章節(jié)9風險管理任務1講義三級ss

【夢軒考資】專業(yè)提供CFAFRM全程+講義SS14：RiskManagement【夢軒考資】專業(yè)提供CFAFRM全程+講義SS14：RiskManagement【夢軒考資】專業(yè)提供CFAFRM全程+講義TopicinCFALevelIII2-45SS1-2STANDARDSSS3SS4SS5【夢軒考資】專業(yè)提供CFAFRM全程+講義TopicinCFALevelIII2-45SS1-2STANDARDSSS3SS4SS5SS6PORTFOLIOMANAGEMENTFORINSTITUTIONALINVESTORSSS7SS8ASS SS9ASS SS10FIXED-INCOMEPORTFOLIOMANAGEMENT(1)SS11FIXED-INCOMEPORTFOLIOMANAGEMENT(2)SS12PORTFOLIOMANAGEMENTSS13FORPORTFOLIOMANAGEMENTSS14RISKMANAGEMENTSS15SS16TRADING,MONITORINGANDREBALANCINGSS17SS18GLOBALINVESTMENTPERFORMANCESTANDARDS【夢軒考資FrameworkofSS14】專業(yè)提供CFAFRM全程+講義SS14RiskManagement【夢軒考資FrameworkofSS14】專業(yè)提供CFAFRM全程+講義SS14RiskManagement3-45R26RiskManagement【夢軒考資】專業(yè)提供CFAFRM全程+講義RiskManagementProcess1.Toplevelmanagementoftheorganizationsettingpoliciesandproceduresfor【夢軒考資】專業(yè)提供CFAFRM全程+講義RiskManagementProcess1.Toplevelmanagementoftheorganizationsettingpoliciesandproceduresformanagingrisk.Definingrisktolerancetovariousrisksintermsofwhattheorganizationiswillingandabletobear.Forsomeriskstolerancewillbehigh,forothersitwillbelow.Identifyingrisksfacedbytheorganization.Thoseriskscanbegroupedasfinancialandnon-financialrisks.Thiswillrequirebuildingandmaintaininginvestmentdatabasesforbothtypesofrisk.Measuringthecurrentlevelsofrisk.Adjustingthelevelsofrisk-upwardwherethefirmhasanadvantageandseekstogeneratereturntoexploitanadvantage,downwardinothercases..4-45【夢軒考資】專業(yè)提供CFAFRM全程+講義RiskManagementGovernance5-45GovernanceDescriptionCharacteristicsCentralizedAcompanyhasasingleriskmanagementgroupthatmonitorsand【夢軒考資】專業(yè)提供CFAFRM全程+講義RiskManagementGovernance5-45GovernanceDescriptionCharacteristicsCentralizedAcompanyhasasingleriskmanagementgroupthatmonitorsandultimatelycontrolsalloftheorganizationsrisk-takingactivities.PermiteconomiesofscaleEnterprise-levelriskestimatesmaybelowerthanthosederivedfromindividualunitsPuttheresponsibilityonalevelclosertoseniormanagement,whichisdeemedreasonableDecentralizedToplaceriskmanagementresponsibilityonindividualbusinessunitmanagers.EachunitcalculatesandreportsitsAllowingthepeopleclosertotheactualrisktakingtomoredirectlymanageit【夢軒考資】專業(yè)提供CFAFRM全程+講義EvaluateARiskManagementSystemAneffective【夢軒考資】專業(yè)提供CFAFRM全程+講義EvaluateARiskManagementSystemAneffectiveERMsystemincorporatesthefollowingsteps:Identifyeachriskfactortowhichthecompanyhasexposure.Quantifythefactorinmeasurableterms.Includeeachriskinasingleaggregatemeasureoffirm-widerisk.VARwillbethemostcommonlyusedtool.Identifyhoweachriskcontributestotheoverallriskofthefirm.ThisisanadvantageofVAR.Systematicallyreporttherisksandsupportanallocationofcapitalandrisktothevariousbusinessunitsofthefirm.Monitorcompliancewiththeallocatedlimitsofcapitalandrisk.6-45【夢軒考資RiskTypes】專業(yè)提供CFAFRM全程+講義FinancialMarketriskLiquidityriskCreditRiskOther【夢軒考資RiskTypes】專業(yè)提供CFAFRM全程+講義FinancialMarketriskLiquidityriskCreditRiskOtherRisks ESG(environmental,social,governance)riskPerformancenettingriskSettlementnettingriskNonFinancial??????OperationaloroperationsriskSettlementriskMriskSovereignriskRegulatoryriskrisk7-45【夢軒考資IdentifyingRisks】專業(yè)提供CFAFRM全程+講義Marketriskisrelatedtochanges【夢軒考資IdentifyingRisks】專業(yè)提供CFAFRM全程+講義Marketriskisrelatedtochangesininterestrates,exchangerates,equityprices,commodityprices,andsoon.Eachoftheseriskscanbetiedtochangesinsupplyanddemandinparticularmarkets.Marketriskisfrequentlythelargestcomponentofrisk.Creditriskisdefinedhereastheriskoflosscausedbyacounterparty'sordebtor'sfailuretomakeapromisedpayment.Itisfrequentlythesecondlargestfinancialrisk.Traditionally,creditriskwasseenasbinary-apaymentismadeornot.Liquidityriskisthepossibilityofsustainingsignificantlossesduetotheinabilitytotakeorliquidateapositionquicklyatafairprice.Anarrowbid-askspreadisusuallytakenasanindicatorofgoodliquidity8-45【夢軒考資IdentifyingRisks】專業(yè)提供CFAFRM全程+講義OperationsRisk.Thepotentialforfailuresinthefirm’soperatingsystems,including【夢軒考資IdentifyingRisks】專業(yè)提供CFAFRM全程+講義OperationsRisk.Thepotentialforfailuresinthefirm’soperatingsystems,includingitsERMsystem,duetomechanical,orotherproblems.al,technological,Settlementriskispresentwheneverfundsareexchanged.OnepartycouldbemakingapaymentwhiletheothersideoftheexchangecouldbeintheprocessofdefaultingandfailtisalsoknownasHerstattrisk.iveronthetransaction.ThisMRisk.MsareonlyasgoodastheirconstructionandInputs.SovereignRisk.Thewillingnessandabilityofaforeigngovernmenttorepayitsobligations.RegulatoryRisk.Differentsecuritiesintheportfoliocanfallunderdifferentregulatorybodies.Risk,TaxRisk,AccountingRisk,AndLegalRisk,whichrelatedirectlyorindirectlytochangesinthepolitical climate. 9-45【夢軒考資MeasuringRisks】專業(yè)提供CFAFRM全程+講義Riskmeasurementisfocusedprimarilyonmeasuringmarketandcredit【夢軒考資MeasuringRisks】專業(yè)提供CFAFRM全程+講義Riskmeasurementisfocusedprimarilyonmeasuringmarketandcreditrisk.Traditionally,marketriskhasbeenmeasuredwithtoolssuchas:Standarddeviationtomeasurepriceorsurplusvolatility.Standarddeviationofexcessreturn.Thestandarddeviationofexcessreturnsisalsocalledactiveriskortrackingrisk.Simple,linear,first-orderprojectionsofthechangeinpriceformanysecurities:betaforstock,durationforbonds,anddeltaforoptions.Secondordertechniquestomeasurechangefromstraightlinepriceprojectionsexistforbonds(convexity)andoptions(gamma).10-45【夢軒考資】專業(yè)提供CFAFRM全程+講義MeasuringRisks-VARVARstatesatsomeprobability(often1%or5%)theexpectedloss【夢軒考資】專業(yè)提供CFAFRM全程+講義MeasuringRisks-VARVARstatesatsomeprobability(often1%or5%)theexpectedlossduringaspecifiedtimeperiod.Thelosscanbestatedasapercentageofvalueorasanominalamount.VARalwayshasadualinterpretation.3methodstoestimateVAR:Analyticalmethod(variance-covariance/deltanormalmethod)HistoricalmethodMonteCarlomethod11-45【夢軒考資】專業(yè)提供CFAFRM全程+講義MeasuringRisks-VARAnalysisshouldconsider【夢軒考資】專業(yè)提供CFAFRM全程+講義MeasuringRisks-VARAnalysisshouldconsidersomeadditionalissueswithVAR:TheVARtimeperiodshouldrelatetothenatureofthesituation.AtraditionalstockandbondportfoliowouldlikelyfocusonalongermonthlyorquarterlyVARwhileahighlyleveragedderivativesportfoliomightfocusonashorterdailyVAR.ThepercentageselectedwillaffecttheVAR.A1%VARwouldbeexpectedtoshowgreaterriskthana5%VAR.Theleft-tailshouldbeexamined.Left-tailreferstoatraditionalprobabilitydistributiongraphofreturns.Theleftsidedisplaysthelowornegativereturns,whichiswhatVARmeasuresatsomeprobability.Butsupposethe5%VARislosing$1.37million,whathappensat4%,1%,andsoon?Inotherwords,howmuchworsecanitget?12-45【夢軒考資】專業(yè)提供CFAFRM全程+講義VARExample:The1-day,【夢軒考資】專業(yè)提供CFAFRM全程+講義VARExample:The1-day,1%VARofaportfoliois$2.6m.Thismeansthatwefeelthereisa1%chancetheportfoliowillloseatleast$2.6minoneday.Alternatively,weare99%confidentthattheportfoliowilllosenomorethan$2.6minoneday.13-45【夢軒考資】專業(yè)提供CFAFRM全程+講義MeasuringRisks-VARPercentvs.Dollar【夢軒考資】專業(yè)提供CFAFRM全程+講義MeasuringRisks-VARPercentvs.DollarVAR14-45ExampleSupposeanassethasadailystandarddeviationofreturnsequalto1.4%andtheassethasacurrentvalueof$5.3million,bothapercentageanddollarbasis.【夢軒考資VAR-example】專業(yè)提供CFAFRM全程+講義Supposethehistorical【夢軒考資VAR-example】專業(yè)提供CFAFRM全程+講義Supposethehistoricalstandarddeviationofastockindexhasbeen0.6%perday.Fora$1,000investmentintheindex,calculateandinterpretthe1-day,5%VAR.Usingthestandardnormaldistributionvalueof1.65*,weknowthata$1,000positionintheindexwouldhaveabouta5%chanceoffallingatleast(1.65)(0.006)(1,000)=$9.90inonedayThe1-day,5%VARis$9.90*P(Z<–1.65)=0.05Thisistheminimumlosstobeexpectedfortheworst5%ofthedayswheretheseconditionsprevailWearealso95%confidentthatthe$9.90um1-daylosswillbe15-45【夢軒考資】專業(yè)提供CFAFRM全程+講義Analytical(variance-covariance)method-illustration【夢軒考資】專業(yè)提供CFAFRM全程+講義Analytical(variance-covariance)method-illustrationTheanalyticalmethod(orvariance-covariancemethod)isbasedonthenormaldistributionandtheconceptofone-tailedconfidenceintervals.Example:AnalyticalVARTheexpectedannualreturnfora$100,000,000portfoliois6.0%andthehistoricalstandarddeviationis12%.CalculateVARat5%significance.ACFAcandidatewouldknowthat5%inasingletailisassociatedwith1.645,orapproximately1.65,standarddeviationsfromthemeanexpectedreturn.Therefore,the5%annualVARis:16-45【夢軒考資】專業(yè)提供CFAFRM全程+講義Analytical(variance-covariance)method-illustration【夢軒考資】專業(yè)提供CFAFRM全程+講義Analytical(variance-covariance)method-illustrationExample:ComputingweeklyVARForthepreviousexamplecomputetheweeklyVARat1%.Answer:Thenumberofstandarddeviationsfora1%VARwillbe2.33belowthemeanreturn.Theweeklyreturnwillbe6%/52=0.1154%.Theweeklystandarddeviationwillbe12%/521/2=1.6641%VAR=0.1154%-2.33(1.6641%)=-3.7620%17-45【夢軒考資】專業(yè)提供CFAFRM全程+講義Theconfidenceintervals68%confidenceintervalis[,]【夢軒考資】專業(yè)提供CFAFRM全程+講義Theconfidenceintervals68%confidenceintervalis[,][1.65,1.65]99%confidenceintervalisProbabilityU-1.96σU-1σU-2.58σU-2.58σU+1.96σU+1σu68%95%99%18-45【夢軒考資Fortheexam:】專業(yè)提供CFAFRM全程+講義5%VAR【夢軒考資Fortheexam:】專業(yè)提供CFAFRM全程+講義5%VARis1.65standarddeviationsbelowthemean.1%VARis2.33standarddeviationsbelowthemean.VARforperiodslessthanayeararecomputedwithreturnandstandarddeviationsexpressedforthedesiredperiodoftime.FormonthlyVAR,dividetheannualreturnby12andthestandarddeviationbythesquarerootof12.Then,computemonthlyVAR.ForweeklyVAR,dividetheannualreturnby52andthestandarddeviationbythesquarerootof52.Then,computeweeklyVAR.Foraveryshortperiod(1-day)VARcanbeapproximatedbyignoringthereturncomponent(i.e.,enterthereturnaszero).ThiswillmaketheVARestimateworseasnoreturnisconsidered,butoveronedaytheexpectedreturnshouldbesmall.19-45【夢軒考資】專業(yè)提供CFAFRM全程+講義Analytical(variance-covariance)methodAdvantagesoftheanalytical【夢軒考資】專業(yè)提供CFAFRM全程+講義Analytical(variance-covariance)methodAdvantagesoftheanalyticalmethodinclude:Easytocalculateandeasilyunderstoodasasinglenumber.Allowsmingthecorrelationsofrisks.Canbeappliedtoshorterorlongertimeperiodsasrelevant.Disadvantagesoftheanalyticalmethodinclude:Assumesnormaldistributionofreturns.Somesecuritieshaveskewedreturns.Variance-covarianceVARhasbeenmodifiedtoattempttodealwithskewandoptionsinthedelta-normalmethod.Manyassetsexhibitleptokurtosis(fattails).Thedifficultyofestimatingstandarddeviationinverylargeportfolios.20-45【夢軒考資】專業(yè)提供CFAFRM全程+講義HistoricalMethod-illustrationYou【夢軒考資】專業(yè)提供CFAFRM全程+講義HistoricalMethod-illustrationYouhaveaccumulated100dailyreturnsforyour$100,000,000portfolio.Afterrankingthereturnsfromhighesttolowest,youidentifythelowerfivereturns:-0.0019,-0.0025,-0.0034,-0.0096,-0.0101CalculatedailyVARat5%significantusingthehistoricalmethod.Answer:Sincethesearethelowestfivereturns,theyrepresentthe5%lowertailofthe“distribution”of100historicalreturns.Thefifthlowestreturn(-0.0019)isthe5%dailyVAR.Weshouldaythereisa5%chanceofadailylossexceeding0.19%,or$190,000.21-45【夢軒考資HistoricalMethod】專業(yè)提供CFAFRM全程+講義Advantagesofthe【夢軒考資HistoricalMethod】專業(yè)提供CFAFRM全程+講義Advantagesofthehistoricalmethodinclude:Veryeasytocalculateandunderstand.Doesnotassumeareturnsdistribution.Canbeappliedtodifferenttimeperiodsaccordingtoindustrycustom.Theprimarydisadvantageofthehistoricalmethodistheassumptionthatthepatternofhistoricalreturnswillrepeatinthefuture(i.e.,itisindicativeoffuturereturns).22-45【夢軒考資】專業(yè)提供CFAFRM全程+講義MonteCarloSimulationMethodAcomputerprogramsimulatesthe【夢軒考資】專業(yè)提供CFAFRM全程+講義MonteCarloSimulationMethodAcomputerprogramsimulatesthechangesinvalueoftheportfoliothroughtimebasedon:amofthereturn-generatingprocess;andanassumedprobabilitydistributionforeachvariableofinterest AMonteCarlooutputspecifiestheexpected1-weekportfolioreturnandstandarddeviationas0.00188and0.0125,respectively.Calculatethe1-weekvalueatriskat5%significance.VAR[RP(z)(0.018745($123-45【夢軒考資】專業(yè)提供CFAFRM全程+講義MonteCarloSimulationMethodTheprimaryadvantage【夢軒考資】專業(yè)提供CFAFRM全程+講義MonteCarloSimulationMethodTheprimaryadvantageoftheMonteCarlomethodisalsoitsprimarydisadvantage.Itcanincorporateanyassumptionsregardingreturnpatterns,correlations,andotherfactorstheanalystbelievesarerelevant.Forsomeportfoliositmaybetheonlyreasonableapproachtouse.Thatleadstoitsdownside:theoutputisonlyasgoodastheinputassumptions.Thiscomplexitycanleadtoafalsesenseofoverconfidenceintheoutputamongthelessinformed.Itisdataandcomputerintensivewhichcanmakeitcostlytouseincomplexsituations(whereitmayalsobetheonlyreasonablemethodtouse).24-45【夢軒考資VAR-3Methods】專業(yè)提供CFAFRM全程+講義25-45AnalyticalMethodAdvantages【夢軒考資VAR-3Methods】專業(yè)提供CFAFRM全程+講義25-45AnalyticalMethodAdvantagesEasytocalculateandunderstandM thecorrelationsofrisks.Canbeappliedtodifferenttimeperiodsaccordingtoindustrycustom.DisadvantagesAssumeanormaldistribution.Difficultyinestimatingcorrelationsbetweenindividualassetsinverylargeportfolios.HistoricalMethodAdvantagesEasytocalculateandunderstandNoneedtoassumereturndistributionCanbeappliedtodifferenttimeperiodsaccordingtoindustrycustom.DisadvantagesAssumethatthepatternofhistoricalreturnswillrepeatinthefutureMonteCarloMethodAdvantagesAbilitytoincorporateanyreturnsdistributionorassetcorrelation.DisadvantagesMakethousandsofassumptionsaboutthereturnsdistributionsforallinputsandtheircorrelations.Garbagein,garbageout.【夢軒考資】專業(yè)提供CFAFRM全程+講義AdvantagesandLimitationsofVARAdvantagesIthas【夢軒考資】專業(yè)提供CFAFRM全程+講義AdvantagesandLimitationsofVARAdvantagesIthasbecometheindustrystandardforriskmeasurementandisrequiredbymanyregulators.Itaggregatesallriskintoonesingle,easytounderstandnumber.Itcanbeusedincapitalallocation.LimitationsSomeofthemethods(MonteCarlo)aredifficultandexpensive.ThedifferentcomputationmethodscangeneratedifferentestimatesofVAR.Itcangenerateafalsesenseofsecurity.Itisonlyasgoodastheinputsandestimationprocess.Evenwhendonecorrectlyitisprobabilistic;thingscanalwaysbeworse.Itisone-sided,focusingonthelefttailinthereturndistribution,and ignoresanyupsidepotential. 26-45【夢軒考資】專業(yè)提供CFAFRM全程+講義AdvantagesandLimitationsofVAR【夢軒考資】專業(yè)提供CFAFRM全程+講義AdvantagesandLimitationsofVARVARshouldnotbeusedinisolationbutincombinationwithothertoolsandactions:VARprojectionsshouldbecontinuallyback-testedtocompareactualresultsacrossmultipletimeperiodswithprojections.DoesthepatternofresultsfittheprobabilityandoutcomesprojectedbyVAR?IncrementalVAR(IVAR)istheeffectofanindividualitemontheoverallriskoftheportfolio.IVARiscalculatedbymeasuringthedifferencebetweentheportfolioVARbeforeandafteranadditionalasset,assetclass,orotheraspectoftheportfolioischanged.27-45【夢軒考資】專業(yè)提供CFAFRM全程+講義AdvantagesandLimitationsofVARVARshouldnotbeused【夢軒考資】專業(yè)提供CFAFRM全程+講義AdvantagesandLimitationsofVARVARshouldnotbeusedinisolationbutincombinationwithothertoolsandactions:Cashflowatrisk(CFAR)measurestheriskofthecompany'scashflows.Somecompaniescannotbevalueddirectly,whichmakescalculatingVARdifficultorevenmeaningless.EvenwhenVARcanbecalculated,CFARmayofferadditionalinformation.CFARisinterpretedmuchthesameasVAR,butsubstitutescashflowforvalue.Inotherwords,CFARistheminimumcashflowlossatagivenprobabilityoveragiventimeperiod.Earningsatrisk(EAR)isanalogoustoCFARonlyfromanaccountingearningsstandpoint.BothCFARandEARareoftenusedtoaddvaliditytoVARcalculations.28-45【夢軒考資】專業(yè)提供CFAFRM全程+講義AdvantagesandLimitationsofVARVARshouldnotbeused【夢軒考資】專業(yè)提供CFAFRM全程+講義AdvantagesandLimitationsofVARVARshouldnotbeusedinisolationbutincombinationwithothertoolsandactions:Tailvalueatrisk(TVAR)isintendedtogiveadditionalinsightintowhathappensifVARisexceeded.ItisVARplustheaverageoftheoutcomesinthetail.Forexampleifthe5%,1-dayVARis$1millionandTVARis$2.7million,then5%ofthetimelossesexceed$1millionandtheaveragelostisanother$1.7millionbeyond$1millionforatotalaveragelossof$2.7million.CreditVARprojectsriskduetocreditevents.Itwillbediscussedshortly.StresstestingisacomplimenttoVAR.29-45【夢軒考資】專業(yè)提供CFAFRM全程+講義ScenarioAnalysis&Stress【夢軒考資】專業(yè)提供CFAFRM全程+講義ScenarioAnalysis&StressTestingScenarioAnalysis:MeasurestheeffectofsimultaneousmovementsinseveralfactorsormeasurestheeffectsofunusuallylargemovementsinindividualfactorsStressTesting:istypicallyemployedasacomplementtoVAR.MeasurestheimpactofunusualeventsthatmightnotbereflectedinthetypicalVAR30-45【夢軒考資ScenarioAnalysis】專業(yè)提供CFAFRM全程+講義Potentialweaknessesinanyscenario【夢軒考資ScenarioAnalysis】專業(yè)提供CFAFRM全程+講義PotentialweaknessesinanyscenarioanalysisInabilitytoaccuratelymeasureby-productsofmajorfactormovements(i.e.,theimpactamajormovementinonefactorhasonotherfactors),or,includetheeffectsofsimultaneousadversemovementsinriskfactors.31-45StylizedScenariosItinvolvessimulatingamovementinatleastoneinterestrate,exchangerate,stockprice,orcommoditypricerelevanttotheportfolio.ActualExtremeEventsTheanalystmeasurestheimpactofmajorpasteventsontheportfoliovalue.HypotheticalEventsthathaveneverhappenedbutmightoccur.【夢軒考資StressingM】專業(yè)提供CFAFRM全程+講義sStressingmsarejustanotherversionof【夢軒考資StressingM】專業(yè)提供CFAFRM全程+講義sStressingmsarejustanotherversionofscenarioanalysis.ProblemsofStressTesting:IncorrectinputsandassumptionsUserbiasSomefactorshavedifferingorevenoppositeeffectsonvalues.32-45FactorPushAnalysisPushafactororfactorstotheextremeumLossOptimizationIdentifyriskfactorsthathavethegreatestpotentialimpactsScenarioSimultaneouslypushallfactorstotheextreme【夢軒考資】專業(yè)提供CFAFRM全程+講義Twodimensionsofcreditrisk【夢軒考資】專業(yè)提供CFAFRM全程+講義TwodimensionsofcreditriskTwodimensions:TheeventoflossUsuallydefinedintermsofprobabilitiesTheamountoflossRequiresarecoveryrateMainfocusinexamisoncreditriskofderivatives(forwards,options,andswaps)33-45【夢軒考資】專業(yè)提供CFAFRM全程+講義Current/PotentialCreditRiskCurrentcredit【夢軒考資】專業(yè)提供CFAFRM全程+講義Current/PotentialCreditRiskCurrentcreditrisk(jump-to-defaultrisk):Paymentsthatarecurrentlydue;CurrentabilitytopayMaynotbeconnectedtofutureabilitytopayPotentialcreditrisk:Paymentsdueinthefuture,mustconsidercross-default-provisionsDifficulttodetermine34-45【夢軒考資CreditRisk】專業(yè)提供CFAFRM全程+講義Currentcreditrisk(jump-to-defaultrisk):payments【夢軒考資CreditRisk】專業(yè)提供CFAFRM全程+講義Currentcreditrisk(jump-to-defaultrisk):paymentsthatarecurrentlydue;Potentialcreditrisk:paymentsdueinthefuture,mustconsidercross-default-provisions35-45ForwardValue=PVinflows–PVoutflowsSwapsInterestrateswap:highestriskaroundthemiddleCurrencyswap:bothpartiescanbesimultaneouslyexposedtocreditrisk;highestriskbetweenthemiddleandmaturityoftheagreementOptionsOnlybornbythelongposition;Europeanoptioncreditriskisonlypotentialuntilmaturity;AmericanoptioncreditriskisatleastasgreatasthatofEuropeanoption【夢軒考資】專業(yè)提供CFAFRM全程+講義DerivativesCreditRisk:ExampleofforwardcontractYouhave【夢軒考資】專業(yè)提供CFAFRM全程+講義DerivativesCreditRisk:ExampleofforwardcontractYouhaveenteredintoa60-dayforwardcontracttiver10,000,000CNY7.1621/USD.YuanRenminbiforU.S.dollarsatAfter20daystheexchangerateisCNY7.0645/USD.Therisk-freerateis5%theU.S.Determinewhichsideofthecontract,ifany,Evaluatetheamountofthecreditriskand5.5%infacescreditrisk36-45【夢軒考資】專業(yè)提供CFAFRM全程+講義DerivativesCreditRisk-SwapsSwaps:【夢軒考資】專業(yè)提供CFAFRM全程+講義DerivativesCreditRisk-SwapsSwaps:Potentialcreditrisk(sumofpresentvalueofprojectedsettlementpayments)MV=PVinflows–PVoutflowsIfpositive→potentialcreditriskCurrentcreditriskateachsettlementdateCreditriskvariesoverthelifeofaninterestrateswapStartsoutlowIncreasestomiddleoftenorDecreasestowardendoftenorForcurrencyswaps,greatestcreditriskisbetweenthemidpointandendoftheswapduetotherepaymentofthenotionalprincipalattheend37-45【夢軒考資】專業(yè)提供CFAFRM全程+講義DerivativesCreditRisk–【夢軒考資】專業(yè)提供CFAFRM全程+講義DerivativesCreditRisk–exampleofswapsAngusisthepay-fixedparty,whileBeatriceispayingfloating,inaplainvanillaswapwithquarterlysettlements.Therearetwosettlementsremaining,thenextin30days,thelastin120.LIBORwas3.04%atthelastsettlementdateandtheswapfixedrateis3.0%.Thirty-dayand120-dayLIBORare3.05and3.10%,respectively.Determinewhichside(ifeither)ofthecontractfacespotentialcreditriskEvaluatetheamountofanycreditrisk38-45【夢軒考資】專業(yè)提供CFAFRM全程+講義DerivativesCreditRisk-【夢軒考資】專業(yè)提供CFAFRM全程+講義DerivativesCreditRisk-optionsOnlylongpositioninoptionbearscreditriskEuropeanoptionsonlyhavepotentialcreditriskpriortoexpiration,atwhichtimecurrentcreditriskispresentAmericanoptionshavecurrentcreditriskiftheyare“inthemoney”becausethelongpositioncanexercisethecontractpriortoexpiration(alsopotentialcreditrisk,asperEuropeanoptions)39-45【夢軒考資】專業(yè)提供CFAFRM全程+講義ManagingMarketRiskRiskBudgeting:【夢軒考資】專業(yè)提供CFAFRM全程+講義ManagingMarketRiskRiskBudgeting:processofdeterminingwhichrisksareacceptableandhowtotalriskisallocatedacrossbusinessunits/portfoliomanagers.Benefitsofriskbudgeting:Continuouslymonitorandimmediatelyreportedtomanagement;ComparemanagerperformancewithamountofcapitalandriskallocatedInadditiontoVAR,OtherMethodsformanagingMarketRisk:PositionlimitsplaceanominaldollarcaponpositionsLiquiditylimitsarerelatedtopositionlimits,dollarpositionlimitsaresetaccordingtofrequencyoftradingvolumePerformancestopoutsetsanabsolutedollarlimitsforlossesoveracertainperiodIndividualriskfactorlimits;leveragelimits40-45【夢軒考資】專業(yè)提供CFAFRM全程+講義ManagingCreditRiskSeveralnon-VARmeasureshavebeen【夢軒考資】專業(yè)提供CFAFRM全程+講義ManagingCreditRiskSeveralnon-VARmeasureshavebeenemployedtohelpcontrolcreditrisk.LimitexposuretoanyindividualdebtorMarkingtomarketCollateralfortransactionsthatgeneratecreditriskPaymentnettingtodeterminewhichsidefacescreditriskCloseoutnettingisemployedinbankruptcyproceedings.Inthiscase,allthetransactionsbetweenthebankruptcompanyandasinglecounterpartyarenettedtodeterminetheoverallexposure.Itisalwayswisetoimposeminimumcreditstandardsonadebtor.Thequalityofthedebtor-thedebtor'screditworthiness-issometimeshardtoevaluatewithanyconfidence.Specialpurposevehicles(SPV)andenhancedderivativesproductscompanies(EDPC)41-45【夢軒考資】專業(yè)提供CFAFRM全程+講義ManagingCreditRiskTransferrisktoothers:Total【夢軒考資】專業(yè)提供CFAFRM全程+講義ManagingCreditRiskTransferrisktoothers:TotalReturnSwapsCreditSpreadOptionsCreditSpreadForwardsCreditDefaultSwaps42-45【夢軒考資】專業(yè)提供CFAFRM全程+講義MeasureRisk-adjustedPerformanceInformationR PactiveriskRPRoMADmax.drawdownRPMARSortinoR【夢軒考資】專業(yè)提供CFAFRM全程+講義MeasureRisk-adjustedPerformanceInformationR PactiveriskRPRoMADmax.drawdownRPMARSortinoRdownside43-45【夢軒考資】專業(yè)提供CFAFRM全程+講義SettingCapitalRequirements44-45NominalpositionlimitsSpecifiedintermsofamountofmoneyallocatedacrossportfoliomanagersbasedonuppermgt’sdesireforreturn/riskexposure【夢軒考資】專業(yè)提供CFAFRM全程+講義SettingCapitalRequirements44-45NominalpositionlimitsSpecifiedintermsofamountofmoneyallocatedacrossportfoliomanagersbasedonuppermgt’sdesireforreturn/riskexposureInabilityofindividualmanagertoexceedlimitbycombiningassetstoreplicatepayoffsofotherassetsInabilitytocaptureeffectsofcorrelationamongnominalpositionspositionlimitsBenefit:capitalisallocatedacrossbusinessunitsorportfoliomanagersaccordingtoVAR.Drawback:failuretoconsidercorrelationofdifferentpositionsumlosslimitsBenefit:abilitytoallocatecapitalsothat umlossneverexceedsthefirm’scapitalDrawback:possibilityofallunitssimultaneouslyexceedlimits【夢軒考資】專業(yè)提供CFAFRM全程+講義It’snotanendbutjustthebeginning.Ourdestiny【夢軒考資】專業(yè)提供CFAFRM全程+講義It’snotanendbutjustthebeginning.Ourdestinyoffersnotthecupofdespair,butthechaliceofopportuNixon.Soletusseizeit,notinfear,butingladness.--R.M.命運給予我們的不是失望之酒，而是機會之杯。因此，讓我們毫無畏懼，滿心愉悅地把握命運。尼克松45-45【夢軒考資】專業(yè)提供CFAFRM全程+講義CFA三級培訓項目SS15:RiskManagementApplications【夢軒考資】專業(yè)提供CFAFRM全程+講義CFA三級培訓項目SS15:RiskManagementApplicationsofDerivatives【夢軒考資】專業(yè)提供CFAFRM全程+講義TopicinCFALevelIII2-141SS1-2STANDARDSSS3SS4SS5【夢軒考資】專業(yè)提供CFAFRM全程+講義TopicinCFALevelIII2-141SS1-2STANDARDSSS3SS4SS5SS6PORTFOLIOMANAGEMENTFORINSTITUTIONALINVESTORSSS7SS8ASS SS9ASS SS10FIXED-INCOMEPORTFOLIOMANAGEMENT(1)SS11FIXED-INCOMEPORTFOLIOMANAGEMENT(2)SS12PORTFOLIOMANAGEMENTSS13FORPORTFOLIOMANAGEMENTSS14RISKMANAGEMENTSS15SS16TRADING,MONITORINGANDREBALANCINGSS17SS18GLOBALINVESTMENTPERFORMANCESTANDARDS【夢軒考資FrameworkofSS15】專業(yè)提供CFAFRM全程+講義SS15:Risk【夢軒考資FrameworkofSS15】專業(yè)提供CFAFRM全程+講義SS15:RiskManagementApplicationsofDerivativesR28:RiskManagementApplicationsofOptionStrategiesR29:RiskManagementApplicationsofSwapStrategies3-141R27:RiskManagementApplicationsofForwardandFuturesStrategies【夢軒考資】專業(yè)提供CFAFRM全程+講義R364-141【夢軒考資】專業(yè)提供CFAFRM全程+講義R364-141【夢軒考資Targetduration】專業(yè)提供CFAFRM全程+講義Thenumberoffuturescontractsneededto【夢軒考資Targetduration】專業(yè)提供CFAFRM全程+講義Thenumberoffuturescontractsneededtocombinewithabondtoachieveatargetedportfoliodurationis:#contracts=yieAssumingMDT=0:#contracts=yield5-141【夢軒考資】專業(yè)提供CFAFRM全程+講義Example:ZerodurationAmanagerhasabondportfoliowithavalueof$103,630andaholdingperiodofoneyear.The1-yeartotalfuturespriceis$102,510.Themodifieddurationofthebondandfuturescontractsare1.793and1.62,respectively.Theyieldbeta【夢軒考資】專業(yè)提供CFAFRM全程+講義Example:ZerodurationAmanagerhasabondportfoliowithavalueof$103,630andaholdingperiodofoneyear.The1-yeartotalfuturespriceis$102,510.Themodifieddurationofthebondandfuturescontractsare1.793and1.62,respectively.Theyieldbetais1.2.Calculatethenumberofcontractstoreducetheportfoliodurationto0.Answer:#contracts=1.2Assuminghecouldtakepartialpositions,themanagerwouldshort1.34contractstototallyhedge(duration=0)theriskoftheportfolio.Anothervariationofadjustingthedurationofabondportfoliotohedgeagainstanincreaseininterestrateswouldbeifthemanagersaidhewantedtomoveaportionoralloftheportfoliointocash.Inthiscase,thetargetdurationwouldnotbe0butwouldinsteadbeapproximately0.25,representingtheaveragedurationofa6-monthinvestmentinacashinstrument.6-141【夢軒考資】專業(yè)提供CFAFRM全程+講義Example:adjustingportfoliodurationAmanagerhasabondportfolioworth$1,036,300.Thetotalfuturespriceoftheappropriatecontractis$102,510.Themodifieddurationoftheportfoliois1.793,andthedurati