07_第十章_风险管理原理

Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall1第十章第十章::风险管理原理风险管理原理目的•风险和金融决策•风险管理框架•有效的风险配置Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall2第十章第十章目录目录•10.1风险•10.2风险和决策•10.3风险管理过程•10.4风险转移•10.5风险转移和经济效率•10.6风险管理机构•10.7投资组合理论•10.8收益率的概率分布•10.9方差作为风险度量Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall310.110.1风险风险••不确定性不确定性••事关紧要的不确定性事关紧要的不确定性––例子例子Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall4控制风险控制风险••国航国航••中航油中航油••中信泰富中信泰富••长实长实Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall5风险管理策略风险管理策略••保险保险••对冲对冲••分散风险分散风险Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall6资产组合资产组合••不要在一棵树上吊死不要在一棵树上吊死––十家公司期望收益率十家公司期望收益率μμ=0.15,=0.15,方差方差σσ=0.20,=0.20,相关系数相关系数=0.9=0.9Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall7StandardDeviationsofPortfolios0.130.140.150.160.170.180.190.20012345678910PortfolioSizeStandareDeviationσ=0.2000σ=0.1421σ*=0.1342TheoreticalMinimumCopyright©2009PearsonEducation,Inc.PublishingasPrenticeHall8注意事项注意事项••五六个公司就达到不错的风险分散效果五六个公司就达到不错的风险分散效果••风险降低有下限，取决于相关系数风险降低有下限，取决于相关系数••加更多的股票效果越来越小加更多的股票效果越来越小Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall9()ρσσ211nnnnstockport−+=EquationforHomogeneousEquationforHomogeneousDiversificationwithnStocksDiversificationwithnStocksCopyright©2009PearsonEducation,Inc.PublishingasPrenticeHall10风险厌恶系数风险厌恶系数••通常人们是厌恶风险的通常人们是厌恶风险的••化多少钱规避风险化多少钱规避风险••风险厌恶系数风险厌恶系数Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall11风险管理评估风险管理评估••事后诸葛亮事后诸葛亮••能力与运气能力与运气••收益与成本收益与成本••及时地信息渠道及时地信息渠道Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall12风险暴露风险暴露••职业风险职业风险••商品价格风险商品价格风险••资产风险资产风险••投机投机Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall1310.210.2风险和经济决策风险和经济决策••居民风险居民风险––生病，残疾，死亡生病，残疾，死亡––失业失业––耐用消费品耐用消费品––负债负债––金融资产金融资产Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall14企业风险企业风险••生产风险生产风险••价格风险价格风险––产品产品––投入投入••竞争者竞争者––技术，知识产权技术，知识产权Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall15政府功能政府功能••储蓄金保险储蓄金保险••失业保险失业保险••医疗保险医疗保险••全国性经济危机全国性经济危机Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall1610.310.3风险管理过程风险管理过程••风险识别风险识别••风险评估风险评估••风险管理技术选择风险管理技术选择••实施实施••审核审核Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall17风险识别风险识别••对有些风险不了解对有些风险不了解––伤残险伤残险••过渡保险过渡保险––单身汉的人寿保险单身汉的人寿保险••有些风险互消有些风险互消––汇率对汇率对MNCMNC的销售和投入的影响的销售和投入的影响Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall1810.510.5风险转移和经济效率风险转移和经济效率••经济效率经济效率––让更愿意承担风险者承担更多的风险让更愿意承担风险者承担更多的风险––根据风险承受能力重新为生产和消费配置资源根据风险承受能力重新为生产和消费配置资源Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall1910.710.7资产组合理论资产组合理论••定量风险管理定量风险管理––风险收益最优化风险收益最优化Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall20GENCO&RISCOGENCO&RISCO的收益率的收益率经济状态RISCO的收益率GENCO的收益率概率强50%30%0.20中10%10%0.60弱-30%-10%0.20Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall21GencoGenco收益率的概率分布收益率的概率分布Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall22•50%•30%•10%•-10%•-30%•RISCO•GENCO•0•0.1•0.2•0.3•0.4•0.5•0.6•Probability•ReturnGENCO＆RISCOCopyright©2009PearsonEducation,Inc.PublishingasPrenticeHall2310.910.9作为风险度量的方差作为风险度量的方差均值均值[]%10:Also%1010.0)10.0(2.010.06.03.02.0...1332211===−×+×+×==⋅=+++==∑=RISCOGENCOGENCOrrrniiinnrrPrPrPrPrPrEμμμμrPCopyright©2009PearsonEducation,Inc.PublishingasPrenticeHall24方差方差[]()[]()()()()()()2530.0:Also1265.0016.0)10.010.0(2.010.010.06.010.030.02.0...2221222222112===−−×+−×+−×=−=−++−+−=−=∑=RISCOGENCOGENCOrrrniriirnnrrrrPrPrPrPrErEσσσμμμμσCopyright©2009PearsonEducation,Inc.PublishingasPrenticeHall25正则分布正则分布Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall26DistributionofReturnsonTwoStocks0.00.51.01.52.02.53.03.5-100%-50%0%50%100%ReturnProbabilityDensityNORMCOVOLCOCopyright©2009PearsonEducation,Inc.PublishingasPrenticeHall27TwoMoreReturnDensities.0.00.20.40.60.81.01.21.41.61.8-100.00%-50.00%0.00%50.00%100.00%Return.ProbabilityDensity.VOLCOODDCOCopyright©2009PearsonEducation,Inc.PublishingasPrenticeHall28问题问题••ODDCOODDCO分布没有均值或方差分布没有均值或方差••柯希分布柯希分布