金融风险Chapter 2 Market Risk Management（PPT 53）

:VaRapproach4Measuringmarketrisk:otherapproaches5HedgingandInsuringwithDerivatives中国最大的资料库下载1.1definitionsMarketriskistheriskthatchangesinfinancialmarketspricesandrateswillreducesthevalueoftheFI’spositionsSensitivityofportfoliovaluetomarketvariablesMarketvariables:Interestrate,FXrate,equityprice,commodityprice,andeventhevolatilityofpriceVolatilityofinvestmentportfolioandofmarketvariablesAcaution:Broaddefinitionvs.narrowdefinition(onlyreferringtoequityrisk)Volatilityisthemeasurementordescriptionoftheriskiness(fluctuation)ofriskfactor(source)itself.Itisusuallymeasuredbyvarianceorstandarddeviation.Sensitivitylinkstheinvestmentportfoliowithriskfactorbymeasuringthelevelorscaleofresponseoftheinvestmenttothechangeofriskfactor.Itisusuallymeasuredbythefirstorderderivativeofa(value)function,suchasdurationofabond,βcoefficientofastock,etc.AnalternativeexpressionofsensitivityiselasticityComingfromthewholeeconomicsystem,ratherfromcounterparty,orinternalside,therefore,systematicnature,ratherthanfirm-specificriskHardtodiversify,butcanbehedged,orinsuredMarktomarket,normallyDataadvantage,relativelyeasytomeasurecomparedwithcreditandoperationalriskNormaldistributionassumptioninvaluationandriskmodelingDerivatives,financialengineeringaremajormanaginginstrumentandskillsEvolvementofriskyEnvironmentandregulationsFXrates,interestrates,DerivativeProductsdevelopmentRiskmodeling(Riskmetrics1994)Losscasesin90sG30report,1994Baselaccord1996(marketriskintradingbook)NewBaselcapitalaccord2002+(interestrateriskinbankingbook)Marketriskismanagedmainlythroughhedgingandinsuringstrategieswithinstrumentsofderivatives,whichincludeforward,future,option,swapandexotics.PortfoliomanagementandDiversificationstillhasapartinmarketriskmanagementInternalcontrolsystemandmarketriskmanagementdepartmentplayincreasinglyimportantroleinmarketriskmanagementSensitivityapproach,VaRapproachOtherapproach(Stresstesting)Tradingbook:Thetradingportfoliocontainsassets,liability,andderivativecontractthatcanbequicklyboughtorsoldonorganizedfinancialmarkets.Bankingbook:Theinvestmentportfoliocontainsassetsandliabilitiesthatrelativelyilliquidandheldforlongerholdingperiods.Note:CapitalProducesacushionagainstlossesoneitherthebankingortradingbooks(long)Bond(short)Commodities(long)Commodities(short)TradingBookFX(long)FX(short)Equities(long)Equities(short)Derivatives*(long)Derivatives(short)*Derivativesareoffbalance-sheet.中国最大的资料库下载Marketriskintradingbook1.Mainrisk2.Data,valuation,marktomarket3.Derivativeandfinancialengineering4.Baselaccord1996Marketriskinbankingbook1.Notmainrisk,interestraterisk,foreignexchangerisk2.Datadifficulty,lessliquid,valuation,marktomodel3.Assetliabilitymanagement4.Baselaccord2000+中国最大的资料库下载2.1IntroductiontosensitivityapproachWhatissensitivity?SensitivitymatchingprincipleSensitivitymeasureofriskandassetvaluationfunctionTypesofsensitivitymeasuressensitivity=responsetochange,elasticitySensitivityofaninvestmentportfoliotosomeriskvariable,orfactoristhemeasureofextend(degree)of(value)responsetoariskfactorchange.Asensitiveissue:Howmuchwilltheinvestmentportfolioloseitsvalueifaspecificriskfactorchange(e.g.100bpsinterestcut)occurs?Apossibleanswer:$100loss(orgain)dueto1%interestratechange中国最大的资料库下载Sensitivitylinksinvestment(riskexposure)withriskfactor,butfocusesoninvestmentitself.Sensitivitymeasuretakesmarket(riskfactor)changeasgiven,theprobabilityofchangeisignored,andnotinvolvedinthismeasure.Onlyseveritymeasure.Notacompleteriskmeasuresensitivity=firstorderderivativeofafunction,Inthecaseofinvestment,sensitivitymeasureofinvestmentriskisthefirstorderderivativeofthevaluationfunctionoftheinvestmentExample:If,Valueofaninvestment=F(r,e,p),then,sensitivitytoroftheinvestment=firstorderpartialderivativeofvaluefunctionFwithrespecttovariabler=dF/drDuetothemutually-offsetting(auto-hedging