by Alfie Brixton, Antti Ilmanen, Jordan Brooks, Nicholas McQuinn, Peter Hecht, Thomas Maloney
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Suggested foundations for asset pricing and factor research and rates and fixed income. Specialist prerequisites vary by paper.
Interpret exposures, residuals and uncertainty in fitted coefficients.
Work with returns and recognise their empirical limitations.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Connect factor definitions to portfolio construction.
Distinguish exposure estimation from tests of expected returns.
Build a consistent discount curve.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.