《金融风险管理》PPT课件

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快 慢及内容多寡的唯一标准

课程单元
各课程单元皆包括:
1.该单元的预期学习目标(Learning outcome statement, LOS) 2.课程内容 3.课程练习题(含答案)；及 4.课后测验题(不含答案)
FRM历年及格人数
有关FRM认证的详细介绍

网址:www.garp.com 书籍：The Financial Risk Manager Handbook, 3rd edition, by Philippe Jorion (New York: Wiley, 2005)
课程(考试)大纲

风险及投资管理Risk Management and Investment Management

Traditional investment risk management
1. Return metrics (Sharpe ratio, information ratio, VaR, relative VaR, tracking error, survivorship bias) 2. Implementing VaR 3. Benchmarking asset mixes 4. Risk decomposition and performance attribution 5. Risk budgeting 6. Tracking error 7. Setting risk limits 8. Risk of alpha transfer strategies 9. Risk management issues of pension funds
操作及整合风险管理Operational and Integrated Risk Management



Aggregated distributions Allocation of risk capital across the firm Analyzing special purpose vehicles and securitizations Bankruptcy Correlations across market, credit, and operational risk Definition of risk capital
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Quantitative Analysis


Estimating parameters of distributions Extreme value theory; basic principles Hypothesis testing Linear regression and correlation Mean, standard deviation, correlation, skewness, and kurtosis Monte Carlo analysis Probability distributions Statistical properties and forecasting of correlation, covariance, and volatility
信用风险衡量及管理Credit Risk Measurement and Management

Actuarial approach and CreditRisk+ Contingent claim approach and the KMV Model Counterparty risks:

Value-at-Risk:
1. Definition, delta-normal, historical simulation, Monte Carlo 2. Implementation 3. Limitations and alternative risk measures, e.g., conditional Value-at-Risk
市场风险衡量及管理Market Risk Measurement and Management



Derivatives on fixed-income securities, interest rates, foreign exchange, equities, and commodities Emerging market risks including currency crises Identifying and measuring risk exposures Interest rate, foreign exchange, equity, and commodity risks Interest rates and bond pricing


Legal risk Measuring firm-wide risk Severity and frequency distributions for operational risk Types of operational risk Workflow in financial institutions




Differences between market and operational VaRs Evaluating the performance of risk management systems Hedging operational risk using financial engineering Implementation risks of risk management Internal models approach for market risk (Market Risk Amendment [1996]) Insuring operational risk


Liquidity risk Measuring and managing corporate exposures, including cash flow at risk Risk budgeting Stress testing Valuation and risk analysis of futures, forwards, swaps, and options


Credit migration, transition matrices, and CreditMetrics. Credit ratings Credit spreads Default probabilities Interest rates and yields Margining Netting Portfolio credit risk Settlement risk Special purpose vehicles
评量方式

期中考(40%)、、期未考(60%) 各为25题四选一的选择题 使用中文翻译的FRM历年考题 及格标準:加权五十分 (期中考X 40% +期未考X 60%≧50 )
1. exposures 2. recovery rates 3. risk mitigation techniques including rating triggers, collateral, and seniority clauses

Credit derivatives

金融风险管理
区国强
FRMExamination介绍


Global Association of RiskProfessionals 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 Financial Risk Manager (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
来自百度文库

Hedge fund risk management
1.Risk-return metrics specific to hedge funds (drawdown, Sortino ratio) 2. Risks of specific strategies (fixed-income arbitrage, merger arbitrage, convert arbitrage, equity long/short-market neutral, macro, distressed debt, emerging markets) 3. Asset illiquidity, valuation, and risk measurement 4. The use of leverage and derivatives and the risks they create 5. Problems in measuring exposures to risk factors (dynamic strategies, leverage, derivatives, style drift) 6. Correlations among hedge funds and between hedge funds and other assets