4. “Risk Budgeting for Pension Funds and Investment Managers Using VAR” (Study
Session 15)
a) discuss key market risks for defined benefit plans and defined contribution
plans/money purchase plans;
b) discuss key market risks for an asset management firm;
c) discuss “risk budgeting” for an investor;
f) compare risk budgeting to asset allocation, investment guidelines, standard deviation,
beta, and duration.
Guideline Answer:
Part A
Determine
whether each of
the three
statements by
If incorrect, give one reason why the
Statement
Hammer is
statement is incorrect
correct or
incorrect
(circle one)
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