FRM工行总行培训材料1_Foundations_of_Risk_Management

謝承熹1PhilippeJorion,Value‐at‐Risk:TheNewBenchmarkforManagingFinancialRisk,3rdEdition(NewYork:McGraw‐Hill,2007).Chapter1–TheNeedforRiskManagement MAJORSOURCESOFRISK---------------------------------------------------------------------------------------------------------AIM1:Defineriskanddescribesomeofthemajorsourcesofrisk.AIM2:Differentiatebetweenbusinessandfinancialrisksandgiveexamplesofeach.---------------------------------------------------------------------------------------------------------Riskisdefinedastheunexpectedvariabilityofassetpricesand/orearning.Therearetwomajorofrisk:business(企業風險)andfinancial.Businessriskistheriskthatafirmissubjectedtoduringdailyoperationsandincludestherisksthatresultfrombusinessdecisionsandthebusinessenvironments.Businessriskincludesstrategyriskandmacroeconomicrisks.Financialrisksaretheresultsofafirm’sfinancialmarketactivities. EXTREMEMARKETMOVEMENTS---------------------------------------------------------------------------------------------------------AIM3:Relatesignificantmarketeventsofthepastseveraldecadestothegrowthoftheriskmanagementindustry.---------------------------------------------------------------------------------------------------------Therecentgrowthoftheriskmanagementindustrycanbetraceddirectlytotheincreasedvolatilityoffinancialmarketssincetheearly1970s.Examplesofextrememarketeventsinclude:1971:Fixedexchangeratesystembrokedown.1973:Shockstopriceofoil,highinflation,andvolatileinterestrates.1987:BlackMonday.1989:Japanesestockmarketbubbledeflated.1997:RussiadebtdefaultandthecollapseoftheLong-TermCapitalManagementhedgefund.2001:TheSeptember11attacksontheWorldTradeCenterandPentagonsetinmotionthe2001U.S.equitymarketcollapse.2007-present:Creditcrisisresultingfrommortgagemarketmeltdownandhugeamountsofbankleverage.謝承熹2 Firmhaverecentlybecomemoreexposedtoeconomicandfinancialvariables.Twomajorfactorshaveledtoincreasesinthesensitivitytothesefinancialfactors:Deregulationinbanksledtoincreasesininterestratesensitivity.Globalizationcausesfirmstohavemoreexposuretocurrencychanges.Appropriateuseoffinancialriskmanagementtoolsservetoprovideprotectionagainpotentialfuturelosses.FUNCTIONSANDPURPOSESOFFINANCIALINSTITUTIONS---------------------------------------------------------------------------------------------------------AIM4:Describethefunctionsandpurposesoffinancialinstitutionsastheyrelatetofinancialriskmanagement.--------------------------------------------------------------------------------------------------------Financialinstitutionsserveasfinancialintermediariesformanagingfinancialrisk.Financialinstitutionscreatemarketsandinstrumentstoshareandhedgerisks,provideriskadvisoryservices,andactascounterpartybyassumingtheriskofothers.Financialinstitutionsandmarkets,unfortunately,cannotprotectagainstallriskassomerisksremaindifficulttohedge.Forexample,theriskthatarisesfromgovernmentinterferenceincreditmarketsorforeignexchangemarkets. DERIVATIVES---------------------------------------------------------------------------------------------------------AIM5:Definewhataderivativecontractisandhowitdiffersfromasecurity.--------------------------------------------------------------------------------------------------------Aderivativecontractisacontractthatderivesitsvaluefromanunderlyingsecurity.Derivativeshaveapredefinedlife,apredefinedreferencerateorprice,andapredefinednotionalamount.Derivativesarenotissuedtoraisecapitalandareconsideredaszero-sumgames. Securitiesareissuedtoraisecapitalinordertosupportprojectsthatwillearnareturngreaterthanthecostofthosesecurities.Theyareconsideredasnon-zerosumgames. 謝承熹3Leverageallowsderivativestobeusefulashedginginstrumentsduetotheirlowtransactioncostsandlimitedinitialcashoutlay.However,asleverageincreases,thevariabilityofreturnincreases. FINANCIALRISKMANAGEMENT---------------------------------------------------------------------------------------------------------AIM6:Definefinancialriskmanagement.--------------------------------------------------------------------------------------------------------Financialriskmanagementistheprocessofdetecting,assessing,andmanagingfinancialrisks. VALUEATRISK---------------------------------------------------------------------------------------------------------AIM7:Definevalue-at-risk(VaR)anddescribehowitisusedinriskmanagement.-------------------------------------------------------------------------------------------------------- ValueatRisk(VaR)isdefinedasthemaximumlossoveradefinedperiodoftimeatastatedlevelofconfidence,givennormalmarketcondition.Forthisdistribution,thevalueassociatedwitha95%confidencelevelisareturnof15.5%.Ifyouhave$1,000,000investedinthissecurity,theonemonthVaRis$155,000.謝承熹4 OtherRiskManagementTools---------------------------------------------------------------------------------------------------------AIM8:DescribetheadvantagesanddisadvantagesofVaRrelativetootherriskmanagementtoolssuchasstop-losslimits,notionallimits,andexposurelimits.---------------------------------------------------