中国资本市场发展分析报告.ppt

Drawbacks of Markowitz Procedure The model requires a huge number of estimates to fill the covariance matrix;- Take example of 50-stock portfolio The model does not provide any guideline to the forecasting of the security risk premiums that are essential to construct the efficient frontier of risky assets. * * Reading Modern Portfolio Theory. From Wikipedia/wiki/Modern_portfolio_theory Capital Asset Pricing Model /wiki/Capital_asset_pricing_model 风险厌恶、期望效用、圣彼得堡悖论 * * * * * * * * One reasonable function that has been employed by both financial theorists and the CFA Institute assigns a portfolio with expected return E(r)and variance of returns. Utility is enhanced by high expected returns and diminished by high risk. Risk-free portfolios receive a utility score equal to their rate of return. Calculate: A1=2, A2=3.5, A3=5 * Take example of 50-security portfolio n -- 50 estimates of expected returns n -- 50 estimates of variances (n2-n)/2 -- 1225 estimates of covariances Totally have 1325 estimates The number of estimates for n-securities portfolio: (n2+3n)/2 For 100-security portfolio: number of estimates would be 5150 If n=3000, we need more than 4.5 million estimates. * 巴塞尔协议的起源和发展 2004 巴塞尔协议II以资本充足率、监督约束和市场约束为三大支柱 2010 巴塞尔协议III1.最低资本金率和资本质量的提高;2.引进了杠杆率;3.在银行资本中加入了留存缓冲资本以建立超额资本;4.提高银行流动资金的比率 保险公司偿付能力监管 以美国风险资本为代表的基于风险的模式 以欧盟偿付能力I体系为代表的基于业务量的模式  欧盟偿付能力II体系为代表的三支柱模式 《中国第二代偿付能力监管制度体系整体框架》 公司偿付能力管理 定 量 资 本 要 求 定 性 监 管 要 求 市 场 约 束 机 制 制度 特征 监管 要素 监管 基础 统一监管 新兴市场 风险导向兼顾价值 Reading Risk of Financial Intermediation, PDF文件，摘自《金融机构管理——一种风险管理方法》第7章 商业银行法 证券法 保险法 证券投资基金法 教材内容：第1章-第6章 第12章，第13章 Chap 1 - 2 风险/收益理论 1. Risk management process Risk Identification Risk Measurement Risk Analysis and Monitoring Risk Reporting Risk Verification and Audit 1. Risk management process 2. Risk management techniques Risk avoidance Loss prevention and control Risk retention Risk transfer: rent / selling a risky asse