Systematic risk: Difference between revisions
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imported>Doug Williamson (Expand first definition.) |
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The same as ''systemic risk''. | The same as ''systemic risk''. | ||
Revision as of 14:05, 16 May 2020
1. Capital Asset Pricing Model (CAPM).
Systematic risk is an important concept in the Capital asset pricing model.
Systematic risk means the element of total risk which cannot be eliminated by holding a diversified portfolio of investments.
Under the CAPM, only systematic risk is rewarded with additional returns.
(Because rational investors are assumed to have already fully diversified away all diversifiable risks).
Systematic risk is often quantified by Beta.
Systematic risk is also known as 'market risk' or 'non-diversifiable risk'.
2. Financial markets supervision.
The same as systemic risk.
