毕博-上海银行—RM Seminar - Seoul - 05-19-02.pptVIP

RiskManagement ;Consider four questions;What is “risk”?;What is “risk management”?;Risk management principles come from modern portfolio theory (MPT);Why should a firm manage risk well?;How should a firm manage risk well?;Risk Identification;Two principal approaches to risk measurement;;Credit Risk starts with the concepts of Expected Loss and Unexpected Loss;Expected loss information: from loan characteristics and borrower information;Probability of default: uses classification system that can range in sophistication and rigor;Credit Grading or Scoring;Exposure at Default;Severity: all costs,