systemic risk & systemastic risk & mariket risk 的疑问

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最近在写和derivatives有关的论文, 关于以上这些risk是反而变得迷茫了. 有的书上把systemic risk和systemastic risk视为同一risk. 有的把systemic risk和market risk 视为同一risk. 但是在某些文献上risk的分类列表里, 同时出现了systemic risk 和market risk, 那就还是不同的risk啊. 可为什么有的资料里把这些认为是一样的. 都是系统性风险吗?有什么区别?尤其是在研究derivatives的时候?

谢谢各位

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关键词：systemastic systemic mariket System Risk 疑问 Risk systemic systemastic mariket

系统风险和市场风险是不同的，系统风险应该包含市场风险。因为系统风险是指对整个经济产生影响的因素。市场风险属于系统风险，它只是针对于市场中存在的影响所有参与者的事件。举个例子：央行基准利率的变动，系统风险&市场风险；台风、地震，系统风险&非市场风险。

2# holdser
至于上面讲到的系统风险和系统性风险，个人理解没什么大的区别，只不过后一种说法相对来说强调了属性上的区别，即重点强调是否属于系统性的事件。

CAPM下面，market risk和systematic risk是一回事，是指non-diversifiable risk

risk management里面market risk是指金融产品价值变化的不确定性，和systematic risk没关系

systemic risk和systematic risk是两回事，systemic risk是指整个金融系统不能正常运行的风险，比如自然灾害，恐怖袭击，千年虫之类的

systemic risk和systematic risk可以同时发生，比如这次危机，全球股市一起跌，属于systematic risk，短期借贷市场瘫痪，流动性不足，属于systemic risk

In finance, systematic risk, also sometimes called market risk, aggregate risk, or undiversifiable risk, is the risk associated with aggregate market returns. Systematic risk is a risk of security that cannot be reduced through diversification. It should not be confused with systemic risk, which is the risk that the entire financial system will collapse as a result of some catastrophic event.

In the capital asset pricing model, the rate of return required for an asset in market equilibrium depends on the systematic risk associated with returns on the asset, that is, on the covariance of the returns on the asset and the aggregate returns to the market. Risk in asset returns that is uncorrelated with aggregate market returns is called 'specific risk', 'diversifiable risk', or 'idiosyncratic risk'. Given diversified holdings of assets, each individual investors exposure to idiosyncratic risk associated with any particular asset is small and uncorrelated with the rest of their portfolio. Hence, the contribution of idiosyncratic risk to the riskiness of the portfolio as a whole is negligible. It follows that only systematic risk needs to be taken into account.

Market risk is the risk that the value of an investment will decrease due to moves in market factors. The four standard market risk factors are:

Equity risk, the risk that stock prices will change.
Interest rate risk, the risk that interest rates will change.
Currency risk, the risk that foreign exchange rates will change.
Commodity risk, the risk that commodity prices (e.g. grains, metals) will change.

谢谢上面各位前辈。
我说一下我的理解 请各位帮我看看有什么错误没
是不是就是说，在derivatives（主要从衍生品市场角度看）market中，存在market risk，这个market risk包括5楼说的“equity risk”"interest rate risk" "currency risk" 和 "commodity risk"，这些risk也被称为是systematic risk, 两者没有明显区别？而systemic risk包括的范围更大一些，出了market risk之外的能够造成整个市场波动的risk，systemic risk和market risk是上下的从属关系吗？
另外请问，basel committee中提出 derivatives related risk 包括 credit risk，liquidity risk，market risk，legal risk，operations risk。 如果market risk＝systematic risk，这里credit risk 和 systemic risk是什么样的关系？？
谢谢～～～

我觉得你还是找两本最基本的finance和risk management的书看起，现在根本就是在乱来

因为大家都说的不一样啊。。所以我才迷茫的

说句玩笑话楼主你不要生气，你是真正搞金融创新的人，牛年的牛人啊，学习一定要踏实，基本功要扎实，不要光听别人的，自己好好学习、理解才行

stupidnew 发表于 2009-8-10 08:58
说句玩笑话楼主你不要生气，你是真正搞金融创新的人，牛年的牛人啊，学习一定要踏实，基本功要扎实，不要光听别人的，自己好好学习、理解才行

嗯嗯。。。吸取教训。。。