FRM Training Program: Arbitrage Pricing Theory & Multifactor Models & Data Aggregation
Place:
UCG Office Frankfurt, Germany
Date:
26. February 2026 : 18:30 - 20:30
This session delves into the Arbitrage Pricing Theory (APT) multifactor models, providing frameworks for understanding risk and return beyond the single-factor CAPM.
In the second part we will discuss effective data aggregation and risk reporting.
Participants will explore the assumptions and applications of the APT, comparing it with CAPM. The course covers the calculation of expected returns using single and multifactor models, hedging strategies against multiple risk factors, and the application of the Fama-French three-factor model.
Learning Objectives:
- Define the Arbitrage Pricing Theory (APT), its assumptions, and compare it with the CAPM.
- Identify inputs for multifactor models and discuss the challenges of using them for hedging.
- Calculate the expected return of an asset using single-factor and multifactor models.
- Construct a portfolio designed to hedge exposure to multiple risk factors.
- Apply the Fama-French three-factor model to estimate asset returns.
- Evaluate the benefits of effective risk data aggregation and reporting.
- Analyze implementation challenges for risk data aggregation and the impact of poor data quality.
- Outline key governance principles for risk data aggregation and reporting.
- Identify the characteristics of effective data architecture, IT infrastructure, and risk reporting practices.