风险管理的必要性与发展.docVIP

風險管理的必要性與發展 風險的定義:投資報酬的不確定性(uncertainty)-投資報酬的結果(outcome)不是唯一。 企業風險種類:執業風險、策略風險、財務金融風險 金融的: ?金融自由化-市場波動加劇 ?金融商品的多元化-衍生性金融商品 衍生性金融商品市場的發展 1972 Foreign currency futures 1973 Equity options 1975 futures 1981 Currency swaps 1982 Interest rate swaps Eurodollar futures Equity index futures Exchange-listed currency options 1983 Options on equity index Options onT-note futures Options on currency futures Interest rate caps and floors 1985 Eurodollar options Swaptions 1987 Compound options Average options 1989 Futures on interest rate swaps Quanto options 1990 Equity index swaps 1991 Differential swaps 1992 Catastrophe risk options 1993 Captions 1994 Credit default options 1996 Electricity futures 1997 Weather derivatives 金融風險事例: 衍生性金融商品導致鉅額損失案例 企業 日期 金融工具 損失金額(百萬美元) Orange County, CA 12/1994 Reverse repos 1,810 Showa Shell Sekiyu, Japan 2/1993 Currency forwards 1,580 Kashima Oil, Japan 4/1994 Currency forwards 1,450 Metallgesellschaft, Germany 1/1994 Oil futures 1,340 Barings, U.K. 2/1995 Stock index futures 1,330 Ashanti, Ghana 10/1999 Gold “exotics” 570 Yakult Honsha, Japan 3/1998 Stock index derivatives 523 Codelco, Chile 1/1994 Copper futures 200 ProcterGamble, U.S. 4/1994 Differential swaps 157 NatWest, U.K. 2/1997 swaptions 127 資料來源:Jorion(2000) 風險管理的發展:機率預測→保險→→衍生性金融商品→風險整合(風險值(Value-at-Risk; VaR)) 風險管理分析工具的發展 時間 分析工具 1938 Bond duration 1952 Markowitz mean-variance framework 1963 Sharpe’s capital asset pricing model (CAPM) 1966 Multiple factor models(APT) 1973 Black-Scholes option pricing model,“Greeks” 1979 Binomial option model 1983 RAROC, risk-adjusted return 1986 Limits on exposure by duration bucket 1988 Risk-weighted assets for banks 1992 Stress testing 1993 Value-at-Risk; VaR 1994 RiskMetrics 1997 CreditMetrics, CreditRisk+ 1998 Integration of credit and market Risk 2000 Entreprisewide risk management 資料來源:Jorion(2000) 風險管理程序: 辨識認知風險來源(identify risk)→衡量風險暴露(measure risk exposure)→控制風險(risk control)