FRM工行总行培训材料1._Foundations_of_Risk_Management.pdfVIP

Philippe Jorion, Value‐at‐Risk: The New Benchmark for Managing Financial Risk, 3rd Edition (New York: McGraw‐Hill, 2007). Chapter 1 – The Need for Risk Management   MAJOR SOURCES OF RISK AIM 1: Define risk and describe some of the major sources of risk. AIM 2: Differentiate between business and financial risks and give examples of each. Risk is defined as the unexpected variability of asset prices and/or earning. There are two major of risk: business (企業風險) and financial.  Business risk is the risk that a firm is subjected to during daily operations and includes the risks that result from business decisions and the business environments.  Business risk includes strategy risk and macroeconomic risks.  Financial risks are the results of a firm’s financial market activities.   EXTREME MARKET MOVEMENTS AIM 3: Relate significant market events of the past several decades to the growth of the risk management industry. The recent growth of the risk management industry can be traced directly to the increased volatility of financial markets since the early 1970s. Examples of extreme market events include:  1971: Fixed exchange rate system broke down.  1973: Shocks to price of oil, high inflation, and volatile interest rates.  1987: Black Monday.  1989: Japanese stock market bubble deflated.  1997: Russia debt default and the collapse of the Long-Term Capital Management hedge fund.  2001: The September 11 attacks on the World Trade Center and Pentagon set in motion the 2001 U.S. equity market collapse.  2007-present: Credit crisis resulting from mortgage market meltdown and huge amounts of bank leverage. 1 謝承熹   Firm have recently become more exposed to economic and financial variables. Two major factors have led to increases in the sensitivity to th