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Exit VCEDump 8008 PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition

Q6 Single choice

When estimating the risk of a portfolio of equities using the portfolio's beta, which of the following is NOT true:

A
relies upon the single factor CAPM model
B
use of the beta assumes that the portfolio is diversified enough so that the specific risks of the
individual stocks offset each other
C
explicitly considers specific risk inherent in the portfolio for risk calculations
D
using the beta significantly eases the computational burden of calculating risk

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