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### 风险管理和金融创新

2001.11.15

• 环境的巨大变化和风险管理的必要性

• 风险度量及其风险管理

• 全球市场监管的方法和动向

汇率,利率,股价波动

信息不对称问题

• Suppose you hold a proportion w in asset A and (1-w) in asset B

• The portfolio expected return and risk is given by

The Two-Asset Case:IBM and John Deere

IBM

DE

Portfolio

Random Return

Expected Return

0.02%

0.95%

Std deviation

6.68%

8.67%

0.2592

Correlation in Returns

• Suppose you hold two assets in your portfolio, IBM and John Deere.

• Let the fraction of IBM be w and the fraction of John Deere be (1-w)

• If w = 1, you hold only IBM,

• If w = 0, you hold on John Deere,

• If w = .5, you have an equally weighted or naively diversifiedportfolio.

• The standard deviation is not a linear combination of the individual asset standard deviations.

• Instead, it is the square root of variance given by:

• The standard deviation of the 50%/50% portfolio is:

• The portfolio risk is lower than either individual asset’s because ofdiversification.

B

C

C’

A

Risk

Asset Portfolio

100%

65%

Unsystematic Risk

50%

15%

systematic Risk

Asset numbers

5

15

25

35

40

• 专家方法(6C) ——

• 品格(Character): 偿债意愿和偿债历史;企业的年龄

• 资本(Capital): 资产和债务的比例;杠杆性

• 偿付能力(Capacity): 负债和收益的对称性

• 抵押品(Collateral): 市场价值

• 周期的形势(Cycle Conditions): 产业不同影响程度不同

局限性: 缺乏客观性和可比性

• 评级方法 ——

• 合格级别分为6个，不合格分为4个(贷款和债券有区别)

• 资本金要求: 各级别的贷款额和损失概率的积和

局限性: 忽略贷款组合的多样化

• 信用评分方法

• 根据违约概率将借款人分类

• 打分方法(Altman):

样本(年，规模，产业)和临界值(1.81)

X1: 运营资本/总资产比率

X2: 留存盈余/总资产比例

X3: 利息和税收之前的收益/总资产比例

X4: 股权的市场价值/总负债的账面价值比率

X5: 销售额/总资产比例

• 局限性

• 线性的假设

• 财务数据的滞后发表

• 静态模型

• 作为期权的贷款和KMV模型

• VaR模型

• 宏观模拟方法

• 风险中性的评估方法(KPMG模型)

• 保险的方法(CSFP模型)

• 进行返回测试和压力测试的信用风险模型

• RAROC模型

1亿美元的债券，价格变动幅度年率20%,250营业日中保有10天，单侧显著性97.75%(2个偏差),求VAR.

VAR=1*20%*2* =0.08

VAR方法的特点