Ch05Market-Risk_Measurement(金融风险管理_国立中兴大学).pdf

Chapter 5 Market-Risk Measurement 1 l Five common approaches to measure market risk n Sensitivity analysis n Stress testing n Scenario testing n Capital Asset Pricing Model (CAPM) n Value at Risk 2 Sensitivity Analysis V r e V r Sensitivity e V When e 0 r 3 Sensitivity Analysis l For Bonds C V t t 1 r V tC t Duration $ r 1 r t 1 V d V dr r * Duration is also sometimes called PVBP or DV01. PVBP is the present value of a basis-point change in interest rates, and DV01 is the delta value for a 1-basis point change. dr 1bp 0.01% PVBP DV01 Duration$ 0.0001 V 0.0001 r 4 Sensitivity Analysis l Credit Spread considered if r r S f V tC 1 t t 1 Duration $ r r S f f V tC 1 t t 1 Duration $ S r S f V V d V dr dS r f S f