月frm1级第一部分风险管理基础跟第二部分定量分析解析讲资料.pdfVIP

Foundations of Risk Management AIMS Creating value with risk management Market efficiency, equilibrium and CAPM(重点） Performance measurement and attribution （重点） Sharpe ratio and information ratio （重点） Tracking error Factor models and Arbitrage Pricing Theory （重点） Risk management failures Case studies Ethics Financial Risk management 2010 Copyright by DMC 1 Define Risk (I) Risk can be defined as the volatility of unexpected outcomes, which can represent the value of assets, equity, or earnings. Volatility most frequently refers to the standard deviation （标准方差）of the continuously compounded returns （ 连续复利回报）of a financial instrument with a specific time horizon. Financial Risk management 2010 Copyright by DMC 2 Define Risk (II) standard deviation is a measure of the dispersion( 离散程度 ）of a data set （金融数据）. A low standard deviation indicates that the data points tend to be very close to the mean （平均值）, while high standard deviation indicates that the data are “spread out” （分散）over a large range of values. Financial Risk management 2010 Copyright by DMC 3 Define Risk (III) N 2 ( x∑ ) x i − − i 1 σ N − 1 如是总体,标准差公式根号内除以n, 如是样本,标准差公式根号内除以（n-1), 因为我们大量接触的是样本,所以普遍使用根号内除以（n-1), Financial Risk management 2010 Copyright by DMC 4 Define Risk (IV) Continuously compounded returns: 设本金为p 0 ，年利率为i ，当每年含有m个复利结算周 期（若一个月为一个复利结算周期，则m=12 ，若以一 季度为一个复利结算周期，则m=4 ）时，则1年后的本 利和为： 当复利结算的周期数（这意味着资金运用率最大限度 的提高）时： Financial Risk management 2010 Copyright by DMC 5 Significant Market Events of Past Several Decades Financial Risk mana