《金融风险管理》PPT课件.ppt

金融风险管理 区国强 FRMExamination介绍 GlobalAssociationofRiskProfessionals为1996年成立的国际非营利组织在1997年开始每年秋季举办一次FinancialRiskManager FRM 认证考试 迄今已成为国际财金界最权威的认证考试之一 FRM历年及格人数 有关FRM认证的详细介绍 网址 书籍 TheFinancialRiskManagerHandbook 3rdedition byPhilippeJorion NewYork Wiley 2005 课程 考试 大纲 数量分析 10 市场风险衡量及管理 25 信用风险衡量及管理 30 操作及整合风险管理 25 风险及投资管理 10 数量分析QuantitativeAnalysis EstimatingparametersofdistributionsExtremevaluetheory basicprinciplesHypothesistestingLinearregressionandcorrelationMean standarddeviation correlation skewness andkurtosisMonteCarloanalysisProbabilitydistributionsStatisticalpropertiesandforecastingofcorrelation covariance andvolatility 市场风险衡量及管理MarketRiskMeasurementandManagement Derivativesonfixed incomesecurities interestrates foreignexchange equities andcommoditiesEmergingmarketrisksincludingcurrencycrisesIdentifyingandmeasuringriskexposuresInterestrate foreignexchange equity andcommodityrisksInterestratesandbondpricing LiquidityriskMeasuringandmanagingcorporateexposures includingcashflowatriskRiskbudgetingStresstestingValuationandriskanalysisoffutures forwards swaps andoptions Value at Risk 1 Definition delta normal historicalsimulation MonteCarlo2 Implementation3 Limitationsandalternativeriskmeasures e g conditionalValue at Risk 信用风险衡量及管理CreditRiskMeasurementandManagement ActuarialapproachandCreditRisk ContingentclaimapproachandtheKMVModelCounterpartyrisks 1 exposures2 recoveryrates3 riskmitigationtechniquesincludingratingtriggers collateral andseniorityclausesCreditderivatives Creditmigration transitionmatrices andCreditMetrics CreditratingsCreditspreadsDefaultprobabilitiesInterestratesandyieldsMarginingNettingPortfoliocreditriskSettlementriskSpecialpurposevehicles 操作及整合风险管理OperationalandIntegratedRiskManagement AggregateddistributionsAllocationofriskcapitalacrossthefirmAnalyzingspecialpurposevehiclesandsecuritizationsBankruptcyCorrelationsacrossmarket credit andoperationalriskDefinitionofriskcapital DifferencesbetweenmarketandoperationalVaRsEvaluatingtheperformanceofriskmanagementsystemsHedgingoperationalriskusingfinancialengineeringImplementationrisksofriskmanagementInternalmodelsapproachformarketrisk MarketRiskAmendment 1996 Insuringoperationalrisk LegalriskMeasuringfirm wideriskSeverityandfrequencydistributionsforoperationalriskTypesofoperationalriskWorkflowinfinancialinstitutions 风险及投资管理RiskManagementandInvestmentManagement Traditionalinvestmentriskmanagement1 Returnmetrics Sharperatio informationratio VaR relativeVaR trackingerror survivorshipbias 2 ImplementingVaR3 Benchmarkingassetmixes4 Riskdecompositionandperformanceattribution5 Riskbudgeting6 Trackingerror7 Settingrisklimits8 Riskofalphatransferstrategies9 Riskmanagementissuesofpensionfunds Hedgefundriskmanagement1 Risk returnmetricsspecifictohedgefunds drawdown Sortinoratio 2 Risksofspecificstrategies fixed incomearbitrage mergerarbitrage convertarbitrage equitylong short marketneutral macro distresseddebt emergingmarkets 3 Assetilliquidity valuation andriskmeasurement4 Theuseofleverageandderivativesandtheriskstheycreate5 Problemsinmeasuringexposurestoriskfactors dynamicstrategies leverage derivatives styledrift 6 Correlationsamonghedgefundsandbetweenhedgefundsandotherassets 教科书与参考数据书目 金融风险管理手册 第五版 讲义 课程进度 本课程乃整合同学们已学的统计学 财务管理 金融市场及衍生性金融商品等课程 为财金系学生的基本专业知识以同学们能否吸收理解作为课程进度