5、衍生品风险管理.pptxVIP

;场外衍生品范围;海外利率市场停滞;汇率市场还在恢复;CDS市场萎缩;商品市场严重萎缩;中国金融衍生品市场;金融衍生品面临的风险;9;海外著名衍生品受害者;惹祸的为什么总是它;衍生品的风险管理;衍生品的主要风险;1992年ISDA主协议及附件 2002年ISDA主协议及附件 管辖双方之间的法律和信用关系 主协议内容包括陈述、违约事件/终止事件等约定 主协议附件对标准条款作出选择及变更 加入确认书;中国的法律协议要求;风险管理的组织架构;17;18;19;定价与风险参数;定价与风险资产;风险资产与资本管理;风险加权 资产;市场风险资本的衡量;市场风险资本管理;标准法;内部模型法;VAR的计算方法;内部模型法下资本要求;新增风险资本;信用衍生品的风险资本管理;VAR的不足与解决办法;压力VAR的引入及不足;市场消息看JPM问题可能性;J.P. Morgan Chase Co. Chairman and Chief Executive Officer James Dimon had just committed the most expensive blunder of his 30-year career, failing to detect the risk of trades that had begun to generate huge losses at the bank. Those trading positions have produced losses that could total as much as $5 billion, …., which already has shaved off more than $25 billion in shareholder value. The bank has ousted the executive in charge of its Chief Investment Office, a huge trading unit at the heart of the scandal that has contributed more than $4 billion of net income over the past three years—nearly 10% of J.P. Morgans overall profit during that period.;;从VAR探讨JPM问题的可能;JPM首席交易室中可能的真相;今后怎么办;总结; 谢 谢！