金融风险管理讲解课件.pptVIP

金融風險管理 區國强 FRM Examination介紹 Global Association of Risk Professionals為1996年成立的國際非營利組織 在1997年開始每年秋季舉辦一次Financial Risk Manager (FRM)認証考試，迄今已成為國際財金界最權威的認証考試之一 FRM歷年及格人數 有關 FRM認証的詳細介紹 網址: 書籍：The Financial Risk Manager Handbook, 3rd edition, by Philippe Jorion (New  York: Wiley, 2005)  課程(考試)大綱 數量分析 – 10% 市場風險衡量及管理 – 25% 信用風險衡量及管理 – 30% 操作及整合風險管理 – 25% 風險及投資管理 – 10% 數量分析 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 市場風險衡量及管理 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 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 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 信用風險衡量及管理Credit Risk Measurement and Management Actuarial approach and CreditRisk+ Contingent claim approach and the KMV Model Counterparty risks: 1. exposures 2. recovery rates 3. risk mitigation techniques including rating triggers, collateral, and seniority clauses Credit derivatives 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