三级CFA考试SS14复习笔记.pdf

金程教育金程教育金程教育金程教育2011201120112011年年年年6 6 6 6月月月月CFACFACFACFA三级基础班讲义三级基础班讲义三级基础班讲义三级基础班讲义 SS14SS14 Risk ManagementRisk Management 讲师 杨骁慧 日期 2011年4月4日 地点 上海 北京 深圳 讲师 杨骁慧 日期 2011年4月4日 地点 上海 北京 深圳 上海金程国际金融专修学院上海金程国际金融专修学院上海金程国际金融专修学院上海金程国际金融专修学院 Topic in CFA Level IIITopic in CFA Level III SS 1 2ETHICS MONITORING AND REBALANCING SS 17PERFORMANCE EVALUATION AND ATTRIBUTION SS 18GLOBAL INVESTMENT PERFORMANCE STANDARDS 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2 2 8787 Framework of SS14Framework of SS14 SS 14 Risk Management R39 Risk Management R40 Currency Risk Management 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3 3 8787 SS 14 Risk Management R39 Risk Management 1 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 4 4 8787 Framework of Framework of R39 Risk ManagementR39 Risk Management Risk Management Process Indentifying risks Measuring risks Managing risks Performance Evaluation Setting Capital Requirement 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 5 5 8787 Risk management process and risk reductionRisk management process and risk reduction Risk management process is a continual process involving the identification of the exposures to risk the establishment of appropriate ranges for exposures the continuous measurement of these exposures the execution of appropriate adjustments to bring the actual level and desired level of risk into alignment The benefits of reducing a risk must also be weighed against the cost of reducing that risk Individuals and firms generally choose not to eliminate risk altogether because of the net reduction of potential reward decreased opportunities and increased hedging costs Often choose to hedge risks associated with areas where they have no expertise comparative advantages 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 6 6 8787 Risk management process TextbookRisk management process Textbook 213 213 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 7 7 8787 Risk management process TextbookRisk management process Textbook 215 215 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 8 8 8787 Risk governance and ERMRisk governance and ERM Risk governance refers to the process of setting overall risk management policies and standards for an organization Risk management can exist as a centralized function spanning all the risk taking functions in the organization or it can exist as a decentralized function that allows individual units to manage their own risk Decentralized risk governance system results in overlapping responsibilities but allows those closest to the risk to manage it Performance awards may distort the risk management process Centralized risk governance system also ERM enterprise risk management controls the overall risk of a firm or institution across all types of risks and all business units 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 9 9 8787 Risk governance and ERMRisk governance and ERM GovernanceDescriptionCharacteristics Centralized A company has a single risk management group that monitors and ultimately controls all of the organizations risk taking activities 1 permit economies of scale 比如 公司的A部门买入 了日元 且金额相等 从部门看 A B都面临外汇敞 口 但从整个公司层面看 外汇敞口为0 2 enterprise level risk estimates may be lower than those derived from individual units 原因 Individual units的风险加总忽略了他们之间的相关性 3 put the responsibility on a level closer to senior management which is deemed reasonable 最终承担责 任的是高管层 Decentralized To place risk management responsibility on individual business unit managers Each unit calculates and reports its exposures independently Allowing the people closer to the actual risk taking to more directly manage it 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1010 8787 ERMERM ERM优点 Firms can better offset risks from distinct exposures in different areas Firms can better understand risk from an enterprise level resulting in improved management of comparative advantages and potential improvements to the bottom line ERM improves discipline leading to better data collection risk management processing analysis auditing and monitoring Firms integrate risk management with corporate governance For investment firms the back office transaction processing record keeping regulatory compliance and the front office sales trading must be distinct and separate in order to avoid collusion 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1111 8787 ERMERM Integrated risk analysis Many risks can be analyzed using the same methodology Integration makes the result mutually consistent and comparable Integration reduces unnecessary duplication Integrations let the analyst learn about interactions and correlations Many complex securities contracts and derivatives possess risks that can be analyzed only if an integrated approach is used 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1212 8787 Evaluate a risk management systemEvaluate a risk management system 通常认为 一个有效的集中风险管理系统包含如下步骤 An effective ERM system typically incorporates the following steps 1 identify each risk factor to which the company is exposed 2 quantify each exposure s size in money terms 3 map these inputs into a risk estimation calculation 4 identify overall risk exposures as well as the contribution to overall risk deriving from each risk factor 5 set up a process to report on these risks periodically to senior management who will set up a committee of division heads and executives to determine capital allocation risk limits and risk management policies 6 monitor compliance with policies and risk limits 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1313 8787 Risk typesRisk types Textbook 218 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism Nonfinancial Risk Financial risks The Company Accounting settlement Model operations regulations legal Taxes Liquidity Risk Credit risk Commodity prices Interest rates Equality prices Exchange Rates 1414 8787 Identifying RisksIdentifying Risks Risk typesSpecific risksDescriptions FinancialMarket risk Interest rate主要指因市场供求关系变化带来的风险 Exchange rate Equity price Commodity price Liquidity risk 完整的定义为 the risk that a financial instrument can not be purchased or sold without a significant concession in price due to the markets potential inability to efficiently accommodate the desired trading size 当意识到可能面临重大损失而清空头寸时 流动性风险最 大 人们发现此时在市场卜难以找到愿意出合理价格的买 家 次贷危机初期的典型症状就是如此 虽然可以利用衍生产品来有效地卖出或清空资产 衍生产 品对管理流动性风险却没有太大帮助 因为一旦标的资产 流动性缺失 任何基于该资产的衍生产品的流动性也会缺 失 CDO 产品就是很好的例子 买卖差价 bid ask spread 是衡最流动性的主要指标 但是仅 仅适用于特定的小规模交易 流动性风险很难观察和最 化 估值模型很少考虑该风险 隐藏着潜在的问题 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1515 8787 Identifying RisksIdentifying Risks Risk typesSpecific risksDescriptions FinancialCredit risk传统定义中 信用风险主要指违约风险 default risk 随着衍生品市场的发展 信用 风险和市场风险的界限日益模糊 burred 比 如 在违约风险并没有改变的情况下 信用衍 生品的持有者也可能因为市场短期供求关系的 变动遭受损失 交易所交易的衍生产品有保证机制 信用风险 很低 场外交易 OTC 的衍生产品信用风险较 高 需要第三方评估 称为 credit consensus 但是由于衍生产品日益复杂 信用评估的难度 越来越大 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1616 8787 Identifying RisksIdentifying Risks Risk typesSpecific risksDescriptions Non FinancialSettlement Herstatt risk 结算风险结算风险 当一方向另一方支付过程中 对方宣布破产带来的 风险 即为结算风险结算风险 由于清算所 clearing house 的 设立 在交易所交易的金融衍生产品的结算风险相 对较小 但是 对于交易所会员 exchange member 来说 如果其代理的机构或终端客户 end clients 出 问题 那么责仁就得由其背负 承担相关损失 说明 交易市场的基本结算机制是 End client A exchange member C clearing house exchange member D end client B OTC市场的结算风险较高 净额结算 netting 有助于降低利率衍生产品的结算风 险 但是对于汇率类衍生产品 一般无法适用轧差 方法 而且 由于交易双方位于不同国家 难以迅 速掌握对方状况 结算风险也称 Herstatt风险 就是 因为 1974 年 Herstatt 银行倒闭的时候交易对手还在 给其汇钱 有趣的是 2008 年又发生了同样雷人的 一幕 雷曼兄弟破产的时候 德国 家银行也在给 其汇入巨款 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1717 8787 Identifying RisksIdentifying Risks Risk typesSpecific risksDescriptions Non FinancialModel risk指模型不准确或模型应用不正确导致的风险 估值 模型的风险较大 尤其是衍生产品的估值模型 Operational risk 完整定义为the risk of loss from failures in a company s systems and procedures or from external events 具体而言 可以是来自计算机系统崩溃 computer breakdown 人为错误 human errors 以及完全超 出公司控制的事件 比如不可抗力 Act of God 和恐 怖袭击 terrorist actions 外部事件造成的操作风险通常由保险对冲 但是保 险仅赔偿看得见的现金损失 比如 银行的交易室 被淹的话 保险公司仅会赔偿相关财产损失 不会 赔偿银行因此而损失的客户交易佣金 现在 大部分公司通过灾备系统来应对此类操作风 险 美国911恐怖袭击之后 包括NYSE在内的很多 交易机构迅速恢复交易就是得益于在不同地区的灾 备系统 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1818 8787 Identifying RisksIdentifying Risks 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1919 8787 Risk typesSpecific risksDescriptions Non FinancialRegulatory riskThe risk associated with the uncertainty of how a transaction will be regulated or with the potential for regulations to change It is difficult to estimate Tax riskThe uncertainty associated with tax laws e g to be changed by lawmakers Accounting riskThe uncertainty about how a transaction should be recorded and the potential for accounting rules and regulations to change Legal contract riskThe possibility of loss arising from the legal systems failure to enforce a contract m which an enterprise has a financial stake Identifying RisksIdentifying Risks Risk typesSpecific risksDescriptions BothSovereign and political riskSovereign risk is a form of credit risk in which the borrower is the government of a sovereign nation Political risk is associated with changes in the political environment OthersESG riskThe risk to a company s market valuation resulting from environmental social and governance factors 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2020 8787 Identifying RisksIdentifying Risks Risk typesSpecific risksDescriptions othersPerformance netting riskThe potential for loss resulting from the failure of fees based on net performance to fully cover contractual payout obligations to individual portfolio managers that have positive performance when others have losses and when there are asymmetric incentive fee arrangements with the portfolio managers 举个例子就明白了 某公司有两个投资经理 A经理过去一年为公司净赚了100万 B经理损 失了100万 对公司而言 过去一年的业绩为0 但是 根据协议 A经理可分到奖金10万 B 经理虽然没有但是也不会被罚款 所以该公司 最后损失了10万 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2121 8787 20082008 AMAM 7 7 A Risk Management A Risk Management QUESTION 7 HAS THREE PARTS A B C FOR A TOTAL OF 17 MINUTES Red River Ltd RR is a large mining company headquartered in South Africa The company exports platinum chromium and titanium to 15 countries around the world To finance its operations RR has been issuing equity and debt denominated in South African rand ZAR its domestic currency RR recently acquired a copper mine in Chile financed by a six month U S dollar denominated syndicated bank loan The loan represents 20 percent of RR s total debt It was the first time RR borrowed in a foreign currency RR holds an investment portfolio designed to hedge its risks related to commodities prices and foreign exchange fluctuations The portfolio is composed of structured equity and credit products over the counter OTC currency forwards swaps and options The RR Board has hired a consultant George Hunt to identify risks that need to be measured and managed Hunt reports that RR is exposed to liquidity and settlement risks A Describe one source of each of the following risks facing RR i Liquidity risk ii Settlement risk Note A single source may not be used for both liquidity and settlement risk 4 minutes 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2222 8787 20082008 AMAM 7 7 A A RiskDescribe one source of each of the following risks facing RR Note A single source may not be used for both liquidity and settlement risk i Liquidity risk ii Settlement risk 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2323 8787 20082008 AMAM 7 7 A Guideline Answer A Guideline Answer RiskDescribe one source of each of the following risks facing RR Note A single source may not be used for both liquidity and settlement risk i Liquidity riskRR has recently made an acquisition through a relatively large short term syndicated loan If RR faces difficulty in raising funds to pay back the short term syndicated loan at maturity RR may be forced to sell securities from its investment portfolio on short notice and at unfavorable prices RR invests in OTC derivatives RR could be required to liquidate positions prior to expiration at unfavorable prices ii Settlement riskRR invests in OTC derivatives that involve settlement through the execution of bilateral agreements The risk is that one party could be in the process of paying the counterparty while the counterparty is declaring bankruptcy In the case of currency swaps settlement risk is increased because the contracts often require the exchange of principal in addition to interest payments 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2424 8787 Evaluating Financial Market and NonEvaluating Financial Market and Non financial Risksfinancial Risks Systematic risk Beta Evaluating financial risks Standard deviation or volatility Active risk tracking risk tracking error volatility TEV Information Ratio IR It s very important to recognize that the market risk of an asset has 2 dimensions The sensitivity of the asset to movements in a given market factor e g Duration Changes in the asset s sensitivity to the factor e g Convexity Most non financial risks e g tax legal and regulatory sovereign are difficult if not impossible to measure The lack of relevant historical data leads managers to buy insurance 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2525 8787 Measuring Risks Measuring Risks VARVAR VaR的直观定义如下 的直观定义如下 VaR是在一定的置信水平下置信水平下和一定的目标期间一定的目标期间内 预期的最大可能损失最大可能损失 数学表达数学表达 某一金融资产或证券组合在未来特定的一段时间内的最大可能损失 可表示为 Prob P VaR 1 alpha 或Prob P VaR alpha 其中 Prob 资产价值损失小于可能损失上限的概率 P 某一金融资产在一定持有期的价值损失额 VaR 置信水平alpha下的风险价值 可能的损失上限 alpha 给定的概率 置信水平 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2626 8787 Measuring Risks Measuring Risks VARVAR VAR is used as an estimate of the minimum maximum expected loss over a set time period and at a desired level of significance Three methods to estimate VAR The analytical method variance covariance delta normal method The historical method Monte Carlo method Advantage the ability to compare the operating performance of different units with different assets and risk characteristics That is VAR is interpreted the same regardless of the asset types Disadvantage not give the magnitude of potential extreme losses 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2727 8787 25022 monthly annual daily exp pp VARR z V Measuring Risks Measuring Risks VARVAR 正态分布中的VaR正态分布中的VaR 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2828 8787 Percent vs Dollar VARPercent vs Dollar VAR Example Suppose an asset has a daily standard deviation of returns equal to1 4 and the asset has a current value of 5 3 million calculate the VAR 5 significance on both a percentage and dollar basis VAR 1 645 1 4 VAR 1 645 1 4 5 3 mil X 1 zVAR X dollarX 2 asset valuezasset valueVARVAR X 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2929 8787 VAR VAR Analytical methodAnalytical method Example The expected 1 day return for a 100m portfolio is 0 00085 and the historical standard deviation of daily returns is 0 0011 Calculate daily value at risk at 5 significance Advantages of the analytical method include Easy to calculate and easily understood Allows modeling the correlations of risks 讲义第34页 Can be applied to different time periods according to industry custom Disadvantages of the analytical method include The need to assume a normal distribution The difficulty in estimating the correlations between individual assets in very large portfolios 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3030 8787 VAR VAR Historical methodHistorical method Example You have accumulated 100 daily returns for your 100m portfolio After ranking the returns from highest to lowest you identify the lowest five returns Calculate daily value at risk at 5 significance 0 0019 0 0025 0 0034 0 0096 0 0101 Advantages of the historical method include Easy to calculate and easily understood No need to assume a returns distribution Can be applied to different time periods according to industry custom The primary disadvantage of the historical method is the assumption that the pattern of historical returns will repeat in the future i e is indicative of future returns This becomes particularly troublesome the more the manager trades Also keep in mind that many securities e g options bonds change characteristics with the passage of time 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3131 8787 VAR VAR Historical methodHistorical method P213 Calculate value at risk at 5 significance 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism Return on portfolioProbability Less than 40 0 010 40 to 30 0 010 30 to 20 0 030 20 to 10 0 050 10 to 5 0 100 5 to 2 5 0 125 2 5 to 0 0 175 0 to 2 5 0 175 2 5 to 5 0 125 5 to 10 0 100 10 to 20 0 050 20 to 30 0 030 30 to 40 0 010 Greater than 40 0 010 1 000 3232 8787 VAR VAR Monte Carlo methodMonte Carlo method A Monte Carlo output specifies the expected 1 week portfolio return and standard deviation as 0 00188 and 0 0125 respectively Calculate the 1 week value at risk at 5 significance Advantage the ability to incorporate any returns distribution or asset correlation Disadvantage The analyst must make thousands of assumptions about the returns distributions for all inputs as well as their