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OK, I will weigh in.

drymartini, you are correct, the CAPM provides a means of estimating the equity risk premium for a spefic stock. It's as you define it. Equity Risk Premium = beta*Market Risk Premium. if you saw this: "Just saw a sample exam where (Rm - Rf) is referred to as equity risk premium. can that be right?" It is not correct. Rm - Rf is the market risk premium.

3. Monte Carlo VaR - correct, you are not imposing distributional assumptions on the process. So you just choose the worst 5% case, if this is what your confidence level is, as described by NeverUse .... the difference is in variance-covariance method, you are implicitly assuming normal distribution (let's say) so you can just use r - 1.65 standard deviation etc.