20100924FRM二级current issues_吴轶

11金程教育FRM二级讲义CurrentIssuesinFinancialMarkets讲师：吴轶CFA,FRM,CQF,SII日期：2010年09月地点：■上海□北京□深圳上海金程国际金融专修学院专业来自百分百的投入Copyright2010ByGFEDU吴轶职称：金程教育高级合伙人，金融研究院院长，金程教育资深培训师，FRM首席培训师，特许英国证券分析师协会(CISI)会员与认证教师。CFA（注册金融分析师），FRM（金融风险管理师），获得数量金融认证(CQF)。学历：复旦大学金融工程硕士，复旦大学财务管理学士，香港理工大学金融数学学士。授课：目前为止，共讲授CFA®LevelI40班次，CFA®LevelII20班次，CFA®LevelⅢ10班次，开设IPS写作课程，中国工商银行总行CFA授课6班次，中国银行总行CFA授课2班次，FRM交通银行内部培训班4班次，公开班20班次，CFRM交通银行内部培训班3次，摩根士丹利全英文CISI授课3班次，埃森哲投资银行分析报告写作授课1班次，招商银行信用卡中心内部控制授课2班次，瑞穗实业银行授课2班次，博时基金授课1班次，GMAC上汽金融内训授课2次，东风日产授课1班次，太平洋保险资产负债建模2次，南京证券估值授课2班次，兴业证券授课1班次，华立集团内训授课5次。2009年为业界开设金融数学与资产定价、基于Excel和VBA的金融建模等技能类课程。著作：参编教程《金融计量经济学》；ISTP收入英文论文（独立作者）两篇；《数量经济技术经济研究》两篇论文；《复旦学报》一篇论文；中国民营经济创新国际论坛出版英文会议论文一篇；第二届全国高等计量经济学年会出版会议论文一篇。客户：上海证券交易所，上海期货交易所，中国工商银行总行，中国银行总行、河北省分行、苏州分行，交通银行总行，摩根士丹利，莱曼兄弟（香港），埃森哲，瑞穗实业银行，招商银行、博时基金、信达澳银基金、兴业证券、南京证券、太平洋保险、中宏保险、GMAC、东风日产。联系：电话：86-13917952237Email:[e-mail]专业来自百分百的投入Copyright2010ByGFEDUThePanicof2007HasFinancialDevelopmentMadetheWorldRiskier?ObservationsonRiskManagementPracticesduringtheRecentMarketTurbulenceShareholderReportonUBS’sWrite-DownsSystemicRiskintheFinancialSector:AnAnalysisoftheSubprimeMortgageFinancialCrisisThisTimeIsDifferent:APanoramicViewofEightCenturiesofFinancialCrisesTheFailureMechanicsofDealerBanksCurrentIssuesinFinancialMarkets3专业来自百分百的投入Copyright2010ByGFEDUThePanicof2007Aim:Explaintheevolutionofthesup-primemortgagemarket.Subprimeborrowersaretheriskiestcategoryofborrowers.Therearegenerallyfourmajorissuescitedwithsubprimeborrowersrelatingtotheircreditworthiness,including:•aninabilitytomakeadown-payment•credithistoryissues•aninabilitytodocumentincome•limitedorincorrectinformation.Subprimeborrowerswereanundeservedmarket,andthroughchangesinlegislationandinlendingpractices,thesubprimemortgageboomwasborn.Theunderlyingassumptionthatmadesubprimemortgagesprofitableandviableforbankswasthathomepriceswouldappreciate.专业来自百分百的投入Copyright2010ByGFEDUThePanicof2007Aim:Listdifferencesbetweenprimeandsubprimemortgagesandborrowers.Subprimemortgagescontainacalloptionforthelendersontheunderlyinghouseprices,whichisnotcontainedinprimemortgages.Inaprimemortgage,theborrowercantypicallyprepay(acalloption)themortgagewithnopenalties,butwithasubprimemortgage,thereistypicallyaprepaymentpenalty.Inbothprimeandsubprimemortgages,theborroweralsohastheoptiontodefault(aputoption).专业来自百分百的投入Copyright2010ByGFEDUThePanicof2007Aim:Describethedesignofsubprimeresidentialmortgage-backedsecurities(RMBS).Subprimeresidentialmortgage-backedsecuritiesareformedwhenindividualmortgagesarepooledandsoldtoaREMIC(不动产抵押投资管理委员会)Trust,whichtheninturnsellstheRMBSbondstoinvestors.RMBSbondstypicallyemploya6-packstructure,anexcessspread/overcollateralization(XS/OC)structure,orboth.专业来自百分百的投入Copyright2010ByGFEDUThePanicof2007Aim:ExplaintheroleofCDOsinsubprimesecuritization.ABSCDOsinvestinapoolofsecuritiessuchassubprimeRMBSbondsandthenissuelong-datedbondswithdifferentratings(viatranches)backedbythecashflowsfromtheABSsecurities.ThisisasecondarylayeringofsecuritizationonsubprimemortgagesassubprimemortgageshavealreadybeensecuritizedinthecreationofsubprimeRMBSbonds.专业来自百分百的投入Copyright2010ByGFEDUThePanicof2007Aim:ExplainhowtheABXinformationtogetherwiththelackofinformationaboutthelocationofrisksledtoalossinconfidenceonthepartofbanks.TheABXwasthefirsttransparentmarketthatinvestorscouldviewtogaugethesentimentandvaluationprocessregardingsubprimeresidentialmortgageproducts.Thetransparencybecameadouble-edgedinformationswordinthatseeingthedevaluedassetsreflectedintheABXmeantthatitwasreal,whichfedthepanic.ABX指数作为次级房贷市场的“晴雨表”，其指数随次贷证券资产风险升高而下降。银行对冲基金也直接就ABX下赌注，与ABX相关的衍生工具的交易也是在OTC交易的。当次贷债券市场发生震荡时，也就是敏锐发现套利机会的对冲基金大赚一票的好机会。专业来自百分百的投入Copyright2010ByGFEDUThePanicof2007HasFinancialDevelopmentMadetheWorldRiskier?ObservationsonRiskManagementPracticesduringtheRecentMarketTurbulenceShareholderReportonUBS’sWrite-DownsSystemicRiskintheFinancialSector:AnAnalysisoftheSubprimeMortgageFinancialCrisisThisTimeIsDifferent:APanoramicViewofEightCenturiesofFinancialCrisesTheFailureMechanicsofDealerBanksCurrentIssuesinFinancialMarkets9专业来自百分百的投入Copyright2010ByGFEDUHasFinancialDevelopmentMadetheWorldRiskier?Aim:Listkeydriversofchangeinthefinanciallandscapeoverthepastthirtyyearsanddescribetheirimpact.Thekeydriversofchangechattranspiredinthefinanciallandscapeoverthepast30yearsaretechnologicalchange,deregulation,andinstitutionalchange.Thesechangesledtodisintermediation,marketintegration,andre-intermediation.市场细分–市场整合–市场细分管制–放松–再管制专业来自百分百的投入Copyright2010ByGFEDUHasFinancialDevelopmentMadetheWorldRiskier?Aim:Describewaysinwhichincentivestructuresforinvestmentmanagerstodaydifferfromthoseofbankmanagersofthepastandthetypesofperversebehaviortheycaninduce.Bankmanagersinthepasthadlittleornoincentivestoreachforhigherrevenuebytakingadditionalrisksduetotheregulationandlimitedcompetition.Alongwithderegulationandamorecompetitiveenvironment,compensationoftoday’sinvestmentmanageristiedtostockperformance.Thus,theincentivestructureintoday‘sbankingsys