财政机关风险管理PPT48(1)

RiskManagementinFinancialInstitutionsDr.ZhongyangChenAssociateProfessorSchoolofFinanceRenminUniversityofChinaWhatToday?AboutmeAbouttheCourseWhy?What?How?ChapterOneAboutmeBornandbroughtupinHunanProvince,China,1968-1987EducatedandWorkinginRenminUniversity,Beijing,1987-PresentAssociateProfessorofSchoolofFinance,RenminUniversityVisitingScholar,ReadingUniversity,UK,1998-1999Fulbrighter,SuffolkUniversity,U.S.A,2002-2003MoreInformation:ResumeinWebpage:What?RiskManagementcourse:anemergingcourseJustliketheriskconceptitself,riskmanagementcourseisnotyetunanimouslydefined,ordesigned.Aboutderivativesandfinancialderivatives?Aboutriskmeasuringmodels?Aboutauditingandinternalcontrol?Aboutfinancialinstitutionsmanagement?Alloftheabove?AbouttheCourse:What?OurPlannedCoverageChapter1Introduction:What,WhyandHow?Chapter2MarketriskmanagementChapter3CreditriskmanagementChapter4OperationalriskmanagementChapter5LiquidityriskmanagementChapter6Risk-basedregulationandtheNewBaselCapitalAccordSpecialtopic:RiskofChina’sfinancialsystemAbouttheCourse:How?Lecturing,CasestudyandPresentationMiddle-termtestFinalwrittenexaminationAboutgrading20%CaseStudyandPresentation30%Problemsassignments40%Finalwrittenexamination10%ClassAttendanceandParticipationFirstofall,let’stalkaboutrisk!----Howmuchdoyouknowaboutrisk?Listrisk-relatedwordsDefineriskinyourownwords.Makesentencesusingrisk.Yourpreference/attitudetoriskHowdoyoumanageoravoidriskinyoureverydaylife?Yourviewsonriskandfinance/investment.Yourpreference/attitudetorisk高、中、低三种状态Makesentencesusingrisk.风险是可控的风险是由不可确定性造成的风险是高投资，高收益的投资人群是可以依据风险偏好分类的风险是可以预料的，但不可避免Listrisk-relatedwords保险投资损失战争婚姻学习就业对冲基金篱笆旅行期权期货Defineriskinyourownwords.灾害可能的损失危机不可预料的危险对某个客体在某种情况下造成危险的事件出乎自己的意料而造成的损失不利的因素可能承担的代价Chapter1IntroductiontoRiskManagement:What,WhyandHow?1Whatisrisk,especiallyinperspectiveofFIs?2WhyFIsshouldmanagerisk?3Howtomanagefinancialrisk?(Basicconceptsandmethodologiesofmanagingrisk)4Evolution,revolutionandtrendsofriskmanagement1.Whatisrisk?Commonword,hardtodefineclearly,preciselyIntuitively,somethingwhichpossible(notdefinitely)makeyoulosesomethingelsevaluabletoyou,therefore(definitely)makesyouworryorsufferAcademically,andinperspectiveofFIs,(Somedefinitionformpopulartextbooks)RiskisuncertaintyoffutureoutcomeRiskispotentiallossRiskisdeviationfromexpectationRiskisanychangeresultinginlossRiskisvolatilityRiskisdanger,orhazardComparingsomeinvolvedorrelatedconceptsUncertaintyVolatilityLoss(severity)HazardProbabilityRiskexposureUncertaintyTheoreticalcontroversyaboutwhetherriskisequivalenttouncertaintyMostofthefinancebooksorinvestmentbookstreatordefineriskasuncertaintyInsomebooks,especiallyondecisionmaking,riskisdifferentiatedfromuncertaintyinthewayhowfuturesituationisperceived.Risk:Decisionmakerhastheknowledgeofthepossibleoutcomesandtherespectivepossibilitiesoftheseoutcomes.Thus,riskismeasurable.Uncertainty:Decisionmakershavenosuchknowledge.Thus,uncertaintyisnotmeasurable.VolatilityVolatilityismeasuredbyvarianceσ2orstandarddeviationσ,double-sidemeasurementofrisk,includingupsidepotentialanddownsidepotentialFirstintroducedbyHarryMarkowitz,asabasicmeasureofriskofinvestmentonitsown.Variance(σ2):Theprobabilityweightedsumofthesquareddeviationsofalltheoutcomesfromtheirmean(expectedvalue).standarddeviation(σ):thesquarerootofvarianceLoss(severity)LossitselfisnotriskRealizedloss(Probabilitynotinvolved)Potentialloss(Probabilityinvolved)Expectedloss(Probabilityinvolved)Unexpectedloss(atsomespecifiedconfidenceinterval,Probabilityinvolved)Lossgivendefault(LGD)orotherevent,(Probabilitynotinvolved)(LGD=1—recoveryrate)HazardIninsurancebusinessandlendingbusiness,riskcanbedifferentiatedobviouslyfromhazard.Riskispotentialloss,orlossgivenacertainpossibility,Hazardistheenvironmentoreventwhichcanincreasethescale(severity)or/andpossibilityofloss.PhysicalhazardandMoralhazardMoralHazardTheoretically,moralhazardresultsfrominformationasymmetry.Moralhazardoccurswhentheinsuredfailstotakeproperprecautionstoavoidlossesbecauselossesarecoveredbyinsurance.HurricaneFran1996inNorthCarolinacoast,yachtownersdidnottakedowntheiroldcanvascovers.Moralhazardplaysimportantroleincreditmanagement.Borrowcouldintentionallyviolatetherestrictivecovenantsandinvestborrowingsinhighriskproject.Inmanagingcreditrisk,oneimportantaspectistoreducemoralhazard,andhencetoreduceinformationasymmetry.Financialstructuring,monitoringandenforcingcovenantscanhelpreducemoralriskindebtcontract.ProbabilityRiskyinvestmentisnotasurething,probabilitycalculationisinevitablyinvolvedandevenbecomeacorepartofmoderninvestmentandriskmanagementExpectedreturnandStandarddeviation(andhencecovarianceandcorrelationcoefficient)arethemostbasicelementsofanalyticframeworkofmoderninvestmentandriskmanagementProbabilityDistributionFunction(PDF)isthecoreandhardpartofriskmodeling.IncreasinglysophisticatedstatisticskillsandadvanceprobabilitytheoriesaregainingmoreandmoregroundinriskmanagementLarg