frm—level 1 风险管理基础 - pinggupeixun.pinggu.org/cfa/2013-frm-part1-foundations.pdf ·...

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汤老师，FRM

FRM—Level 1 风险管理基础

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• The role of risk management • Basic risk types, measurement and

management tools • Creating value with risk management • Modern Portfolio Theory (MPT) • Standard and non-standard forms of the

Capital Asset Pricing Model (CAPM) • Index models • Risk-adjusted performance measurement • Enterprise Risk Management • Financial disasters and risk management

failures • Case studies • Ethics and the GARP Code of Conduct

http://www.garp.org/frm/study-center/study-materials.aspx

考点

http://www.garp.org/frm/study-center/study-materials.aspx

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• Handbook 英文第六版 — 较乱，上来就拿VaR图吓人

• Schweser Notes （2011） — 较贴近考点

• Bionic Turtle Notes （2012） — 参考

• Core Readings —原文有空的时候看看

• 习题 — 学习时多练习，先跟随复习进度完成书或笔记相

应习题；整套真题模拟考试（计时）

复习材料

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• Definition of risk Risk can be defined as the volatility of unexpected outcomes, which can

represent the value of assets, equity or earnings. Risk is volatility of unexpected outcomes possible. • Risk & uncertainty Risk: when the outcome is random but the probability distribution is known

or can be estimated or approximated. e.g., a six-sided die (we know the distribution is uniform). Much of our FRM study concerns the traditional attempt to parameterize (or otherwise estimate, even if empirically) the approximately distribution of possible losses.

Uncertainty: the probability distribution is itself unknown. Example: a terrorist attack. This is when the distribution itself eludes us.

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• Types of risk: business risk(经营风险) and financial risk（金融风险）

Business risks are those which the firm assumes willingly to create a competitive advantage and add to value for shareholders, including the business decisions and business environment.

(公司为了创造竞争优势和增加股东价值资源承担的风险，包括经营决策和经营环境)

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• Financial risks are those which relate to possible losses owing to financial activities。

（指那些由于金融活动可能导致损失的风险） • Financial risks can generally be classified into market risk,

credit risk , operational risk and liquidity risk.(金融风险大体上可以分为市场风险、信用风险,操作风险和流动性风险)

note: 经营风险与金融风险有时会交织在一起，例：risks in

mergers and acquisitions.

The need for RM

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The need for RM

Risk

Liquidity Risk

Operational Risk

Credit Risk

Market Risk

Environment

Decision Business Risk

Financial Risk

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Significant market events（重大市场事件） •1971: The fixed exchange rate system broke down（市场风险加剧） •1973: The oil-price shocks （石油价格冲击--导致通胀） •1987: Black Monday, 23% decline in stock price(黑色星期一) •1989: The Japanese stock price bubble deflated（日本股票泡沫破灭） •1997: Asian financial crisis（东南亚金融危机） •1998: Russian debt default（俄罗斯债务危机--直接导致LTMC倒闭） •2001: Terrorist attack destroyed the World Trade Center（世贸中心的恐怖袭击） •2007-2009: Credit risk resulting from mortgage market meltdown（次级贷引发的

信用危机） •2010: European sovereign debt crisis（欧洲主权债务危机）

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The reason for volatility increase(波动性加大的原因) (1) deregulation—违规（打擦边球） (2)globalization----全球化 The role of financial institution in risk management(金融机构在

风险管理中扮演的角色) (1)create market and instruments to share or hedge risks(创造

风险分担和规避的市场和工具) (2) provide advisory services（提供咨询服务） (3)as a counterparty by assuming risks of others（作为交易对

手承担风险）

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Derivatives(衍生品) A derivative instrument can be generally defined as a private contract whose

value derives from some underlying asset price, reference rate or index—such as a stock, bond, currency, or a commodity.（衍生工具是一种私募合约，它的价值通常是根据一种基础产品而确定）

私募：个性化定制条款；通常场外定向交易。例外：期货、权证等衍生品制式化、交易所交易。 (1)Common derivatives: Forwards, Futures, Swaps, Options (远期、期货、互换、期权) A forward contract on a foreign currency is a promise to buy a fixed amount at a

fixed price at some future date—一个远期外币合约就是承诺在某个未来的日期以固定的价格买入固定数量的外币。

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(2)Derivative is an efficient instrument for hedging and speculation owing to very low transaction costs.（衍生品既是有效的避险工具也是有效的投机工具)

the crucial point is its leverage(关键点是它的杠杆性) 如保证金比例要求为10%，理论上最高可做10倍放大交易，

意味着盈亏也放大10倍。注意：金融衍生品是一把双刃剑（double-edged sword），

现代金融危机与灾难多与衍生品有关。

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VAR(value at risk 在险价值) VAR summarizes the worst loss over a target horizon that will not be exceeded

with a given level of confidence—一定置信水平，一定时间区间下的最大损失。

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(1)VAR has been applied to market, credit, and operational risk management，from business unit to institution level—在险价值法已经应用于市场风险、信用风险和操作风险的管理中,从业务单元到整体机构层面。

(2) VAR is a common language to compare the risks of different markets—在险价值法是一种比较不同风险的通用语言。

(3) The main idea behind VAR goes back to Markowitz—背后的理念来自马克维茨。

(4) VAR has some shortcomings—在险价值法本身有它的缺陷。最牛逼在于预测未来损失，取代MPT用波动率当风险；最失败在于无

法测量尾部损失因而出现ETL、压力测试、情景测试等。

The need for RM

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其他风险管理手段： • Stop-loss limits（止损）: if cumulative loss incurred by a trader exceeds some

limit, the position has to be cut. The glaring problem is that the controls are applied xo post (after the fact) 易算、易解释、易汇总、事后

• Notional limit（规模限额）: an ex ante (forward-looking or before-the-fact) limit on the notional exposure. Although this is an ex ante control, notional is not a good proxy for exposure.易算、易解释、各类产品间不能汇总、事前

• Exposures（敞口限额）: limits placed on sensitivities; e.g., duration limit, beta limit. Jorion says, “this approach is still incomplete. It does not consider the volatility of risk factors, which could vary across markets, nor their correlations.”难算、难解释、不能汇总、事前

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market risk（市场风险） market risk is the risk of losses owing to movements in the level or volatility of

market prices. (由于市场价格水平或波动性变动造成损失的风险) （1）absolute risk (绝对风险): measured in dollar terms 衡量的是绝对价值变动的风险（2）relative risk (相对风险): measured relative to a benchmark 衡量的是相对价值变动的风险（3）directional risks (线性风险): involve exposures to the direction of movements in

financial variables, such as stock prices 风险暴露与金融变量例如股价的变化有线性关系例子：你买了1万元股票，可能亏100元（绝对风险）；可能亏1%但沪深300指数

要跌5%（相对风险，对比基准看跟踪误差）；沪深300股指跌8%，你股票也得跌（线性风险）

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（4）non-directional risks (非线性风险): non-linear exposures to financial variables 风险暴露与金融变量没有线性关系

（5）basis risk(基差风险)is the risk that the price of a hedging instrument and the price of the asset being hedged are not perfectly correlated

风险规避工具与风险规避资产的价格变动不完全相关造成的风险，股票与股指期货等

（6）volatility risk(波动率风险) is the risk from the changes in actual or implied volatility of market prices

续上例：人民币汇率涨了，你的股票涨跌不清楚（非线性风险）；你害怕房价一

直涨，就每月工资买万科A，结果万科股票涨得没它的房价快（基差风险），或者丈母娘要求今年不买房不结婚，但你万科A股权得3年后才能执行（期限错配基差风险）；中央要求狠抓公款吃喝，贵州茅台股价应声而落（波动率风险）。

The need for RM

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credit risk（信用风险） credit risk is the risk of losses owing to the fact that counterparties

may fail to fulfill their contractual obligation. Its effect is measured by the cost of replacing cash flows if the other party defaults.

（由于对手没有履行合约义务而造成损失的风险，通常以重置现金流的成本来衡量）

信用风险的大小取决于违约概率(probability of default)、风险暴露（exposure)和回收率（recovery rate）

credit loss= probability of default x exposure x (1-recovery rate)

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（1）sovereign risk（主权风险）is the risk resulting of a country’s actions.(主权风险指债务人所在国的国家行为导致的债权风险，例如朝韩战争导致韩国突然外汇管制)

（2）settlement risk(结算风险)is the risk that a counterparty will fail to pay after the party has made the payment.（一方履行支付之后，另一方却没有履行）

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operational risk（操作风险） is the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events.（由于内部流程、人员、系统的不力或失败以及外部事件所导致损失的风险）

The need for RM

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（1）Model risk is part of inadequate internal processes. This refers to the risk of losses owing to the fact that valuation models may be flawed(mis-specified or misapplied).

模型风险是内部流程不力的一部分，主要指复杂衍生品价值评估模型有瑕疵或用错而导致损失的风险。

（2）People risk includes internal or external fraud 人员风险主要包括内部和外部欺诈风险（3）Legal risk is the risk of loss arises from legal issues such as

lawsuits, fines. 法律风险指由于案件诉讼、罚款等法律事件导致损失的风险。

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操作风险不是回收站！ Strategic risk；Business risk；Reputational risk(controversial) 不属于操作风险。

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liquidity risk （流动性风险）takes two forms, asset liquidity risk and funding liquidity risk（包括资产流动性风险和融资流动性风险）

（1）Asset liquidity risk arises when a transaction cannot be conducted at prevailing market prices owing to the size of the position relative to normal trading lots.

资产流动性风险指由于交易头寸过大导致交易无法以现行价格成交（2）Funding liquidity risk refers to the risk that a firm will unable to raise

the money to meet payments obligations. 融资流动性风险一个公司无法通过借钱来偿还债务

The need for RM

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Creating value by risk management •Reduce potential costs of financial distress or bankruptcy– 降低财务

困境或破产成本 •Reduce weighted average cost of capital—降低加权平均资本成本 •Reduce volatility of taxable income—降低应税收入的波动性 •Reduce diversifiable risk—降低多样化风险 •Improve management incentives—改进管理激励机制 •Reduce probability of debt overhang—降低过度负债的概率 •Reduce information asymmetries—降低信息不对称

Creating value with RM

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1.Reduce potential costs of financial distress or bankruptcy （1）The costs firms incur because of a poor financial situation are called

costs of financial distress, including direct and indirect costs-- 由于公司财务状况糟糕而引发的成本称为财务困境成本。

direct costs include the actual expenses associated with bankruptcy process such as legal, accounting fees which are also called bankruptcy cost—直接成本包括破产相关的费用例如法律费用、会计费用等，也称为破产成本

indirect costs include missing investment opportunity, losing customers or sales and so on—间接成本包括失去投资机会，流失客户及销售量等。


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(2) costs of financial distress are associated with debt-equity ratio and volatility of the value of a firm—财务困境成本与负债权益比例和公司价值波动率有关。

the higher the ratio and the greater the volatility, the more the costs of financial distress –-负债权益比越高、公司价值波动率越大，则财务困境成本越高。


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（3）value of firm=PV(cash flow- bankruptcy costs) so risk management can increase value of firm by reducing costs of

financial distress and bankruptcy only that costs of risk management are smaller than costs of financial distress and bankruptcy– 所以，只要风险管理成本小于财务困境成本和破产成本，它就可以通过降低财务困境和破产成本而增加公司价值。

注意：降低企业系统性风险不会增加企业价值。 perfect/frictionless market中风险管理无法降低成本，也就无法增加股东

收益。但首先市场不完美，其次这只是从降低成本角度考虑风险管理的价值，风险管理还有其他方面价值。


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2. Reduce weighted average cost of capital WACOC=(D/V)Rd(1-t)+(E/V)Re （1）Generally speaking, the higher the debt-equity ratio, the

more tax benefits of debt, and the lower the WACOC—一般来说，负债-权益率越高，债务的避税收益越大，加权平均资本成本也越低。

（2）Generally speaking, the higher the debt-equity ratio，the higher the costs of financial distress—一般来说，负债-权益率越高，财务困境成本也越大。


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（3）So the optimal capital structure of a firm balances the tax benefits of debt against the costs of financial distress—一个公司的最优资本结构取决于债务避税收益和财务困境成本的权衡。

（1）+（2）（3） By reducing the potential costs of financial distress, risk

management and increase the optimal debt-equity ratio and further increase the value of the firm—通过降低可能的财务困境成本，风险管理能够提高负债-权益比，进而提高公司价值（股东利益）。好风控降低企业融资成本。


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3. Reduce volatility of taxable income When the higher income, the higher tax rate, risk management can

reduce tax by reducing volatility of taxable income—在累进税率制下，风险管理可以通过降低应税收入的波动性来避税。

例：一个国家规定，企业收入100万元（含）以下的税率是0，100-200万元之间的税率是20% ，那么一个企业第一年收入150万元，第二年收入50万元，则应交税10万元。如果通过风险管理措施使第一年和第二年的收入均为100万元，则应交税为0.

注意：风险管理要做的是降低企业收益的波动，避免出现大起大落。同

时实现降低税负也要看各国税收政策是怎么规定的。对累进税率有效。


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4.Reduce diversifiable risk （1） Well diversified small shareholders do not pay attention to what the

firm is doing—充分分散化的小股东不会关注公司在做什么。（2）large shareholders can increase firm value by monitoring management,

on the one hand large shareholders has expertise in the business, which may be good advice for management and on the other hand large shareholders have incentives to monitor management, solving agent problem—大股东能够通过监督管理来增加公司价值，一方面大股东有经营专长，这些能变成管理建议，另一方面大股东有监督管理的动机，在一定程度上解决委托代理问题。


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（3）the firm gains from having the large shareholders and it can make sense to hedge to make it possible for the large shareholders to keep their investment in the firm—公司能从大股东的存在获得益处，那么通过风险管理使得大股东保持他们在公司的投资就是有意义的。

这个逻辑就是：大股东能增加公司价值，但是大股东没法享受小股东那种风险分散的好处，那么通过风险管理使大股东享受风险规避的好处，维持他们的大额投资，进而增加公司价值。


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补充：Agency problem （代理问题） • Management acts in their own interest instead of

shareholders’ interests (e.g., “empire building”) • How to solve? Incentives (e.g., stock options) try to

provide alignment between management actions (and decisions) with shareholder welfare.

• But practice is more difficult 降低Agency costs,吸引大股东。


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5. Improve management incentives (1)One of the problems with managerial compensation based

on the performance of the firm is that some contributors of firm performance are not under the control of management, such as the costs of key inputs increase—基于管理业绩的管理薪酬制度存在一个问题，那就是有些影响公司业务的因素不是管理可控的，例如关键投入要素的成本上升。

例子： 2007年股市大涨，2008年股市大跌，都不是人力可以控制的，要分析企业管理在整体环境下是正影响还是负影响，影响程度如何，客观反映管理水平。油价上涨。。。


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(2) Risk management can eliminate sources of fluctuation in market value due to forces that are not under management’s control. This reduces the risk attached to management’s human capital and makes it less likely that managers will undertake risk-inducing activities that diminish firm value—风险管理能够消除那些管理控制之外的力量导致的波动来源。这样可以降低管理人力资本，同时它也让管理层不太可能通过冒险损害公司价值。

个人意见：不因市场疯狂而滥发奖金；也不能因行情糟糕而过分责罚，引起跳槽及管理层的冒进投资（为完成不切实际的业绩要求）。


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Reduce probability of debt overhang When a firm has so much debt that it leads it to make investment

decisions that benefit shareholders but affect its total value adversely, the firm has a debt overhang—当一个公司的债务如此之多以致于导致对股东有利的投资决策却实际对公司利益有害时，那么这个公司就处于过度负债。

（1）会选择负NPV的项目：前期投入大（反正借的钱）；期望回报率高（回报少了好处全给债权人，回报高才能有股东收益）。风险很大，反正亏了算债权人的，赚了股东跟着分钱。

（2）管理者不会参与一些有价值项目（发股票融资后投资的项目）。因为通过发行股票来为这些项目融资会损害现有股东的利益。赚的钱大头被债权人拿走，资本回报低。


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7.Reduce information asymmetries Managers know more about the firm than the outsiders, which is

called information asymmetry. Information asymmetry can affect the cost of raising capital for two reasons.—管理者比外部人更了解公司，这就是信息不对称。信息不对称由于两个原因会影响筹资成本。

（1）when a firm raising capital for an investment, the outsider investors mainly rely on management estimates of the investment opportunity—公司通过募集资本投资时，外部投资者主要依靠管理层的评估来判断投资机会的好坏。


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（2）the extent to which firm performance is the result of poor management decisions or of the factors outside management control is unclear to outsider investors.—公司业绩在多大程度上是由于管理决策失误还是由于管理控制范围之外的因素造成的，对于外部投资者来说是不清楚的。

Ways to reduce the costs of managerial discretion (and therefore reduce

the costs of the funds) • Sit large shareholder on board; e.g., private equity fund • Borrow against assets rather than against future project.


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个人意见：风险管理的目的是确保公司资产：

安全、稳定、增值

不倒闭或减少损失、降低各种成本、优化资产配置


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1952年3月马柯维茨在《金融杂志》发表了题为

《资产组合的选择》的论文，将概率论和线性代数的方法应用于证券投资组合的研究，探讨了不同类别的、运动方向各异的证券之间的内在相关性，并于1959年出版了《证券组合选择》一书，

详细论述了证券组合的基本原理，从而为现代西方证券投资理论奠定了基础。

Modern Portfolio Theory (MPT)

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assumptions: (1)investors maximize the utility of the their terminal wealth. 投资者追求财富效用最大化 (2) the utility is determined by the expected return and the standard

deviation of the wealth—财富效用由预期收益和标准差（风险）来决定

(3) investors are risk-averse—投资者是风险厌恶型 (4)there is only one investment period—只有一期投资 (5) optimal choice: lowest risk for a given return highest return for a given risk 最优选择：给定收益风险最小或者给定风险收益最大


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Modern Portfolio Theory (MPT) A资产占比 B资产占比组合收益组合标准差

0 1 4.00% 10.00%

0.05 0.95 4.50% 8.94%

0.1 0.9 5.00% 7.96%

0.15 0.85 5.50% 7.12%

中间省略

0.7 0.3 11.00% 12.43%

0.75 0.25 11.50% 13.65%

0.8 0.2 12.00% 14.89%

0.85 0.15 12.50% 16.14%

0.9 0.1 13.00% 17.42%

0.95 0.05 13.50% 18.70%

1 0 14.00% 20.00%

ASSET A ASSET B 相关系数 ρ

预期收益 14.00% 4.00% -0.6

标准差 20.00% 10.00%

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Modern Portfolio Theory (MPT) EXCEL2007： 1、画图时选“散点图”； 2、X轴是组合标准差，Y轴是组合收益； 3、从低风险低收益资产占比100%开始逐步加高风险高收益资产占比； 4、改相关系数看看曲线怎么变化； 5、如果可以卖空、

买空，那么资产占比可以为负数； 6、资产占比之和必定为1。

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Efficient frontier An efficient portfolio is defined as a portfolio with minimal

risk for a given return, or, equivalently, as the portfolio with the highest return for a given level of risk—有效组合指给定收益，风险最小；或者，给定风险收益最大的组合。

The complete set of efficient portfolios forms the efficient frontier—所有有效的组合构成了有效边界。


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• 绿点不是“best”投资组合，也不是夏普比率最大的；

• 绿点开始向上延伸的是Efficient frontier


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Modern Portfolio Theory (MPT) •左图是加入无风险资产后的CML； •红点为切点，是唯一的全部由风险资产组成的组合； •红点左边蓝线是lending有风险

资产购入无风险，右边是borrowing有风险资产，short无风险资产。

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Capital asset pricing model is based on Markowitz portfolio theory(资本资产定价模型建立在马克维茨投资组合理论基础之上)。

Risk-free asset(无风险资产)：预期收益率E(R)是完全确定的，因而其收益率的标准差为零,国库券是典型代表。

Capital asset pricing model (CAPM)

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CAPM assumptions (1)investors are risk averse and seek to maximize the expected utility of their wealth

at the end of the period—投资者风险厌恶，寻求期末预期财富效用最大化。 (2)when choosing their portfolios, investors only consider the first two moments of

return distribution: the expected return and the variance—选择投资组合时，投资者只考虑收益分布的两个变量：期望收益和方差。

(3)investors only consider one investment period and the period is the same for all investors—投资者只考虑一期，并且对所有投资者都一样。

(4)investors have a limitless capacity to borrow and lend at the risk-free rate—无风险资产可无限借贷。

CAPM

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（5）information is perfect and all investors have the same forecast return, variance and covariance expectations for all assets—完美信息，投资者对所有资产的收益、方差、协方差的预期是一致的。

（6）market are perfect: no taxes, no transaction—完美市场：没有税收和交易费用。

（7）all assets are traded and are infinitely divisible—资产无限细分且都参与交易

（8）market is at equilibrium—市场均衡

CAPM

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When market is at equilibrium •All available assets must be held--每个投资者都持有正的一定数量的每种资产；

•Demand for （risk）assets equals supply—资产的价格使得对每种资产的需求量正好等于市场上存在的资产数量；

•Demand for risk-free assets equals supply--无风险利率使得对资金的借贷量相等。

CAPM

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Capital market line(资本市场线)—the straight line from the risk-free rate

tangent to the efficient frontier of risky assets at point M.

CAPM

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Separation theorem（分离定理）： In the presence of a risk-free asset, the reasoning employed for one

investor is applied to all investors. The latter therefore all choose to divide their investment between the risk-free asset and the same risky asset portfolio M.

•所有的投资者，无论他们的风险规避程度如何不同，都会将切点组合（风险组合）与无风险资产混合起来作为自己的最优资产组合。因此，无需先确知投资者偏好，就可以确定风险资产最优组合。 •风险厌恶较低的投资者可以多投资风险资产M，少投资无风险证

券F，反之亦反。

CAPM

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Security Market Line（证券市场线) SML visually represents the risk and the expected return or the required rate

of return on an asset.

CAPM

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SML的β表示资产的波动性与市场波动的关系，市场组合的β＝1，若β＞1，则表明其波动大于市场，或者说由于市场波动导致证券比市场更大的波动，反之则反。

β 测量的是系统性风险，系统风险无法通过分散化消除。由于证券的期望收益是关于β的线性函数，这表明市场

仅仅对系统风险进行补偿，而对非系统风险不补偿。

CAPM

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systematic and unsystematic risk Systematic risk is the risk that can not be diversified away in the

portfolio--系统性风险指在投资组合中无法分散化消除的风险。通常指那些由于公司外部、不为公司所预计和控制的因素造成的

风险。 Unsystematic risk is the risk that can be diversified away through

portfolio construction process—非系统性风险指可以通过构建投资组合而进行分散化消除的风险。

多指产生于某一证券或某一行业的独特事件所造成的风险。

CAPM

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CAPM

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efficient market hypothesis (有效市场假说) (1)strong efficiency: current prices reflect all information including

public and private information—强有效市场价格反映了所有的信息

(2) semi-strong efficiency: current prices reflect all public information and information in the past prices—半强有效市场价格反映所有公开的信息和过去价格中蕴含的信息

(3) weak efficiency: current prices only reflect information in the past prices—弱有效市场价格只反映过去价格中蕴含的信息

CAPM建立在强有效市场假定上。

CAPM

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The contributions of CAPM (1)The CAPM established a theory for valuing individual securities and how

asset prices were fixed—资本资产定价模型建立了一套证券价值评估理论，也就是资产价格如何确定。

(2)The model highlighted the relationship between risk and return—模型阐明了风险和收益的关系。

(3)The CAPM provides a reference for evaluating the relative attractiveness of securities by evaluating the price differentials compared with the equilibrium value，and also for developing performance evaluation—通过与均衡价值相比较，资本资产定价模型为评估证券的相对吸引力提供了参考,同时也为业绩评估奠定了基础。

CAPM

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The limitations of CAPM （1）it is impossible to measure the true market

portfolio. 真实的市场组合无法测量（2）some of the assumptions are too restrictive. 一些假设条件过于严格

CAPM

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•Standard CAPM(标准形式的CAPM) •The limitations of CAPM some of the assumptions are too restrictive •Models of not respecting the assumptions—modified

versions of CAPM—修正版本的CAPM

Modified versions of CAPM

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1、Black’s zero-beta model 布莱克零beta模型 2、Model taking taxes into account: Brennan version 考虑税收的模型：布坎南版本 3、Merton’s continuous time version 莫顿连续时间版本 4、Model taking inflation into account 考了通胀的模型 5、Model based on consumption: CCAPM model 以消费为基础的模型


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1.Black’s zero-beta model: （1）modify the assumption: the existence of a risk-free asset and investors

can lend and borrow at a risk-free rate—修改了“存在无风险资产，投资者可以无风险利率借贷”这一假设。

replace risk-free asset with an asset or portfolio with a beta of zero—用 beta为零的资产或资产组合来代替无风险资产

（2）formulation


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•A zero-beta portfolio is a portfolio with variations that are totally independent of market variations.

zero-beta投资组合与市场组合的变化是完全独立的。 •The best way to obtain a zero-beta portfolio is therefore to associate long and short

positions on the assets and short selling is without any restrictions. 获得zero-beta投资组合的最好的方法是配置多头和空头头寸组合，卖空是没有任

何限制的。 •The minimum variance zero beta portfolio can not be efficient. 最小方差zero-beta投资组合是无效组合。有非系统性风险 • In fact, the only difference lies in the intercept and slope of the security market line.

唯一的区别在于证券市场线的截距和斜率。


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2、Model taking taxes into account: Brennan version (1) Modify the assumption: no taxes—修改了“无税收”这一假定。 taxation of dividends and capital gains is generally different,

and this is liable to influence the composition of the investors’ portfolio of risky assets—分红与资本利得的税收是不同的，这将影响投资者风险资产组合的构成。


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(2)formulation: where Td denotes the average taxation rate for dividends; Tg denotes the average taxation rate for capital gains; DM denotes the dividend yield of the market portfolio; Di denotes the dividend yield of asset i.


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Some investors can, for example, seek to avoid stocks that pay out large dividends. Such a strategy enables the return on the portfolio to be increased after deducting taxes, but, by distancing it from the market portfolio, it reintroduces a residual risk component.

投资者可以通过避免选择高分红股来避税，进而提高组合收益，但是这样做会偏离市场组合，这又会带来其他风险。


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3、Merton’s continuous time version （1） modify the assumption: the risk-free rate is stable and only one

investment period.—修改了无风险利率稳定以及只有一期投资的假设。

the risk-free interest rate, evolves randomly over time and investors hold portfolios that result from three funds: the risk-free asset, the market portfolio and a third portfolio.—无风险利率随机变动，投资者的资产组合有三种来源：无风险资产、市场组合和第三种组合。

return of the third portfolio is perfectly negatively correlated with the return on the risk-free asset—第三种组合的收益与无风险资产的收益完全负相关。


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(2) formulation: where βx,y and ρNF,M are defined as follows:


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•The Merton model is a multi-period version of the CAPM, also called Intertemporal Capital Asset Pricing Model(ICAPM)

多期版本的CAPM,又称跨期CAPM •It take other sources of extra-market risk into account but does

not specify the nature of the risk factors, or how to construct the portfolios to hedge the risks.

它考虑了市场之外的其他风险来源，但却没有明确这些风险

因子的性质，以及如何构建组合去规避这些风险。


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4、Model taking inflation into account （1）The model assume that inflation is uncertain. 假定通货膨胀是不确定的 (2)formulation: where βi I denotes the sensitivity of security i to the portfolio of

securities held to hedge the inflation risk and (E(RI) − RF) is the price of the inflation risk.

βi I代表证券i对规避通胀风险的证券组合的敏感性， E(RI) − RF表示通胀风险的价格。


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5、Model based on consumption– CCAPM model （1）It assumes the returns on assets are explained through the

consumption growth rate. 假定资产收益通过消费增长率来解释。 (2)formulation: where： γ1 denotes the market remuneration for the consumption risk, with this risk

being measured by the beta; and E(RZ )denotes the expected return on a zero-beta portfolio.-- γ1 代表消费风险的市场补偿。 E(RZ )代表零beta组合的预期收益率。


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1.Multi-Index models(多因素模型) multi-index models capture some of the nonmarket influences that

cause securities to move together.—多因素模型反映了多种非市场因素引起证券的共同变动

ai expected return if all the indices have value of 0 IL the Lth index that impacts the return on stock i biL the sensitivity to the index L ci the random error

Arbitrage Pricing Theory （APT）

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Assumptions: 随机误差的均值为零随机误差之间的协方差为零因素之间的协方差为零随机误差与因素之间的协方差为零

APT

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Use ： • Predict expectations about returns—预测收益 • Study the impact of events—事件研究 • Predict correlation coefficients—相关性预测

APT

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2. Single-index model（单因素模型） CAPM is a single-index model.

APT

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3. ATP(套利定价理论) 3.1 assumptions: (1) markets are perfectly competitive.—市场是完全竞争性

的 (2) returns can be expressed as a linear function of a set of

factors.—收益率是因子的线性函数 (3) the factor model explaining the asset returns is the

same for all individuals.—因子模型在解释收益时对每个投资者是一样的。

APT

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3.2 formula: (1) The APT is a model of expected return. APT 是一个关于预期收益的模型 (2) The APT explains that the expected excess return on any stock is

determined by that stock’s factor exposures and the factor returns associated with those factors.—超额期望收益由风险因子和因子回报率决定。

(3) The APT results follows from arbitrage. APT结果来源于套利

APT

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•套利（ Arbitrage ）是指利用一个或多个市场存在的各种价格差异，在不冒风险或冒较小风险的情况下赚取较高收益率的交易活动。

•根据套利定价思想,在出现套利机会时，投资者将构造套利组合，来增加已有投资组合的预期收益率。之所以称为套利组合，它应具有三个性质：

一是构造的套利组合应不增加投资者的投资；二是套利组合无风险，即产生风险的因子对套利组合的

影响程度为零；三套利组合的预期收益率非负。

APT

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（4）Find a qualified model is easy. Any factor model that is good at explaining the risk of a diversified portfolio should be qualified as an APT model.

找到一个合适的模型很容易（5）Factor forecast is difficult. 风险因子预测很困难

APT

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3.3 Types of ATP Structural models and Statistic models(结构模型和统计模型) （1）Structural models postulate some relationships between specific

variables. The variables can be macroeconomic (inflation, changes in interest rate), fundamental (growth in earnings return on equity), or market-related (beta).

结构模型建立了收益与具体变量之间的关系。这些变量可以是宏观经济、基本指标、市场相关指标等变量。

•Factor exposures are known and factor returns are forecast. •Factor returns are known and factor exposures are forecast •Both factor returns and factor exposures are forecast

APT

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（2）Statistic models line up the returns and the factors by means of statistical measures

统计模型通过统计方法在收益与风险因子之间建立起联系。 •Principal component analysis 主成分分析法 •Maximum component analysis 最大似然法 •Asymptotic principal analysis 渐进主成分分析法

APT

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compare structural models and statistic models •Structural models assumes economic relationships but

statistic models rely on mathematical relationships 结构模型假定了经济关系，而统计模型依赖数学关系。 •Structural models are used by practitioners while Statistic

models are used by academics 结构模型一般为实业者所使用，而统计模型一般为学者

所使用。

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3.4 About APT (1) Application of ATP is an art not a science and it does not tell

us how to find the factor model. 套利定价理论的应用是艺术而不是科学，它没有告诉我们如

何建立因子模型。 (2) The flexibility of the ATP makes it inappropriate as a model

for consensus expected returns, but an appropriate model for a manager’s expected returns.

套利定价理论的灵活性是它不能成为一个公认一致的预期收益模型，但却适合投资经理使用。

APT

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3.5 Compare CAPM and APT (1) assumptions are different. (2) the basis of the models are different (3) risk factors are different: only one risk factor in CAPM which is beta

while there are may be many risk factors in APT. 风险因子不同，CAPM只有一个风险因子，就是beta；而APT可能

有多个风险因子。 (4)if the risk factor in APT is market portfolio then the result of ATP

and CAPM are the same. (5) APT is powerful but difficult to use. CAPM is easy to use but not

powerful.

APT

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•The return on a portfolio or investment fund is not a sufficient criterion for appreciating the performance and it is necessary to associate a measure of the risk taken—投资组合或基金的收益并不是一个评价业绩的充分标准，风险应考虑进去。

•Absolute risk and relative risk 绝对风险与相对风险 Absolute risk is measured in terms of shortfall relative to the initial

value of the investment.—相对初始价值的差额 Relative risk is measured in terms of shortfall relative to a

benchmark.—相对基准的差额

Performance measurement

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1. The Treynor ratio（特雷诺比率） This indicator measures the relationship between the return on the portfolio,

above the risk free rate, and its systematic risk.

it is drawn from CAPM. •The Treynor ratio is particularly appropriate for appreciating the

performance of a well diversified portfolio—适合评估充分分散化的投资组合。

•It is also appropriate for evaluating the performance of a portfolio that only constitutes a part of the investor’s assets.—适合评估由投资者部分资产组成的投资组合。


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2、The Sharpe ratio（夏普比率） It is drawn from the capital market line. •The Sharpe ratio is widely used by investment firms for measuring

portfolio performance that are not very diversified—适合非充分分散化的投资测评

•It is also suitable for evaluating the performance of a portfolio that represents an individual’s total investment.—适合评估

代表个人全部投资的投资组合。


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3、Jensen’s alpha (詹森alpha) •The Jensen measure is based on the CAPM. •The Jensen alpha can be used to rank portfolios within

peer groups—可以用来与同业相对比。 •The Jensen measure contains the benchmark and the

result depends on the choice of reference index—包含了参考标准，结果往往依赖于对标准的选择。


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•Relationships between them 特雷诺：夏普：詹森：（1） well diversified （2） well diversified （3）


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4、The tracking-error （跟踪误差） It is defined by the standard deviation of the difference in

return between the portfolio and the benchmark –- 投资组合与参考标准的收益率之差的标准差。

The lower the value, the closer the risk of the portfolio to the risk of the benchmark—跟踪误差值越小，表示投资组合与参考标准的风险越接近。


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5、The information ratio（信息比率） The information ratio, which is sometimes called the appraisal ratio, is

defined by the residual return of the portfolio compared with its residual risk.—剩余收益比剩余风险

•This ratio is used in the area of benchmarked management. •It is useful to check that the risk taken by the manager, in deviating from

the benchmark, is sufficiently rewarded.—用于检查投资经理承担的偏离参考标准的风险，是否有充分的回报。


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6、The Sortino ratio（索提诺比率） It is defined on the same principle as the Sharpe ratio. However, the risk-free rate is

replaced with the minimum acceptable return (MAR), and the standard deviation of the returns is replaced with the standard deviation of the returns that are below the MAR,

It is appropriate for asymmetrical return distributions—适合收益分布不对称的投资

组合。


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7、other risk-adjusted return measures（其他一些风险调整回报测量方法）

SRAP （Style/Risk-Adjusted Performance模式/风险调整业绩）This is a risk-adjusted performance measure that includes the management style as defined by

•It is used to compare management results with a benchmark that

accurately represents the manager’s style—用于将投资经理的管理结果与具有相同管理模式的参考标准相比较。


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例：A fund with an annualized performance of −1.72% and a standard deviation of 17.48%. The market portfolio is represented by the Russell 3000 index, the performance of which for the same period is 16.54% with a standard deviation of 11.52%. The benchmark the same style with this fund has the performance of 2.73% with a standard deviation of 13.44%.The risk-free rate is 5.21%.


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1.The driving forces of the ERM evolution (1)More- and more complicated- risk The advance of technology, the accelerating pace of business,

globalization, increasing of financial sophistication, terrorist activities contribute to the growing number and complexity of risks.

(2) External pressures regulators, rating agencies, stock exchanges, institutional

investors, corporate governance oversight bodies and especially shareholders.

Enterprise risk management

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(3) Portfolio point of view Portfolio risk is not the simple sum of individual risks elements, interactions

are important. The portfolio risk is relevant to the key risk decisions facing that organization. A holistic approach helps give organizations a true perspective on the

magnitude and importance of different risks. (4) Quantification Advances in technology and expertise have made quantification easier.


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2. ERM definition and conceptual framework definition ERM is the discipline by which an organization in any

industry assesses, controls, exploit, finances, and monitors risks from all sources for the purpose of increasing the organization’s short-and long-term value to its stakeholders.


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• ERM Framework


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ERM language, measures, models and tools. Overall corporate performance measures: • General industry Return on equity—ROE Operating earnings Earnings before interest ,dividends ,tax ,depretion and

amortization-- EBITDA Cash flow return on investment—CFROI Weighted average costs of capital—WACC Economic value added--EVA


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• Financial industry Return on risk-adjusted capital--RORAC Risk-adjusted return on risk-adjusted capital—RARORAC • Insurance industry Economic capital RAROC Embedded value Risk based capital--RBC


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• 谢天谢地终于复制完了。 • 不是我偷懒，实在是这部分内容太空洞了，基本就是些概念，与实际工作严重脱钩。

• 对于这样的东西，只有死记硬背加多做题。


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1. The role of risk management(风险管理的角色) （1）Identify and measure the risks faced by the firm (识别并计量风险) （2）Communicate risk information to those who make decisions （将风险信息传达给决策者）（3）Manage and monitor those risks to make sure that the firm only bears

the risks it wants to bear （管理并监控风险确保公司只承担它想要承担的风险）

Risk management failures

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So the complete process of risk management includes identifying,

measuring, communicating, monitoring and managing risks—风险管理的完整流程包括风险识别、测量、传递、监测和管理。

risk manager board and top management identify measure communicate make decision monitor and manage


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2.risk management failures (风险管理失败) Risk management can fail if one or more of the followings occur：


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2.1 Mismeasurement of known risks （1）make a mistake in assessing the probability and the

size of a large loss if it occurs 在评估一个大型损失的概率和大小时出错（2）use the wrong distribution 使用了错误的分布（3） mismeasure the correlations 错误测量了相关性


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（4）data problem--数据问题 Historical data is at times of little use, because a known risk has not

manifested itself in the past.(历史数据有时没什么用，因为有时候风险特征在历史上找不到）

subprime crisis—次贷风险 If the data is not enough, statistical techniques may not perform well.(数据

有限时，统计技术不可靠) garbage in garbage out 数据不可靠时，统计不可靠（5）when assessment become subjective 评估带有主观性


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2.2 fail to take risks into account (1)ignore a risk even if the risk is known--风险已知却被忽略 (2) mistakes in information collection—信息收集有误 somebody knows about a risk but risk models do not capture

the risk，or nobody knows it （某一风险被认识到但风险模型却未包括这一风险,或者有些

风险根本没人发现） (3) realization of a really unknown risk 真正的未知风险


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2.3 failure in communicating (1) not timely 不及时 (2) not objective 不客观 (3) not the way which can be understood properly 传递方式不易理解 getting the right information, at the right time, to the right

people


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2.4 failure in monitoring and managing risk (1) Risk managers must constantly monitor the risks the firm is taking,

mitigate or hedge known risks to meet the risk objective of the firm---风险需要持续监测以满足公司目标

(2)Risk can change sharply and risk characteristics can change with time and it is challenging for risk managers to capture these changes---风险及其特征会随时变化甚至巨变，捕捉变化有时很困难

(3)The effectiveness of risk monitoring and control depends on the risk culture and incentives---风险监测和控制效果往往依赖公司的风险文化和激励机制


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2.5 fail to use appropriate risk metrics (1)The widely used risk measure in financial institution is VAR, which has

shortcomings in risk measurement—VAR有缺陷 (2)VAR does not capture catastrophic losses with very low probability of

occurring—VAR有没捕捉小概率大灾难损失 (3)Daily VAR measure assumes perfect liquidity---日常VAR假定完美流动性 (4)Existing risk models use history data with limited horizons, not a

comprehensive view—数据时间区间有限 (5)Crises involve complicated interactions across risks and across

institutions—风险及机构之间有复杂的相互作用关系


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3.assess risk management objectively (1) a large loss can happen even the risk management is

flawless. So an institution makes a large loss does not mean the risk management failed--即使风险管理是没有瑕疵的损失仍然可能发生，所以一个机构出现了一个大的损失并不意味着风险管理失败。

风险管理的完整流程中除了风险管理人员还有决策层，

决策失误往往也是损失发生的重要原因。


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(2) Risk management does not prevent loss, remember its role--风险管理并不禁止损失的发生，记住风险管理的角色。

identify，measure，communicate， monitor and manager (3) the types and levels of risk an institution takes depends on its

risk appetite, depends on the decision of the board and the top management but not risk managers--一个机构承担什么样的风险以及多高水平的风险取决于机构的风险偏好，由董事会和高级管理层决定而不是风险经理决定。


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Disasters due to misleading reporting •Barings •Allied Irish Bank (AIB) •Kidder Peabody •Union Bank of Switzerland (UBS) Disasters due to large markets moves •Long Term Capital Management (LTCM) •Metallgescellschaft (MG) Disasters due to the conduct of customer business •Banker`s Trust (BT)

Case Study --Disasters due to misleading reporting

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1.Barings( 巴林银行) 1.1 background In February 1995, Baring Brothers, collapsed after losses of £827 million following

unauthorized trading in derivatives by Nick Leeson (尼克利森)in its Singapore subsidiary(Barings Futures Singapore), that completely wiped out the bank‘s capital of £200 million, leaving it unable to meet its obligations.

•1992 July Account 88888 opened up shortly after Leeson was posted to Singapore, to

accommodate his early losses of £2 million •1993 Barings reported Group profits of £100 million, while Leeson had cumulative

losses of £23 million

Case Study --Disasters due to misleading reporting

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•1994 Barings reported Group profits of £205 million, while Leeson

had cumulative losses of £208 million. Meanwhile, Barings‘ external audits, Coopers & Lybrand expressed the view that the controls in place in Singapore were satisfactory.

•1995 on 27th January, the head of Barings settlements and back-office received a letter from SIMEX (新加坡国际金融交易

所)warning of a £74 million shortfall.

Case Study--Disasters due to misleading reporting

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1.2 causes From January 1994 onwards Leeson traded options and futures on the Nikkei

225 index, the main Japanese share price indicator. Leeson executed a trading strategy known as a "straddle," with the objective of making a profit by selling put and call options on the same underlying financial instrument, in this case, the Nikkei 225 Index. Leeson begins purchasing March and June 1995 futures contracts on the Nikkei.

从1994年1月起，利森开始进行日经225指数期权和期货交易。利森构建的交易策略是“跨式期权”希望通过同时卖出同一标的物（日经225指数）看跌和看涨期权获得收益。从1995年5月和6月利森开始买入日经期货合约。


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A straddle will generally produce positive earnings when markets are stable but can result in large losses if markets are volatile. He was betting that the markets would trade within a narrower range than was generally expected. Unfortunately, the Kobe earthquake of January 17th 1995 caused market turbulence.

“跨式期权”在市场稳定的情况下能够获得正收益，但是如果市场波动较大会带来巨大损失。利森赌市场的稳定，梦想却被一场地震带来的市场波动所毁灭。


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1.3 risk analysis market risk(市场风险): events increased market volatilities –重大事

件导致市场波动性加大. credit risk(信用风险):unable to meet its obligations operational risk(操作风险): external fraud: falsified reports—虚假报告 failures in processes: the trader and responsible for managing the

back-office, failure in internal audit —流程问题:交易员同时负责后台清算（职责不清）,监督不力

failures in system: 888888 account –错误账户长期隐藏损失未被发现


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1.4 lessons （1）failure of old-fashioned internal controls—内控失败（2）no segregation of duties between the front and back

offices—前后台职责不清（3）failure of top management：not knowing about the

business—高级管理层的失职:不了解业务特点。 arbitrage trading and great profit （4）failures in risk management—风险管理的失败


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•What was arguably the largest single failure by the management of Barings? a) They did not implement position limits for all possible instruments b) They allowed Leeson to be both chief trader and head of settlements c) Positions should have required daily cash settlement (margin would have exposed the losses) d) They did not hire a consultant to implement training to build risk awareness and promote a

risk culture •Each of the following is a lesson to be learned from the Barings case EXCEPT for: a) Absolute necessity of an independent trading office b) Need to make inquiries into unexpected sources of profit c) Need to inquire into large, unanticipated movements of cash d) Need to attach claw back feature to annual bonus compensation


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2. Allied Irish Bank (AIB)—联合爱尔兰银行 2.1 background February 6, 2002, Allied Irish Banks – Ireland‘s second-biggest bank –

revealed a loss of $691 million caused by a trader named John Rusnak（罗斯奈克） at its subsidiary, Allfirst. It soon became clear that the scale and nature of the losses would make the AIB/Allfirst story one of the biggest “rogue trader” scandals since Nick Leeson brought down Barings bank in 1995.The loss was large enough to wipe out 60 per cent of AIB‘s 2001 earnings.


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Rusnak had systematically falsified bank records and documents, and been able to circumvent the ―weak control environment‖ at Allfirst‘s treasury. Rusnak sold a number of real deep-in-the money options to counterparties for high premiums, racking up huge unrecorded liabilities for the bank.

罗斯奈克系统性地篡改了银行的记录和文件，同时操纵了后台控制部门。他出售了大量实值期权获得较高期权费收益，却给银行留下了巨大的未记录负债。


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2.2 risk analysis （1）strategic business risk（战略性经营风险）（2）operational risk(操作风险) people：making falsified reports—虚假报告 weaknesses of control environment（内部控制环境脆弱） Rusnak managed to persuade the Allfirst back office that the option

pairs need not be confirmed and to manipulate the value-at-risk (VaR) figures used to monitor his trading activities

（3）risk management identify problem (风险识别问题) reporting problem（风险报告问题）


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2.3 Lessons Risk management architecture is crucial. 健全的风险管理架构很关键 identify, reporting, risk appetite Strong and enforceable back-office controls are

essential 强有力的后台控制很重要


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•Which was AIB management‘s “most egregious” control failure?

a) Failure to employ diversification and hedge techniques b) Failure to use a risk metric such as Value at Risk (VaR) c) Failure to direct trades to the prime brokerage account d) Failure to confirm all trades


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3. Kidder Peabody（基德尔皮博迪） 3.1 background GE(通用电器)acquired Kidder in 1986 as a means of increasing their

presence in the then booming financial markets. Kidder reported directly to GE Capital. At Kidder, the traders were employees, not partners. Consequently , their future financial well-being were not trading with their own money, they were more open to riskier trading strategies because this could mean bigger short-term profits for the firm resulting in bigger annual bonuses for the trader.


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Kidder hired Jett about April 1991 as a government bond trader in the fixed income division（固定收益部门）. At the end of 1991, Jett received a $5,000 bonus along with a warning that if he did not improve his profitability he would be dismissed. In 1992 he was very profitable. He was promoted to Managing Director at the end of 1993.

Early in 1994 Information Systems (IS) specialists found a astounding secret: During Jett‘s tenure with Kidder, he had entered $1.7 trillion in trades into the Kidder system. Jett had created some $350 million in false profits and had hidden approximately $85 million in real losses.


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Jett traded government strips, which involves separating the bond‘s principal and interest components into two separately traded issues（本利分离交易）. Jett would enter into forward contracts, which joined the principal and interest components together at a later date. This enabled Jett to record “profits on the day he entered [the recons] that would vanish by the time the trade was settled.”


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Instead of settling （清算）when these forward contracts came due, Jett would roll them over, allegedly leaving the profit on the books. In order to keep the system going, Jett had to continually increase the value of his portfolio, meaning the system operated much like a pyramid scheme. This could explain the tremendous volume of trades in early 1994.


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3.2 risk analysis Operational risk people: Jett misrepresented his desk‘s activities to the auditors. 虚假陈述 Process: accounting system unsophisticated and zero-coupon

bonds (the type of bond Jett traded) were tracked in the system by price rather than yield.—会计系统过于简单，债券记录方式特别。

system: the accounting system be changed 会计系统被修改


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3.3 lessons （1）It‘s a general manager‘s responsibility to know what your

trading practices are. if you are entering into such market, you should understand it first and keep updating about it

了解你进入的市场，了解你的交易（2） system and accounting loophole may be a disaster. 系统和会计流程漏洞可能会成为灾难（3）compensation policy and risk culture is important. 薪酬政策和风险文化很重要


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•Which enabled the failure at Kidder Peabody? a) Jett exceeded position limits in regard Treasury STRIPS b) Jett took positions in forward recons, which were

prohibited instruments c) Accounting loophole in regard to collateral valuation d) Accounting loophole in regard to forward contracts


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4. Union Bank of Switzerland (UBS)—瑞士联合银行 4.1 background Within UBS, there was a widespread feeling that the

interest rate business was slipping away from them. In 2004, Marcel Ospel, the Chairman of the Board of Directors, announced in an interview that he was aiming for first place among Wall Street investment banks.


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UBS presented itself increasingly, also internally, as a “growth company,” and oriented its compensation strategy more and more towards growth in volume and earnings. For this reason too little attention was paid, particularly in the Investment Bank, to the quality and sustainability of the business.

In 2007, UBS reported that it was compelled to take write-downs of 4 billion Swiss francs due to the US mortgage crisis.

The fact that by far the greatest part of the UBS losses was incurred on paper that had been given the highest rating (AAA).


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•Index prices for subprime paper


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4.2 the problem with risk management Whenever the question was raised as to whether the deterioration that had

been observed would lead to major losses at UBS, the immediate response was always that internal calculations gave no indication of serious problems. All risk reports, as well as the internal and external audits had arrived at the conclusion that UBS would be able to deal with declining real estate prices without any difficulty.

无论何时，只要是关于市场恶化是否会导致UBS的大额损失，回应总是内部测算没有大问题。所有的风险报告，内部的和外部的审计报告都一致认为UBS能够毫无困难地应付固定资产价格下降带来的问题。


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Directors and Group Executive Board were convinced, up until the end of July 2007, that their investments in the subprime market were secure. The fact that first-class paper had not reacted in the earlier collapse only strengthened UBS in the belief that it had its risks, for the most part, under control. It was this immense confidence in the universally praised risk control system that led to the high level of losses.

董事会和高级执行层直到2007年7月底都一致认为他们次级债市场的投资是安全的。优先级债券在市场坍塌的早期没有做出反应更让UBS认为他们的投资是没有风险的。正是由于对风险控制系统的无限信任才导致了如此高的损失。


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4.3 lessons •Among the members of the highest UBS corporate bodies, there was a lack of

leadership personalities with a sense for detecting hidden risks. 风险发现主体缺位。 •It had relied for too long on the valuations of the rating agencies. 过于依赖评级机构 •The errors committed by UBS were, in part, avoidable, since they were caused by

the mistaken assessments of a few individual members of senior management UBS的错误是可以部分避免的


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5. Long Term Capital Management (LTCM)—长期资本管理公司 5.1 background The investment partnership Long Term Capital Management was set

up in 1993. Much of its trading was with leading banks, and it largely avoided risky 'emerging markets', preferring well-established ones such as those in government bonds of the leading industrial nations. It built carefully researched

mathematical models of the markets in which it traded . It employed absolute-return trading strategies (such as fixed income arbitrage, statistical arbitrage, and pairs trading) combined with high leverage.

Case Study--Disasters due to large markets moves

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In LTCM‘s first two full years of operation it produced 43% and 41% return on equity and had amassed an investment capital of $7.5 billion. In the last quarter of 1997 LTCM returned $2.7 billion to investors.

As LTCM's capital base grew, they felt pressed to invest that capital and had run out of good bond-arbitrage bets . By 1998, LTCM had extremely large positions in areas such as merger arbitrage and S&P 500 options


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The fund needed to take highly-leveraged positions to make a significant profit. At the beginning of 1998, the firm had the debt to equity ratio of over 100 to 1.

But all that ended up in 1998 when Russian Government defaulted on their government bonds. The fund was closed in early 2000.


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5.2 causes (1)Russia defaulted on its debt and blocked some foreign exchange

transactions by Russian banks . 'flight to quality' took place which was unfavorable to LTCM.

俄罗斯债务违约，冻结其银行的外汇交易。“质量逃亡”对LTCM不利。 (2) It took place in August, when markets tended to be thinner and less liquid

than usual.—八月份市场流动性额外差 (3) Many of the world's leading banks had broadly similar large positions with

LTCM, which intensified the adverse movements and enhanced correlations.—主流银行与LTCM持有相同的头寸，

加剧了市场恶化和相关性。


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5.3 risk analysis Market risk: extreme leverage and concentration 高杠杆和集中性 Liquidity risk: fund liquidity risk and asset liquidity risk 融资流动性风险和资产流动性风险 Credit risk: sovereign risk and counterparty risk 主权风险和交易对手风险 Operational risk: model risk(rely on normal distribution and not

capture the probable correlations, not capture the liquidity problem, especially VAR)

模型风险


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5.4 lessons •When markets become illiquid, for whatever reason, bid / offer

spreads will diverge dramatically, and self-interest and self-preservation will drive market prices.--当市场流动性变差的时候，价差会急剧恶化

•As part of risk management design one must have procedures in place to deal with managing crises, which cannot be known in advance.--作为风险管理设计的一部分，要有处理危机的程序

•Guard against the event of any private, internal documents and memorandum becoming public.—谨防内部信息外泄


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6. Metallgescellschaft (MG)—德国金属公司 6.1 Background Metallgesellschaft or MG, is a German conglomerate. MG, a

traditional metal company, has evolved in the last four years into a provider of risk management services. They have several subsidiaries in its "Energy Group", with MG Refining and Marketing Inc. In December, 1993, it was revealed publicly that the "Energy Group" was responsible for losses of approximately $1.5 billion.


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MGRM committed to sell, at prices fixed in 1992, certain amounts of petroleum every month for up to 10 years. MGRM used futures to hedge its risk in spot market. MGRM's hedge strategy to manage spot price risk was to use the front-end month futures contracts on the NYMEX. MGRM employed a "stack" hedging strategy. It placed the entire hedge in short dated delivery months.

MGRM在承诺每月都以1992年的固定价格出售一定数量的石油，时间长达10年。 MGRM 采用纽约商品交易所的前端月期货合约作为它的对冲来管理现货价格风险。MGRM 使用了“堆叠”套期保值策略。它把整个对冲安排在短期交割月。


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The hedge scenarios were as follows: If oil prices drop, the hedge loses money and the fixed-rate position increases in value. If oil prices rise, the hedge gains offset the fixed-rate position losses.

对冲情景具体如下：如果油价下降，对冲策略损失而固定利率头寸价值增长；如果油价上升，对冲的收益抵消了固定利率头寸的损失。


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They were speculating by entering into medium-term fixed-rate forward positions totaling approximately 160 million barrels of oil. If oil prices were to drop, MGRM would lose money on their hedge positions and would receive margin calls on their futures positions. Although gains in the forward contract positions would offset the hedge losses, a negative cash flow would occur in the short run because no cash would be received for the gain in the value of the forward contracts until the oil was sold.--他们设计了总计大约1.6亿桶石油的中期固定利率的远期头寸。如果油价下降，MGRM的对冲头寸将会损失，但是他们的期货头寸将会收到保证金。虽然远期合约的头寸将会抵偿对冲的损失，但是将会在短期内出现负的现金流，这是因为只有当石油出售的时候，他们才能从远期合约的收益中得到现金。


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6.2 causes It has been widely reported in the press that the contango （期货溢价）market was

the key to MGRM‗s downfall. Their real problem was created by their inability to handle the cash flow problems created by the drop in oil prices in conjunction with the huge volume of futures contracts they entered into.--真正问题来源于他们无

法解决现金流问题，而现金流问题正是由于油价的下降以及他们涉及的大量期货合约一并造成的结果。

backwardation （现货溢价）: the spot price is normally greater than the futures price

contango（期货溢价）: futures prices are greater than the spot price


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German accounting standards also compounded MG‗s problems. German accounting standards did not allow for the netting of positions. Their swap counterparties required additional capital to maintain their swap positions and the NYMEX imposed super margin requirements on MGRM--德国会计标准也构成了MG的问题。德国会计标准不允许头寸的相互抵消。他们的互换对手方要求额外的资金去维持他们的互换头寸，并且纽约商品交易所对MGRM实行超过增加一倍以上的履约保证金要求。


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6.3 risk analysis market risk 先市场风险 liquidity risk 再流动性风险 failure in risk management: ignore some risks such as liquidity risk 忽略了一些风险例如流动性风险 the problem with hedging long-term contracts with

short-term hedges


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7. Bankers Trust—银行家信托 7.1 background The Bankers Trust, a famous American Financial Institute was originally set

up by banks which could not perform trust services. In the mid-1990s, Bankers Trust was one of the leading financial Institutions in the marketing of innovative financial products like derivatives.

But Bankers Trust‘s reputation took a pounding after the bank was sued by several customers alleging various forms of fraud and racketeering with respect to derivatives transactions they had entered into with the bank. In November 1998, Deutsche Bank(德意志银行)acquired Bankers Trust for $9.8 billion

Case Study --Disasters due to the conduct of customer

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The major issue in this case was bankers trust did not inform the risk related to the derivative products to its clients: i. e. What losses they could face if things would go wrong Due to mistakes of Bankers Trust and management of client companies, shareholders of these companies lost money.


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October 1994: Procter and Gamble Co.（保洁公司） sued Bankers Trust for $195 million (the company recorded a $102 million charge against fiscal 1994 earnings to cover losses from derivatives transactions), alleging that BT misled it with regard to the value and risks of its derivatives positions—1994年10月，保洁公司将银行家信托告上法庭，要求赔偿1.95亿美元的损失，声称银行家信托在衍生品头寸的风险和价值方面误导了她。

December 1994: BT signed consent decrees with federal securities regulators and agrees to pay a $10 million fine over allegations that it willfully gave Gibson Greetings inaccurate values for its derivatives portfolio, causing Gibson to violate SEC laws. BT neither admits nor denies guilt-1994年12月，银行家信托又同意支付一千万美元的罚款，因为故意造成吉布森公司衍生品组合价值评估失真，违反了SEC法


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7.2 lessons (1)What should be the duty of financial advisor to inform its

clients? –应该告诉你客户什么？ (2)Lost so much of its reputation as a result of operational

risk.—操作风险引起了巨大的名誉损失 (3)Customers are the king, so companies should focus to

delight customers in a long run by strong customer relationship management.—顾客是上帝，应该建立长期关系


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（4）if you are entering into such market, you should understand it first and keep updating about it.—进入一个市场就应该了解它跟进它

（5）An enterprise risk management program must balance the “hard side” of risk management (including policies, limits and systems) and the “soft side” (including people, culture and incentives)—一个企业的风险管理应该做到硬件和软件的平衡


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1. Code of Conduct 行为准则 2. Rules of Conduct 行为规则 3. Applicability and Enforcement 应用与强化

GARP Code of Conduct

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1.Code of Conduct 1.1 Principles-原则（1）Professional Integrity and Ethical Conduct •act with honesty, integrity, and competence to fulfill the risk

professional’s responsibilities-诚实、守信、能力 •uphold the reputation of the risk management profession-维护声誉 •avoid disguised contrivances in assessments, measurements and

processes that are intended to provide business advantage at the expense of honesty and truthfulness-避免以牺牲诚实为代价的变相诡计


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（2）Conflicts of Interest-利益冲突 •have a responsibility to promote the interests of all relevant constituencies-

促进各方利益 •not knowingly perform risk management services directly or indirectly

involving an actual or potential conflict of interest unless full disclosure has been provided to all affected parties

of any actual or apparent conflict of interest-避免提供卷入利益冲突的服务 •Where conflicts are unavoidable GARP Members commit to their full

disclosure and management-冲突不可避免时要公开解决


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（3）Confidentiality（保密原则） •take all reasonable precautionary measures to

prevent intentional and unintentional disclosure of confidential information-禁止有意和无意的信息泄露


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1.2 Professional Standards（职业标准）（1）Fundamental Responsibilities（基本责任） •endeavor, and encourage others, to operate at the highest

level of professional skill-最高水平的职业技能 • always continue to perfect their expertise-追求卓越 • have a personal ethical responsibility and cannot out-source or

delegate that responsibility to others-要有个人道德义务


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（2）Best Practices-最佳实践 •promote and adhere to applicable “best practice standards,” and will

ensure that risk management activities performed under his/her direct supervision or management satisfies these applicable standards-促进并遵循最佳实践标准

•recognize that risk management does not exist in a vacuum-风险管理是现实活动

•commit to considering the wider impact of their assessments and actions on their colleagues and the wider community and environment in which they work-考虑对同事及周围环境的影响


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（3）Communication and Disclosure-交流和信息公开

•GARP Members issuing any communications on behalf of their firm will ensure that the communications are clear, appropriate to the circumstances and their intended audience, and satisfy applicable standards of conduct.


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2. Rules of Conduct 2.1 Professional Integrity and Ethical Conduct-职业诚信和道德行为（1） Shall act professionally, ethically and with integrity in all dealings with

employers, clients, the public, and other practitioners-专业、道德、诚信（2） Shall exercise reasonable judgment in the provision of risk services while

maintaining independence of thought and direction- Must not offer, solicit, or accept any gift, benefit, compensation, or consideration that could be reasonably expected to compromise their own or another’s independence and objectivity-保持独立判断，不得收受、要求、接受礼物及其他利益


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（3）Must take reasonable precautions to ensure that the Member’s services are not used for improper, fraudulent or illegal purposes-警惕会员的服务用于非法目的

（4）Shall not knowingly misrepresent details relating to analysis, recommendations, actions, or other professional

activities-不得故意做误导性陈述（5）Shall not engage in any professional conduct involving dishonesty or deception or engage in any act that reflects negatively on their

integrity, character, trustworthiness, or professional ability or on the risk management profession-不得参与欺骗性行为活动以及有悖于诚信、信赖、专业能力的活动


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（6） Shall not engage in any conduct or commit any act that compromises the integrity of GARP, the FRM designation or the integrity or validity of the examinations leading to the award of the right to use the FRM designation or any other credentials that may be offered by GARP-不得参与违背标准而获得使用签名及其他凭证的活动

（7） Shall endeavor to be mindful of cultural differences regarding ethical behavior and customs, and to avoid any actions that are, or

may have the appearance of being unethical according to local customs. If there appears to be a conflict or overlap of standards, the GARP member should always seek to apply the higher standard-注意文化的差异，适用最高标准


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2.2 Conflict of Interest -利益冲突（1）Shall act fairly in all situations and must fully disclose any

actual or potential conflict to all affected parties -公平、避免冲突

（2）Shall make full and fair disclosure of all matters that could reasonably be expected to impair their independence and

objectivity or interfere with their respective duties to their employer, clients, and prospective clients -公开、公正


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2.3 Confidentiality-保密（1）Shall not make use of confidential information for

inappropriate purposes and unless having received prior consent shall maintain the confidentiality of their work, their employer or client-不经允许不得为达到不适当目标而使用保密信息

（2）Must not use confidential information to benefit personally-不得使用保密信息获得个人利益


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2.4 Fundamental Responsibilities-基本义务（1）Shall comply with all applicable laws, rules, and regulations (including

this Code) governing the GARP Members’ professional activities and shall not knowingly

participate or assist in any violation of such laws, rules，or regulations-遵守法律、法规、监管规章

（2）Shall have ethical responsibilities and cannot out-source or delegate those responsibilities to others-要主动承担道德义务（3）Shall understand the needs and complexity of their employer or client, and should provide appropriate and suitable risk

management services and advice-根据需要提供适当的服务


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（4）Shall be diligent about not overstating the accuracy or certainty of results or conclusions-避免过度强调结论的精确性和确定性

（5）Shall clearly disclose the relevant limits of their specific knowledge and expertise concerning risk assessment, industry practices and applicable laws and regulations-要清楚地公开专业知识的局限性


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2.5 General Accepted Practices-普遍接受的实践（1）Shall execute all services with diligence and perform all work in a

manner that is independent from interested parties-与利益相关方保持独立

（2）Shall be familiar with current generally accepted risk management practices and shall clearly indicate any departure from their

use-熟悉目前普遍接受的风险管理实践（3）Shall ensure that communications include factual data and do not

contain false information-避免虚假信息（4 ）Shall make a distinction between fact and opinion in the presentation

of analysis and recommendations-区分事实和观点


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3. Applicability and Enforcement -应用与强化 Every GARP Member should know and abide by this Code. Local laws and regulations may also impose obligations on GARP Members. Where local requirements conflict with the Code, such requirements will have precedence. Violation(s) of this Code by may result in, among other things, the temporary suspension or permanent removal of the GARP Member from GARP’s Membership roles, and may also include temporarily or permanently removing from the violator the right to use or refer to having earned the FRM designation or any other GARP granted designation, following a formal determination that such a violation has occurred.


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谢谢！祝愿大家通过考试！

End

frm—level 1 风险管理基础 - pinggupeixun.pinggu.org/cfa/2013-frm-part1-foundations.pdf ·...

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