金融风险chapter 2 market risk management（ppt 53）资料文档.pptVIP

Chapter 2 Market Risk Management 1 Introduction to Market Risk Management 2 Measuring market risk: sensitivity approach 3 Measuring market risk: VaR approach 4 Measuring market risk: other approaches 5 Hedging and Insuring with Derivatives 1.Introduction to Market Risk Management 1.1 definition 1.2 nature and characteristics, 1.3 history and regulation, 1.4 management strategies and instruments 1.5 measurement approaches 1.6 market risk in trading book vs. in banking book 1.1 definitions Market risk is the risk that changes in financial markets prices and rates will reduces the value of the FI’s positions Sensitivity of portfolio value to market variables Market variables: Interest rate, FX rate, equity price, commodity price, and even the volatility of price Volatility of investment portfolio and of market variables A caution: Broad definition vs. narrow definition(only referring to equity risk ) Volatility and Sensitivity Volatility is the measurement or description of the riskiness(fluctuation) of risk factor (source) itself. It is usually measured by variance or standard deviation. Sensitivity links the investment portfolio with risk factor by measuring the level or scale of response of the investment to the change of risk factor. It is usually measured by the first order derivative of a (value) function, such as duration of a bond, βcoefficient of a stock, etc. An alternative expression of sensitivity is elasticity 1.2 nature and characteristics, Coming from the whole economic system, rather from counterparty, or internal side, therefore, systematic nature, rather than firm-specific risk Hard to diversify, but can be hedged, or insured Mark to market, normally Data advantage, relatively easy to measure compared with credit and operational risk Normal distribution assumption in valuation and risk modeling Derivatives, financial engineering are major managing instrument and skills 1.3 history and regulation, Evolvement of risky Environment and re