Capital asset pricing model (CAPM)
Is climate policy uncertainty positively or negatively priced in the stock market, and why?
The authors asses Chinese climate policy uncertainty a systematic risk factor within the intertemporal capital asset pricing model framework, showing CCPU to carry a negative risk premium.
Private equity: Advanced modelling techniques for pricing and valuations
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Why multi-asset investing calls for 3G factor models
Factor models can be helpful in identifying unseen risks in investor portfolios
Tailoring risk modelling for hedge fund investors
Combining returns and positions-based models recommended
The FVA debate continues: Hull and White respond to their critics
The FVA debate continues
A historical-parametric hybrid VAR
A historical-parametric hybrid VAR
Market-consistent equity risk premiums
The capital asset pricing model used to determine excess return for a given risk level and allocate assets typically uses historical data, which can be a poor predictor of risk. By adapting the model to be consistent with market-implied distributions,…
Market-consistent equity risk premiums
Market-consistent equity risk premiums