月FRM1级第一部分风险管理基础和第二部分定量分析讲

FoundationsofRiskManagementAIMS†Creatingvaluewithriskmanagement†Marketefficiency,equilibriumandCAPM(重点）†Performancemeasurementandattribution（重点）†Sharperatioandinformationratio（重点）†Trackingerror†FactormodelsandArbitragePricingTheory（重点）†Riskmanagementfailures†Casestudies†EthicsFinancialRiskmanagement2010CopyrightbyDMC1DefineRisk(I)‡Riskcanbedefinedasthevolatilityofunexpectedoutcomes,whichcanrepresentthevalueofassets,equity,orearnings.‡Volatilitymostfrequentlyreferstothestandarddeviation（标准方差）ofthecontinuouslycompoundedreturns（连续复利回报）ofafinancialinstrumentwithaspecifictimehorizon.FinancialRiskmanagement2010CopyrightbyDMC2‡standarddeviationisameasureofthedispersion(离散程度）ofadataset（金融数据）.Alowstandarddeviationindicatesthatthedatapointstendtobeveryclosetothemean（平均值）,whilehighstandarddeviationindicatesthatthedataare“spreadout”（分散）overalargerangeofvalues.FinancialRiskmanagement2010CopyrightbyDMC3DefineRisk(II)FinancialRiskmanagement2010CopyrightbyDMC4DefineRisk(III)112)(−=∑−=−NNixxiσ如是总体,标准差公式根号内除以n,如是样本,标准差公式根号内除以（n-1),因为我们大量接触的是样本,所以普遍使用根号内除以（n-1),‡Continuouslycompoundedreturns:†设本金为p0，年利率为i，当每年含有m个复利结算周期（若一个月为一个复利结算周期，则m=12，若以一季度为一个复利结算周期，则m=4）时，则1年后的本利和为：当复利结算的周期数（这意味着资金运用率最大限度的提高）时：FinancialRiskmanagement2010CopyrightbyDMC5DefineRisk(IV)SignificantMarketEventsofPastSeveralDecadesFinancialRiskmanagement2010CopyrightbyDMC6SignificantMarketEventsofPastSeveralDecadesFinancialRiskmanagement72010CopyrightbyDMCDefineDerivativeContract†Derivativesareinstrumentsdesignedtomanagefinancialrisksefficiently.†Aderivativecontractcanbedefinedgenerallyasaprivatecontractderivingitsvaluefromsomeunderlyingassetprice,referencerate,orindex-suchasastock,bond,currency,orcommodity.Suchacontractalsospecifiesanotionalamount,definedintermsofcurrency,shares,bushels,orsomeotherunit.Incontrasttosecurities,suchasstocksandbonds,whichareissuedtoraisecapital,derivativesarecontracts,orprivateagreementsbetweentwoparties.FinancialRiskmanagement2010CopyrightbyDMC8DualRoleLeveragePlaysInDerivatives†Leverage:Borrowing†Theleverage,however,isadouble-edgedsword.Itmakesthederivativeanefficientinstrumentforhedgingandspeculationowingtoverylowtransactioncosts.Ontheotherhand,theabsenceofanupfrontcashpaymentmakesitmoredifficulttoassessthepotentialdownsiderisk.Hencederivativesriskshavetobemonitoredcarefully.FinancialRiskmanagement2010CopyrightbyDMC9DefineFinancialRiskManagement†Financialriskmanagementreferstothedesignandimplementationofproceduresforidentifying,measuring,andmanagingfinancialrisks.†Imagineyourselfasariskmanagerinchargeofcontrollingtheriskofagroupoffixed-incometraders.Howdoyoulimitpotentiallosseswhilestillallowingtraderstotakeviewsonmarkets?Thisistheessenceofariskmanager‘sjob.（stop-losslimit,notionallimit,sensitivitylimit(敏感性分析)FinancialRiskmanagement2010CopyrightbyDMC10DefineVaR†VARsummarizestheworstlossoveratargethorizonthatwillnotbeexceededwithagivenlevelofconfidence.†未来100天里99％置信区间的VaR是100万美元：在未来100天里，投资组合有99天的损失不会超过100万美元，只有1天的损失会超过100万美元.†VaR考虑了波动率和资产相关性。†VaR在正常市场下比较准确，在极端波动的情况下容易出现错误，例如2008年，很多金融机构的风险系统都失效。†VaR的缺点：没有给出最坏情况下的损失情况FinancialRiskmanagement2010CopyrightbyDMC11MarketRisk†Marketriskistheriskoflossesowingtomovementsinthelevelorvolatilityofmarketprices.†Marketriskcantaketwoforms:absoluterisk,measuredindollartent‘s(orintherelevantcurrency),andrelativerisk(ETF),measuredrelativetoabenchmarkindex.Whiletheformerfocusesonthevolatilityoftotalreturns,thelattermeasuresriskintermsoftrackingerror,ordeviationfromtheindex.FinancialRiskmanagement2010CopyrightbyDMC12ControllingMarketRisk†Marketriskiscontrolledbylimitsonnationals,exposures,VARmeasures,andindependentsupervisionbyriskmanagers.†对衍生产品合理的定价FinancialRiskmanagement2010CopyrightbyDMC13LiquidityriskAssetvs.Fundingliquidityrisk†Liquidityrisktakestwoforms,assetliquidityriskandfundingliquidityrisk.†Asset-liquidityrisk,alsoknownasmarket/product-liquidityrisk,ariseswhenatransactioncannotbeconductedatprevailingmarketpricesowingtothesizeofthepositionrelativetonormaltradinglots.Thisriskvariesacrosscategoriesofassetsandacrosstimeasafunctionofprevailingmarketconditions.FinancialRiskmanagement2010CopyrightbyDMC14†Funding-liquidityrisk,alsoknownascash/flowrisk,referstotheinabilitytomeetpaymentsobligations,whichmayforceearlyliquidation,thustransforming“paper”lossesintorealizedlosses.Thisisespeciallyaproblemforportfoliosthatareleveragedandsubjecttomargincallsfromthelender.Cash-flowriskinteractswithproduct-liquidityriskiftheportfoliocontainsilliquidassetsthatmustbesoldatlessthan“fair”marketvalue.(例子，雷曼兄弟）FinancialRiskmanagement2010CopyrightbyDMC15LiquidityriskAssetvs.FundingliquidityriskCreditRiskExposureandRecoveryRate†Creditriskistheriskoflossesowingtothefactthatcounterpartiesmaybeunwillingorunabletofulfilltheircontractualobligations.†Thislossencompassestheexposure,oramountatrisk,andtherecoveryrate,whichistheproportionpaidbacktothelender,usuallymeasuredintermsofcentsonthedollar.'“†Lossesowingtocreditrisk,however,canoccurbeforetheactualdefault.Moregenerally,creditriskshouldbedefinedasthepotentiallossFina