Risk Management Selected Concepts - International ：风险管理选择的概念-国际.ppt

Risk Management Selected Concepts Agenda Definitions Basic Concepts of Modern Portfolio Theory Selected Risk Management Metrics Investment Policy and Conclusions Definitions Basic Concepts of Modern Portfolio Theory Metrics Alpha as a tool of “active” investors Active Management Asset classes Setting Investment Policy and Conclusions Prudent Risk Management Starts by Setting an “Adequate” Investment Policy Investment Policy IMSS as an exampleremember Dr. Levy’s presentation 1st Clearly articulate the primary objective and nature of the Fund 2nd Investment Targets 3rd Investment Restrictions Risks Asset classes Credit ratings Limits Currencies Preferences 5th Risk Tolerance Risk-Averse Risk-Indifferent Risk-Seeking Returns 4th Investment style Benchmarks Absolute Return Relative Return Active Passive Balance risks and returns ??????????????????????????????? ? ? ? ? Quite often risk is perceived only with negative connotations… D defines risk as: 1. The possibility of suffering harm or loss; danger. 2. A factor, thing, element, or course involving uncertain danger; 3. a. The danger or probability of loss to an insurer. b. The amount that an insurance company stands to lose. 4. a. The variability of returns from an investment. b. The chance of nonpayment of a debt. 5. One considered with respect to the possibility of loss: a poor risk. However, risk may also contain another element … The Chinese use two symbols to define risk: 1. The first symbol is for “danger” 2. The second is for “opportunity” What is Risk? From our previous definition, Risk Management (RM) would entail administering a mix of danger and opportunity. A more classic approach defines RM as a process (an attempt, really) to identify, measure, monitor and control uncertainty in an orderly and methodical manner (often using mathematical models). Both approaches to RM are correct. However, RM is more of avoiding dangers than seeking the opportunities