《货币金融学》黄宪、江春版PPT第12章 金融风险

2020/1/21FinanceDep.ofBusinessSchoolofWuhanUni.1第五篇金融风险和金融监管FinanceDep.ofBusinessSchoolofWuhanUni.22020/1/21主要内容第十二章金融风险第十三章金融监管FinanceDep.ofBusinessSchoolofWuhanUni.32020/1/21第十二章金融风险第一节金融风险的含义和分类第二节金融风险的度量第三节金融风险的经济效应FinanceDep.ofBusinessSchoolofWuhanUni.42020/1/21第一节金融风险的含义和分类一金融风险的含义风险不确定性金融风险：在金融活动中，由于多种因素发生不确定的变化，从而导致行为人蒙受损失的可能性。暴露（EXPOSURE）：指金融活动中存在金融风险的部位以及受金融风险影响的程度。FinanceDep.ofBusinessSchoolofWuhanUni.52020/1/21二、金融风险的分类-系统性风险和非系统性风险系统性风险：来自经济个体所处的外部环境，起因于经济个体无法控制的外在不确定的因素.投资者不能通过投资分散化将其抵消,只能采取某些措施转嫁或规避.非系统性风险:指某个企业或行业所独有的风险.具有个性特征,通过充分有效的分散投资可以降低甚至消除非系统性风险.FinanceDep.ofBusinessSchoolofWuhanUni.62020/1/21CON’DFinanceDep.ofBusinessSchoolofWuhanUni.72020/1/21CON’D信用风险利率风险汇率风险证券价格风险购买力风险流动性风险财务风险财务风险操作风险诈骗风险法律风险国家风险FinanceDep.ofBusinessSchoolofWuhanUni.82020/1/21第二节金融风险的度量一.市场风险的测量(一)均值-方差模型1952年,马柯维茨资产组合选择.1.单一资产的风险度量2.资产组合的风险度量（二）β系数法（三）缺口模型FinanceDep.ofBusinessSchoolofWuhanUni.92020/1/21CON’DFinanceDep.ofBusinessSchoolofWuhanUni.102020/1/21FinanceDep.ofBusinessSchoolofWuhanUni.112020/1/212、资产组合的风险度量FinanceDep.ofBusinessSchoolofWuhanUni.122020/1/21Con’dFinanceDep.ofBusinessSchoolofWuhanUni.132020/1/21FinanceDep.ofBusinessSchoolofWuhanUni.142020/1/21FinanceDep.ofBusinessSchoolofWuhanUni.152020/1/21FinanceDep.ofBusinessSchoolofWuhanUni.162020/1/21FinanceDep.ofBusinessSchoolofWuhanUni.172020/1/21FinanceDep.ofBusinessSchoolofWuhanUni.182020/1/21FinanceDep.ofBusinessSchoolofWuhanUni.192020/1/21FinanceDep.ofBusinessSchoolofWuhanUni.202020/1/21FinanceDep.ofBusinessSchoolofWuhanUni.212020/1/21FinanceDep.ofBusinessSchoolofWuhanUni.222020/1/21FinanceDep.ofBusinessSchoolofWuhanUni.232020/1/21（三）缺口模型1、简单缺口模型考察经济主体的净暴露，即对每种金融资产买入头寸和卖出头寸的差额，即缺口。没有考虑期限。FinanceDep.ofBusinessSchoolofWuhanUni.242020/1/212、敏感性缺口模型利率敏感性资产利率敏感性负债没有考虑有效到期日不同的资产或负债的价值对利率变动反应程度的差异.参考第八章。FinanceDep.ofBusinessSchoolofWuhanUni.252020/1/213、持续期缺口模型由麦克莱于1938年提出的.有效持续期缺口分析则是一种动态的缺口分析方法。有效持续期是金融工具现金流的加权平均时间，可以理解为金融工具各期现金流抵补最初投入的平均时间，实际上是加权的现金流量现值与未加权的现值之比。其方法是计算出每笔资产和每笔负债有效持续期，再根据每笔资产或负债占总资产或总负债里的权数，计算出银行总资产和总负债加权平均有效持续期。FinanceDep.ofBusinessSchoolofWuhanUni.262020/1/21CON’D如下式所示：D=∑(Ct*t/(1+r)t)/(∑Ct/(1+r)t)（1）Dgap=DA-p*DL（2）(1)式为持续期的计算公式,D—持续期,Ct—各期现金流,r—市场利率,Dgap—有效持续期缺口,DA—-总资产的持续期,DL—总负债的持续期,p—资产负债率，D反映了金融产品对利率风险的敏感程度.D反映了市场价格的利率弹性。Thedurationformulaisa„weigthedMaturity“andiscloselyrelatedtottheslopeofthePV-function.FinanceDep.ofBusinessSchoolofWuhanUni.272020/1/21yPVMDPVLPyMDPVPVchangesdiscreteforPVMDdydPVshowcanoneyDMDDurationModifiedyCFwweightstimetwDDurationttttt**/**1PV)1(*RecapofdurationformulaFinanceDep.ofBusinessSchoolofWuhanUni.282020/1/21CON’D有效持续期缺口综合反映了银行全部资产和负债利率风险。当缺口为正值时，如果利率下降，资产价值增加幅度大于负债增加幅度，银行的市场价值将增加；如果利率上升，资产价值减少幅度大于负债价值减少幅度，银行的市场价值将下降。同理，当缺口为负值时，银行市场价值将和利率变动的方向相同。有效持续期缺口的绝对值越小，银行面临的风险越小。当有效持续期缺口为零的，银行就处于所谓的利率风险“免疫”状态。这种理论与简单的敏感性缺口模型相比，更为贴近商业银行业务实际，对资产、负债和表外业务的运动实质考虑比较充分，成为20世纪80年代晚期以后利率风险衡量的重要模型。FinanceDep.ofBusinessSchoolofWuhanUni.292020/1/21（四）VAR法ThebasicconceptValueatrisk=maximumlossovergiventimehorizon,thatisexceededonlywithx%probabilityMethodsHistoricalsimulationMonteCarlosimulationVariance-Covariancemethodx%probabilityVaRfrequencydistributionofP/LP/L0FinanceDep.ofBusinessSchoolofWuhanUni.302020/1/21Whatisthemaximumamountwecanlosethenextday?DailySiemensreturns(14Sep98to14Sep01)-15%-10%-5%0%5%10%15%Sep98Sep99Sep00returnYouareholding10stockseachworth50today,whatwouldyourestimateofthe99%VaRbe?FinanceDep.ofBusinessSchoolofWuhanUni.312020/1/21Historicalsimulationneedsnodistributionalassumptions,butreliesonthedatabeingrepresentativeforthefutureAdvantage:no(explicit)distributionalassumptions=letthedataspeakforthemselvesDisadvantage:theremaybetoofewortoooldobservationsslowadjustmenttotimevaryingriskFinanceDep.ofBusinessSchoolofWuhanUni.322020/1/21TheVarianceCovariancemethodassumesnormaldistribution0%2%4%6%8%10%12%-10%-8%-5%-3%0%3%5%8%10%13%ReturnsFrequencySiemensFittedNormalWhenP/Lfollowsanormaldistribution:Confidence=99%VaR=|-2,33|FinanceDep.ofBusinessSchoolofWuhanUni.332020/1/21TheVariance-covariancemethodrelatesP/LlinearlytoriskfactorreturnsStep1:ExpressP/Lasa(linear)functionofriskfactors..../332211SSPVSSPVSSPVLPSensitivityRiskfactorChange(return)FinanceDep.ofBusinessSchoolofWuhanUni.342020/1/21Ifthereismorethanoneriskfactor,wealsoneedthecovariancesbetweenriskfactorsStep2:ComputetheriskfactorcovaroiancematrixNNNVCM...........1221211ij=covarianceofriskfactorsiandj=correlationofriskfactorsiandj×i×jFinanceDep.ofBusinessSchoolofWuhanUni.352020/1/21Step3:applyVariance-covariance-VaRformula)/(*33.2..........)/(/1122121111LPVaRSSPVSSPVSSPVSSPVLPRSSPVLPnnnniSiiiFinanceDep.ofBusinessSchoolofWuhanUni.362020/1/21TheVCVapproach(likeduration)implicitelyassumesalinearrelationbetweenriskfactorsandvalueConsideraportfolio:shortcall+longpositioninunderlyingvalueofshortcalloptionSpositioninunderlying(deltahedge)S+S0S0„linear“VCV_VaR=0!onlyconvexityriskremains!=valueofportfolioS