风险管理与金融机构课件Ch13PPT推荐.ppt
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风险管理与金融机构课件Ch13PPT推荐.ppt
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RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009Chapter13MarketRiskVaR:
@#@Model-BuildingApproach1RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009TheModel-BuildingApproachlThemainalternativetohistoricalsimulationistomakeassumptionsabouttheprobabilitydistributionsofthereturnsonthemarketvariablesandcalculatetheprobabilitydistributionofthechangeinthevalueoftheportfolioanalyticallylThisisknownasthemodelbuildingapproachorthevariance-covarianceapproach2RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009MicrosoftExample(page267-8)lWehaveapositionworth$10millioninMicrosoftshareslThevolatilityofMicrosoftis2%perday(about32%peryear)lWeuseN=10andX=993RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009MicrosoftExamplecontinuedlThestandarddeviationofthechangeintheportfolioin1dayis$200,000lThestandarddeviationofthechangein10daysis4RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009MicrosoftExamplecontinuedlWeassumethattheexpectedchangeinthevalueoftheportfolioiszero(ThisisOKforshorttimeperiods)lWeassumethatthechangeinthevalueoftheportfolioisnormallydistributedlSinceN(2.33)=0.01,theVaRis5RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009AT&@#@TExamplelConsiderapositionof$5millioninAT&@#@TlThedailyvolatilityofAT&@#@Tis1%(approx16%peryear)lTheSDper10daysislTheVaRis6RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009Portfolio(page268)lNowconsideraportfolioconsistingofbothMicrosoftandAT&@#@TlSupposethatthecorrelationbetweenthereturnsis0.37RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009S.D.ofPortfoliolAstandardresultinstatisticsstatesthatlInthiscasesX=200,000andsY=50,000andr=0.3.Thestandarddeviationofthechangeintheportfoliovalueinonedayistherefore220,2278RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009VaRforPortfoliolThe10-day99%VaRfortheportfolioislThebenefitsofdiversificationare(1,473,621+368,405)1,622,657=$219,369lWhatistheincrementaleffectoftheAT&@#@TholdingonVaR?
@#@9RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009TheLinearModelWeassumelThedailychangeinthevalueofaportfolioislinearlyrelatedtothedailyreturnsfrommarketvariableslThereturnsfromthemarketvariablesarenormallydistributed10MarkowitzResultforVarianceofReturnonPortfolioRiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull200911RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009VaRResultforVarianceofPortfolioValue(aai=wiP)12CovarianceMatrix(vari=covii)(page271)RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull200913AlternativeExpressionsforssP2page271RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull200914RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009AlternativesforHandlingInterestRateslDurationapproach:
@#@LinearrelationbetweenDPandDybutassumesparallelshifts)lCashflowmapping:
@#@Variablesarezero-couponbondpriceswithabout10differentmaturitieslPrincipalcomponentsanalysis:
@#@2or3independentshiftswiththeirownvolatilities15RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009HandlingInterestRates:
@#@CashFlowMapping(page274-276)lWechooseasmarketvariableszero-couponbondpriceswithstandardmaturities(1mm,3mm,6mm,1yr,2yr,5yr,7yr,10yr,30yr)lSupposethatthe5yrrateis6%andthe7yrrateis7%andwewillreceiveacashflowof$10,000in6.5years.lThevolatilitiesperdayofthe5yrand7yrbondsare0.50%and0.58%respectively16RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009ExamplecontinuedlWeinterpolatebetweenthe5yrrateof6%andthe7yrrateof7%togeta6.5yrrateof6.75%lThePVofthe$10,000cashflowis17RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009ExamplecontinuedlWeinterpolatebetweenthe0.5%volatilityforthe5yrbondpriceandthe0.58%volatilityforthe7yrbondpricetoget0.56%asthevolatilityforthe6.5yrbondlWeallocateaofthePVtothe5yrbondand(1-a)ofthePVtothe7yrbond18RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009ExamplecontinuedlSupposethatthecorrelationbetweenmovementinthe5yrand7yrbondpricesis0.6lTomatchvarianceslThisgivesa=0.07419RiskManagementandFinancialInstitutions2e,Chapter13,CopyrightJohnC.Hull2009ExamplecontinuedThevalueof6,540receivedin6.5yearsin5yearsandbyin7years.Thiscashflowmap
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