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  2. Capital asset pricing model - Wikipedia

    en.wikipedia.org/wiki/Capital_asset_pricing_model

    An estimation of the CAPM and the security market line (purple) for the Dow Jones Industrial Average over 3 years for monthly data.. 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.

  3. Consumption-based capital asset pricing model - Wikipedia

    en.wikipedia.org/wiki/Consumption-based_capital...

    While the CAPM is derived in a static, one-period setting, the CCAPM uses a more realistic, multiple-period setup. The central implication of the CCAPM is that the expected return on an asset is related to "consumption risk", that is, how much uncertainty in consumption would come from holding the asset.

  4. Asset pricing - Wikipedia

    en.wikipedia.org/wiki/Asset_pricing

    [10] [11] The CAPM, for example, can be derived by linking risk aversion to overall market return, and restating for price. [9] Black-Scholes can be derived by attaching a binomial probability to each of numerous possible spot-prices (i.e. states) and then rearranging for the terms in its formula. See Financial economics § Uncertainty.

  5. Risk premium - Wikipedia

    en.wikipedia.org/wiki/Risk_premium

    The risk premium is equally important for a bank's assets with the risk premium on loans, defined as the loan interest charged to customers less the risk free government bond, needing to be sufficiently large to compensate the institution for the increased default risk associated with providing a loan. [11]

  6. Arbitrage pricing theory - Wikipedia

    en.wikipedia.org/wiki/Arbitrage_pricing_theory

    In finance, arbitrage pricing theory (APT) is a multi-factor model for asset pricing which relates various macro-economic (systematic) risk variables to the pricing of financial assets. Proposed by economist Stephen Ross in 1976, [1] it is widely believed to be an improved alternative to its predecessor, the capital asset pricing model (CAPM). [2]

  7. Financial economics - Wikipedia

    en.wikipedia.org/wiki/Financial_economics

    The Capital market line is the tangent line drawn from the point of the risk-free asset to the feasible region for risky assets. The tangency point M represents the market portfolio. The CML results from the combination of the market portfolio and the risk-free asset (the point L).

  8. Fama–MacBeth regression - Wikipedia

    en.wikipedia.org/wiki/Fama–MacBeth_regression

    The Fama–MacBeth regression is a method used to estimate parameters for asset pricing models such as the capital asset pricing model (CAPM). The method estimates the betas and risk premia for any risk factors that are expected to determine asset prices.

  9. Professional certification in financial services - Wikipedia

    en.wikipedia.org/wiki/Professional_certification...

    The Financial Risk Manager (FRM) is a professional certification in risk management offered by the Global Association of Risk Professionals (GARP). [41] The coverage - focusing on market risk, credit risk and operational risk, and including requisite quantitative and investment management material - is over two exams.