金融风险管理手册(英文)

JWPR017-FMDesign-SampleMay2,200719:16CharCount=0FinancialRiskManagerHandbookFourthEditionPHILIPPEJORIONGARPJohnWiley&Sons,Inc.iJWPR017-FMDesign-SampleMay2,200719:16CharCount=0FinancialRiskManagerHandbookFourthEditionPHILIPPEJORIONGARPJohnWiley&Sons,Inc.iJWPR017-FMDesign-SampleMay2,200719:16CharCount=0Copyrightc2007byPhilippeJorion,exceptforFRMsamplequestions,whicharecopyright1997–2007byGARP.TheFRMdesignationisaGARPtrademark.AllrightsreservedPublishedbyJohnWiley&Sons,Inc.,Hoboken,NewJersey.PublishedsimultaneouslyinCanada.WileyBicentennialLogo:RichardJ.PacificoNopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmittedinanyformorbyanymeans,electronic,mechanical,photocopying,recording,scanning,orotherwise,exceptaspermittedunderSection107or108ofthe1976UnitedStatesCopyrightAct,withouteitherthepriorwrittenpermissionofthePublisher,orauthorizationthroughpaymentoftheappropriateper-copyfeetotheCopyrightClearanceCenter,Inc.,222RosewoodDrive,Danvers,MA01923,[phone],fax[phone],orontheWebat(201)748-6011,fax[phone],oronlineat:Whilethepublisherandauthorhaveusedtheirbesteffortsinpreparingthisbook,theymakenorepresentationsorwarrantieswithrespecttotheaccuracyorcompletenessofthecontentsofthisbookandspecificallydisclaimanyimpliedwarrantiesofmerchantabilityorfitnessforaparticularpurpose.Nowarrantymaybecreatedorextendedbysalesrepresentativesorwrittensalesmaterials.Theadviceandstrategiescontainedhereinmaynotbesuitableforyoursituation.Youshouldconsultwithaprofessionalwhereappropriate.Neitherthepublishernorauthorshallbeliableforanylossofprofitoranyothercommercialdamages,includingbutnotlimitedtospecial,incidental,consequential,orotherdamages.Forgeneralinformationonourotherproductsandservicesorfortechnicalsupport,pleasecontactourCustomerCareDepartmentwithintheUnitedStatesat(800)762-2974,outsidetheUnitedStatesat(317)572-3993orfax(317)572-4002.Wileyalsopublishesitsbooksinavarietyofelectronicformats.Somecontentthatappearsinprintmaynotbeavailableinelectronicformats.FormoreinformationaboutWileyproducts,visitourWebsiteat:16CharCount=0AbouttheAuthorandGARPABOUTTHEAUTHORPhilippeJorionisaProfessorofFinanceatthePaulMerageSchoolofBusinessattheUniversityofCaliforniaatIrvine.HehasalsotaughtatColumbiaUniversity,NorthwesternUniversity,theUniversityofChicago,andtheUniversityofBritishColumbia.HeholdsanMBAandaPhDfromtheUniversityofChicagoandadegreeinengineeringfromtheUniversityofBrussels.Dr.Jorionhasauthoredmorethan80publicationsdirectedtoacademicsandpractitionersonthetopicsofriskmanagementandinternationalfinance.Dr.Jorionhasalsowrittenanumberofbooks,includingBigBetsGoneBad:DerivativesandBankruptcyinOrangeCounty,thefirstaccountofthelargestmunicipalfailureinU.S.history,andValueatRisk:TheNewBenchmarkforManagingFinancialRisk,whichisaimedatfinancepractitionersandhasbecomean“industrystandard.”PhilippeJorionisafrequentspeakeratacademicandprofessionalconferences.HeisontheeditorialboardofanumberoffinancejournalsandwaseditorinchiefoftheJournalofRisk.ABOUTGARPTheGlobalAssociationofRiskProfessionals(GARP)isanot-for-profitinde-pendentassociationofriskmanagementpractitionersaroundtheworld.GARP’smissionistobetheleadingprofessionalassociationforriskmanagers,managedbyandforitsmembers,dedicatedtotheadvancementoftheriskprofessionthrougheducation,trainingandthepromotionofbestpracticesglobally.GARP’sglobalmembershipnowexceedsover60,000individualsfromover150countriesaroundtheworld,andGARP’smembersrepresentbanks,investmentmanagementfirms,governmentagencies,academicinstitutions,corporations,andotherfinancialorganizations.FormoreinformationaboutGARP,pleasevisit(FRMR)CERTIFICATIONInfulfillmentofitsmission,GARPofferstheFinancialRiskManager(FRMr)program,theworld’sleadingcertificationprogramforaprofessionalfinancialriskmanager.TheFRMexammeasuresacandidate’sabilitytodynamicallymanagefinancialriskinreal-worldsettings.TheFRMCertificatehasbeenadoptedbycom-paniesasabenchmarktoensuretheirriskmanagementemployeesarewellversedinthelatestfinancialriskconceptsandarequalifiedtoprovidecompetentadviceiiiJWPR017-FMDesign-SampleMay2,200719:16CharCount=0ivABOUTTHEAUTHORANDGARPbasedongloballyacceptedindustrystandards.Since1997morethan10,800indi-vidualshavesuccessfullycompletedtheFRMCertificationprogram,representingover3,000companies.Thisannualexamisadministeredinover70locationsglobally.Formoreinformation,pleasevisitficateanddiplomaprograminrisk-basedregulationandotherin-depthtrainingcoursestoitsglobalmembership.TheRiskAcademy’sofferingsaredesignedtoinstillacultureofriskawarenessatalllevelswithinanorganization.TheGARPRiskAc