《财政机关风险管理英文(ppt 48页)》由会员分享，可在线阅读，更多相关《财政机关风险管理英文(ppt 48页)（48页珍藏版）》请在金锄头文库上搜索。
1、RiskManagementinFinancialInstitutions Dr ZhongyangChenAssociateProfessorSchoolofFinanceRenminUniversityofChina WhatToday AboutmeAbouttheCourseWhy What How ChapterOne Aboutme BornandbroughtupinHunanProvince China 1968 1987EducatedandWorkinginRenminUniversity Beijing 1987 PresentAssociateProfessorofSc
2、hoolofFinance RenminUniversityVisitingScholar ReadingUniversity UK 1998 1999Fulbrighter SuffolkUniversity U S A 2002 2003MoreInformation ResumeinWebpagehttp www suffolkmgt org zchen AbouttheCourse What RiskManagementcourse anemergingcourseJustliketheriskconceptitself riskmanagementcourseisnotyetunan
3、imouslydefined ordesigned Aboutderivativesandfinancialderivatives Aboutriskmeasuringmodels Aboutauditingandinternalcontrol Aboutfinancialinstitutionsmanagement Alloftheabove AbouttheCourse What OurPlannedCoverageChapter1Introduction What WhyandHow Chapter2MarketriskmanagementChapter3Creditriskmanage
4、mentChapter4OperationalriskmanagementChapter5LiquidityriskmanagementChapter6Risk basedregulationandtheNewBaselCapitalAccordSpecialtopic RiskofChina sfinancialsystem AbouttheCourse How Lecturing CasestudyandPresentationMiddle termtestFinalwrittenexaminationAboutgrading20 CaseStudyandPresentation30 Pr
5、oblemsassignments40 Finalwrittenexamination10 ClassAttendanceandParticipation Firstofall let stalkaboutrisk Howmuchdoyouknowaboutrisk Listrisk relatedwordsDefineriskinyourownwords Makesentencesusingrisk Yourpreference attitudetoriskHowdoyoumanageoravoidriskinyoureverydaylife Yourviewsonriskandfinanc
6、e investment Yourpreference attitudetorisk 高 中 低三种状态 Makesentencesusingrisk 风险是可控的风险是由不可确定性造成的风险是高投资 高收益的投资人群是可以依据风险偏好分类的风险是可以预料的 但不可避免 Listrisk relatedwords 保险投资损失战争婚姻学习就业对冲基金篱笆旅行期权期货 Defineriskinyourownwords 灾害可能的损失危机不可预料的危险对某个客体在某种情况下造成危险的事件出乎自己的意料而造成的损失不利的因素可能承担的代价 Chapter1IntroductiontoRiskMana
7、gement What WhyandHow 1Whatisrisk especiallyinperspectiveofFIs 2WhyFIsshouldmanagerisk 3Howtomanagefinancialrisk Basicconceptsandmethodologiesofmanagingrisk 4Evolution revolutionandtrendsofriskmanagement 1 Whatisrisk Commonword hardtodefineclearly preciselyIntuitively somethingwhichpossible notdefin
8、itely makeyoulosesomethingelsevaluabletoyou therefore definitely makesyouworryorsufferAcademically andinperspectiveofFIs Somedefinitionformpopulartextbooks RiskisuncertaintyoffutureoutcomeRiskispotentiallossRiskisdeviationfromexpectationRiskisanychangeresultinginlossRiskisvolatilityRiskisdanger orha
9、zard Comparingsomeinvolvedorrelatedconcepts UncertaintyVolatilityLoss severity HazardProbabilityRiskexposure Uncertainty TheoreticalcontroversyaboutwhetherriskisequivalenttouncertaintyMostofthefinancebooksorinvestmentbookstreatordefineriskasuncertaintyInsomebooks especiallyondecisionmaking riskisdif
10、ferentiatedfromuncertaintyinthewayhowfuturesituationisperceived Risk Decisionmakerhastheknowledgeofthepossibleoutcomesandtherespectivepossibilitiesoftheseoutcomes Thus riskismeasurable Uncertainty Decisionmakershavenosuchknowledge Thus uncertaintyisnotmeasurable Volatility Volatilityismeasuredbyvari
11、ance 2orstandarddeviation double sidemeasurementofrisk includingupsidepotentialanddownsidepotentialFirstintroducedbyHarryMarkowitz asabasicmeasureofriskofinvestmentonitsown Variance 2 Theprobabilityweightedsumofthesquareddeviationsofalltheoutcomesfromtheirmean expectedvalue standarddeviation thesqua
12、rerootofvariance Loss severity LossitselfisnotriskRealizedloss Probabilitynotinvolved Potentialloss Probabilityinvolved Expectedloss Probabilityinvolved Unexpectedloss atsomespecifiedconfidenceinterval Probabilityinvolved Lossgivendefault LGD orotherevent Probabilitynotinvolved LGD 1 recoveryrate Ha
13、zard Ininsurancebusinessandlendingbusiness riskcanbedifferentiatedobviouslyfromhazard Riskispotentialloss orlossgivenacertainpossibility Hazardistheenvironmentoreventwhichcanincreasethescale severity or andpossibilityofloss PhysicalhazardandMoralhazard MoralHazard Theoretically moralhazardresultsfro
14、minformationasymmetry Moralhazardoccurswhentheinsuredfailstotakeproperprecautionstoavoidlossesbecauselossesarecoveredbyinsurance HurricaneFran1996inNorthCarolinacoast yachtownersdidnottakedowntheiroldcanvascovers Moralhazardplaysimportantroleincreditmanagement Borrowcouldintentionallyviolatetherestr
15、ictivecovenantsandinvestborrowingsinhighriskproject Inmanagingcreditrisk oneimportantaspectistoreducemoralhazard andhencetoreduceinformationasymmetry Financialstructuring monitoringandenforcingcovenantscanhelpreducemoralriskindebtcontract Probability Riskyinvestmentisnotasurething probabilitycalcula
16、tionisinevitablyinvolvedandevenbecomeacorepartofmoderninvestmentandriskmanagementExpectedreturnandStandarddeviation andhencecovarianceandcorrelationcoefficient arethemostbasicelementsofanalyticframeworkofmoderninvestmentandriskmanagementProbabilityDistributionFunction PDF isthecoreandhardpartofriskmodeling IncreasinglysophisticatedstatisticskillsandadvanceprobabilitytheoriesaregainingmoreandmoregroundinriskmanagementLargenumberlawisafundamentallawinriskmanagement Ajarfilledwith3000whitepebblesan
