【视频】经济学：金融市场 02 风险管理 (The Risk Management)

TheUniversalPrincipleofRiskManagement:PoolingandtheHedgingofRisks1Lecture2-TheUniversalPrincipleofRiskManagement:PoolingandtheHedgingofRisksOverview:Statisticsandmathematicsunderliethetheoriesoffinance.ProbabilityTheoryandvariousdistributiontypesareimportanttounderstandingfinance.Riskmanagement,forinstance,dependsontoolssuchasvariance,standarddeviation,correlation,andregressionanalysis.Financialanalysismethodssuchaspresentvaluesandvaluingstreamsofpaymentsarefundamentaltounderstandingthetimevalueofmoneyandhavebeeninpracticeforcenturies.Readingassignment:JeremySiegel,StocksfortheLongRun,chapter1andAppendix2,p.12FinancialMarkets:Lecture2TranscriptJanuary16,2008ProfessorRobertShiller:TodayIwanttospend--Thetitleoftoday'slectureis:TheUniversalPrincipleofRiskManagement,PoolingandtheHedgingofRisk.WhatI'mreallyreferringtoiswhatIthinkistheveryoriginal,thedeepconceptthatunderliestheoreticalfinance--Iwantedtogetthatfirst.Itreallyisprobabilitytheoryandtheideaofspreadingriskthroughriskpooling.So,thisideaisanintellectualconstructthatappearedatacertainpointinhistoryandithashadanamazingnumberofapplicationsandfinanceisoneofthese.Someofyou--Thisincidentallywillbeamoretechnicalofmylecturesandit'salittlebitunfortunatethatitcomesearlyinthesemester.Forthoseofyouwhohavehadacourseinprobabilityandstatistics,therewillbenothingnewhere.Well,nothingintermsofthemath.Theprobabilitytheoryisnew.Othersthough,Iwanttotellyouthatitdoesn't--ifyou'reshopping--Ihadastudentcomebyyesterdayandask--he'salittlerustyinhismathskills--ifheshouldtakethiscourse.Isaid,Wellifyoucanunderstandtomorrow'slecture--that'stoday'slecture--thenyoushouldhavenoproblem.Iwanttostartwiththeconceptofprobability.Doyouknowwhataprobabilityis?Weattachaprobabilitytoanevent.Whatistheprobabilitythatthestockmarketwillgoupthisyear?Iwouldsay--mypersonalprobabilityis.45.That'sbecauseI'mabearbut--Doyouknowwhatthatmeans?That45timesoutof100thestockmarketwillgoupandtheother55timesoutof100itwillstaythesameorgodown.That'saprobability.Now,you'refamiliarwiththatconcept,right?Ifsomeonesaystheprobabilityis.55or.45,wellyouknowwhatthatmeans.Iwanttoemphasizethatithasn'talwaysbeenthatwayandthatprobabilityisreallyaconceptthataroseinthe1600s.Beforethat,nobodyeversaidthat.IanHacking,whowroteahistoryofprobabilitytheory,searchedthroughworldliteratureforanyreferencetoaprobabilityandcouldfindnoneanywherebefore1600.Therewasanintellectualleapthatoccurredintheseventeenthcenturyanditbecameveryfashionabletotalkintermsofprobabilities.Itspreadthroughouttheworld--theideaofquotingprobabilities.Butitwas--It'sTheUniversalPrincipleofRiskManagement:PoolingandtheHedgingofRisks2funnythatsuchasimpleideahadn'tbeenusedbefore.Hackingpointsoutthatthewordprobability--orprobable--wasalreadyintheEnglishlanguage.Infact,Shakespeareusedit,butwhatdoyouthinkitmeant?Hegivesanexampleofayoungwoman,whowasdescribingamanthatsheliked,andshesaid,Ilikehimverymuch,Ifindhimveryprobable.Whatdoyouthinkshemeans?Cansomeoneanswerthat?DoesanyoneknowElizabethanEnglishwellenoughtotellme?Whatisaprobableyoungman?I'maskingforananswer.Itsoundslikepeoplehavenoidea.Cananyoneventureaguess?Noonewantstoventureaguess?Student:fertile?ProfessorRobertShiller:Thathecanfatherchildren?Idon'tthinkthat'swhatshemeantbutmaybe.No,whatapparentlyshemeantistrustworthy.That'saveryimportantqualityinapersonIsuppose.So,ifsomethingisprobableyoumeanthatyoucantrustitandsoprobabilitymeanstrustworthiness.Youcanseehowtheymovedfromthatdefinitionofprobabilitytothecurrentdefinition.ButIanHacking,beingagoodhistorian,thoughtthatsomeonemusthavehadsomeconceptofprobabilitygoingbefore,eveniftheydidn'tquoteitasanumbertheway--itmusthavebeenintheirheadorintheiridea.Hesearchedthroughworldliteraturetotrytofindsomeuseofthetermthatprecededthe1600sandheconcludedthattherewereprobablyanumberofpeoplewhohadtheidea,buttheydidn'tpublishit,anditneverbecamepartoftheestablishedliteraturepartlybecause,hesaid,throughouthumanhistory,therehasbeenaloveofgamblingandprobabilitytheoryisextremelyusefulifyouareagambler.Hackingbelievesthatthereweremanygamblingtheoristswhoinventedprobabilitytheoryatvarioustimesinhistorybutneverwroteitdownandkeptitasasecret.Hegivesanexample--Iliketo--hegivesanexamplefromabookthat--orit'sacollection--Ithink,acollectionofepicpoemswritteninSanskritthatgoesback--itwasactuallywrittenoveracourseof1,000yearsanditwascompletedinthefourthcentury.Well,there'sastory--there'salongstoryintheMahabarahtaaboutanemperorcalledNalaandhehadawifenamedDamayantiandhewasaverypureandverygoodperson.TherewasanevildemoncalledKaliwhohatedNalaandwantedtobringhisdownfall,sohehadtofindaweaknessofNala.Hefoundfinallysome,eventhoughNalawassopureandsoperfect--hefoundoneweaknessandthatwasgambling.Nalacouldn'tresisttheopportunitytogamble;sotheevildemonseducedhimintogamblingaggressively.Youknowsometimeswhenyou'relosingandyouredoubleandyoukeephopingtowinbackwhatyou'velost?Inafitofgambling,Nalafinallygambledhisentirekingdomandlost--it'saterriblestory--andNalathenhadtoleavethekingdomandhiswife.Theywanderedforyears.Heseparatedfromhe