency options and futures options (aka, options on futures contracts). The key difference is the calculation of p = probability of an u
From playlist Valuation and RIsk Models (FRM Topic 4)
Lecture 14: Real and Financial Flows: Thailand
MIT 14.04 Intermediate Microeconomic Theory, Fall 2020 Instructor: Prof. Robert Townsend View the complete course: https://ocw.mit.edu/courses/14-04-intermediate-microeconomic-theory-fall-2020/ YouTube Playlist: https://www.youtube.com/watch?v=XSTSfCs74bg&list=PLUl4u3cNGP63wnrKge9vllow3Y2
From playlist MIT 14.04 Intermediate Microeconomic Theory, Fall 2020
Paolo Guasoni, Lesson I - 18 december 2017
QUANTITATIVE FINANCE SEMINARS @ SNS PROF. PAOLO GUASONI TOPICS IN PORTFOLIO CHOICE
From playlist Quantitative Finance Seminar @ SNS
Fin Math L6-2: Pricing a EU call and Historical Volatility.
Welcome to the second part of Lesson 6 of Financial Mathematics. $How can we price a European call, now that we known the Black-Scholes-Merton theorem? What can we say about σ, i.e. volatility? Topics: 00:00 Pricing a EU call 12:28 Volatility in the BSM framework 15:06 Historical volatil
From playlist Financial Mathematics
The Standard Capital Asset Pricing Model - Financial Risk Manager | Simplilearn
🔥Explore Our Free Courses With Completion Certificate by SkillUp: https://www.simplilearn.com/skillup-free-online-courses?utm_campaign=StandardCapitalAssetPricingModel&utm_medium=DescriptionFirstFold&utm_source=youtube This video explains the: 1.Equilibrium Pricing Models 2.Standard Models
From playlist FRM Tutorial | Financial Risk Management Tutorial | Simplilearn
3 1 Model independent relations forwards, futures and swaps Part 1
BEM1105x Course Playlist - https://www.youtube.com/playlist?list=PL8_xPU5epJdfCxbRzxuchTfgOH1I2Ibht Produced in association with Caltech Academic Media Technologies. ©2020 California Institute of Technology
From playlist BEM1105x Course - Prof. Jakša Cvitanić
FRM: Risk-adjusted performance ratios
RAPMs are variations of: return per unit of risk. Treynor and Sharpe are similar: both are excess return per unit of risk. Treynor defines risk as systematic risk (beta) and is therefore appropriate to well-diversified portfolios (i.e., into such portfolios idiosyncratic risk is eliminated
From playlist Performance measures
Fin Math L11: Numeraire, T-forward measure and interest rates
Welcome to Financial Mathematics. In this lesson we finally enter into the modeling of interest rates, which we will no longer consider constant. This implies that many things we have said until now need to be updated and generalised in order to still hold. The new chapter is available he
From playlist Financial Mathematics
Excel Finance Class 110: Security Market Line (SML) & Capital Asset Pricing Model (CAPM)
Download Excel File: https://people.highline.edu/mgirvin/YouTubeExcelIsFun/Busn233Ch11.xlsx Download PowerPoints: https://people.highline.edu/mgirvin/YouTubeExcelIsFun/Busn233ch11.pptx Learn about the Security Market Line (SML) & Capital Asset Pricing Model (CAPM).
From playlist Excel Finance Free Course at YouTube. Cash Flow Analysis and Model Building (110 Videos).
BEM1105x Course Playlist - https://www.youtube.com/playlist?list=PL8_xPU5epJdfCxbRzxuchTfgOH1I2Ibht Produced in association with Caltech Academic Media Technologies. ©2020 California Institute of Technology
From playlist BEM1105x Course - Prof. Jakša Cvitanić