Taxonomy and Measurement of Investment Risk

This week’s topics

Taxonomy and Measurement of Investment Risk

1. Systematic vs unsystematic risk
2. Credit risk, default exposure, and counterparty failure
3. Liquidity, currency, and operational risks
4. Quantitative risk metrics: standard deviation, beta, and Value at Risk (VaR)
5. ACCA AFM | Financial Risk Management | Value at risk VAR and Futures | Lecture 33
6. Systematic Risk vs Unsystematic Risk
7. CIMA P3 Foreign currency risk
8. Moody's KMV Model
9. The Use of Loss Given Default (LGD) - Deloitte

What you will be able to do

• 3.1 Analyse types of investment risk.

Activity

Start with this week’s 5 videos, then: Seminar, guided reading and a short written task: analyse types of investment risk.

Study materials

Videos

• ACCA AFM | Financial Risk Management | Value at risk VAR and Futures | Lecture 33 · YouTube · Tutor Star · 36 min · for registered students
• Systematic Risk vs Unsystematic Risk · YouTube · Edspira · 7 min · for registered students
• CIMA P3 Foreign currency risk · YouTube · OpenTuition · 34 min · for registered students
• Moody's KMV Model · YouTube · TU Delft · 13 min · for registered students
• The Use of Loss Given Default (LGD) - Deloitte · YouTube · TU Delft · 8 min · for registered students
• Session 8: The Determinants of Betas (and Macro Risk Exposure) · YouTube · Aswath Damodaran · 85 min · for registered students

Further resources

• Principles of Finance 2e, ch. 15: How to Think about Investing · PDF · OpenStax, textbook chapter; pp. 455–482 · for registered students
• Risk Management for Enterprises and Individuals, ch. 2: Risk Measurement and Metrics · PDF · Saylor Academy, textbook chapter; pp. 46–88 · for registered students