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[英文原版书]Risk Management: A Practical Guide 风险管理实用指南  关闭 [推广有奖]

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Risk Management: A Practical Guide
First Edition (August 1999)
Risk Metrics Group

Table of contents
Introduction xi
Why we wrote this Guide xi
Who should read the Guide xi
General structure and overview xi
Part I Risk Methodology and Analysis
Chapter 1. Introduction to risk analysis 3
1.1 History of Value-at-Risk 3
1.2 VaR, relative VaR, marginal VaR, and incremental VaR 4
1.3 Overview of risk methodologies 8
1.4 Confidence level scaling factors 11
1.5 Time scaling of volatility 12
1.6 Components of market risk 13
1.7 Basic dimensions of market risk 15
1.8 Summary 20
Chapter 2. Stress testing 21
2.1 Why stress test 21
2.2 Two central questions for stress testing 22
2.3 How to use stress tests 23
2.4 What makes a good stress test 24
2.5 Forecasting time frame 26
2.6 How often to stress test 26
2.7 Steps for stress testing 26
2.8 Creating stress scenarios 27
2.9 Summary of stress tests 36
Chapter 3. Backtesting 39
3.1 Why backtest 39
3.2 Backtesting VaR vs. actual P&L 39
3.3 Accounting for non-position taking income 41
3.4 Backtesting VaR vs. hypothetical trading outcomes 41
3.5 Interpreting backtesting results 42
3.6 Other factors to consider in analyzing backtests 43
3.7 External disclosures of backtests 44
3.8 Backtesting summary 44
Part II Risk Management and Reporting
Chapter 4. Practical problems risk managers face 49
4.1 Risk reporting 49
4.2 How to use risk reports 50
4.3 What type of information is required 50
4.4 What risk solutions to choose 51
4.5 Summary of issues facing risk managers 53
Chapter 5. Generating a risk report 55
5.1 What makes a good risk report 55
5.2 What are the major types of risk reports 58
5.3 How to organize a risk report 60
5.4 Time dimensions in risk reporting 60
5.5 Global bank case study 61
5.6 Leveraged fund case study 68
5.7 Investment manager case study 71
5.8 Corporate case study 74
5.9 Summary of risk reporting issues 79
Chapter 6. External risk disclosures 81
6.1 Introduction 81
6.2 Emerging global standards for public disclosures 81
6.3 Voluntary risk disclosure for non-financial corporations 86
6.4 SEC disclosure requirements for derivatives 88
6.5 Summary 89
Chapter 7. Using risk information 91
7.1 Linking risk and return 91
7.2 Risk and performance 91
7.3 Risk and capital 93
7.4 Summary 95
Chapter 8. Market data for risk reporting 97
8.1 Type and quantity of market data 97
8.2 Deriving volatilities and correlations from raw historical data 98
8.3 Use of historical versus implied volatilities 99
8.4 Exponential weighting of time series 100
8.5 Log price change of GBP/DEM and 95% VaR estimates 100
8.6 What is good market data 100
8.7 The task of the risk data analyst 101
8.8 Where to get market risk data 102
8.9 Summary 102
Chapter 9. Position data for risk mapping 105
9.1 The data collection process 105
9.2 What type of position information is required 106
9.3 Principles of cashflow mapping for interest rate risk 107
9.4 Mapping commodities 108
9.5 Mapping equities 108
9.6 Choosing a methodology 109
9.7 Summary 110
Chapter 10. Evaluating a risk software vendor 111
10.1 How to choose a risk solution 111
10.2 Summary 113
10.3 Conclusion 114
Appendices
Appendix A. Risk-based limits 117
Appendix B. Credit exposure of market-driven instruments 119
Appendix C. The independent risk oversight function 125
Glossary of terms 127
Resources 137
Index 139

Introduction
Why we wrote this Guide
This Guide evolved from common client questions about market risk management. While there
is a significant amount of quantitative research and high-level risk management literature, there
are few practical resources at the risk manager’s disposal. The Guide addresses the basic issues
risk managers face when implementing a market risk measurement process.
We are publishing the Guide in our continuing effort to promote improvements in the discipline
of risk management and to help our clients develop better risk reporting processes.
The Guide focuses on practical issues that arise in the process of risk analysis and reporting.
The three major phases of risk reporting consist of (a) compiling position and market data in a
timely manner, (b) applying appropriate methodologies to calculate risk (including stress
testing), and (c) summarizing portfolio risks in a concise and complete manner. We also include
advice on model backtesting.
The world is moving from reporting risk as a single number to viewing a broader Picture of
Risk. We emphasize the importance of applying several methodologies to explore different
dimensions of risk.
Who should read the Guide
The Guide is geared for risk monitors and analysts who are responsible for implementing a risk
reporting process. After studying the Guide, readers should know (a) how to measure risk,
(b) why it's important to measure risk—the “so what” or “value-added” of it, and (c) how to
present and communicate risk information to management and other interested constituents.
As an introduction, we review basic principles of market risk measurement without relying
heavily on statistics and formulas. Quantitatively oriented readers are encouraged to learn the
details of risk methodologies in the RiskMetrics Technical Document, which are cited
throughout the Guide.
Our main focus is on the practical issues of communicating about risk. The application of rules
and procedures for risk control, while important, are not part of the Guide. Through case
studies, we consider the risk reporting needs of several types of financial institutions (banks,
hedge funds, and asset managers) and corporations. We show what type of input data is needed
and give advice on designing effective risk reports. Throughout the Guide, we give practical
illustrations of how these concepts and data are implemented in real solutions.
For novice risk managers who wish to get a broad overview of corporate risk management, we
recommend our on-line Managing Risk course, which features live RiskMetrics tutorial
support.
General structure and overview
This document is organized in two sections.
Part I addresses risk methodology and analysis, and consists of Chapters 1 through 3:
Chapter 1 introduces the Value-at-Risk (VaR) framework for measuring market risk and
highlights key input parameters and assumptions. We review the three major methodologies
for estimating VaR: parametric, Monte Carlo simulation, and historical
simulation.
Chapter 2 gives an overview of stress testing, which is a crucial discipline in risk measurement.
We emphasize characteristics of effective stress tests and introduce several
approaches for creating stress scenarios, including historical and predictive scenario generation.
Chapter 3 addresses backtesting of risk models: why it’s important, how to do it, when to
do it, and what to look for.
Part II addresses risk management and reporting and consists of Chapters 4 through 10:
Chapter 4 defines common problems risk managers face when implementing market risk
reporting processes:
• How to produce relevant market risk reports
• How to use risk information
• How to obtain appropriate data
• How to evaluate software for analyzing and reporting risk
• Whether to build or buy risk solutions
In the following chapters, we address these issues and propose solutions.
Chapter 5 describes best practices for risk reporting. We make suggestions for designing
risk reports (i.e., format, content, and organization), and show sample case study reports
representing four types of companies: banks, hedge funds, asset managers, and traditional
corporations.
Chapter 6 addresses external reporting. We discuss emerging global standards for public
risk disclosures of financial and non-financial companies and show examples of actual risk
disclosures from leading institutions. We specifically review BIS disclosure recommendations
and SEC disclosure requirements.
Chapter 7 discusses how to use risk information to link risk with performance evaluation
and capital. We introduce the Sharpe ratio for measuring return on risk of realized revenues.
Then, we discuss BIS regulatory market risk capital requirements, and introduce the
topic of economic capital allocation.
Chapter 8 focuses on market data needed for calculating risk. We define what constitutes
good market data and review best practices for data analysts. We review the process of
transforming raw historical rates into volatility and correlation forecasts and discuss the
use of implied volatility forecasts.
Chapter 9 reviews the position data collection process, and the type of information
required from position management systems. To simplify the data management process, we
introduce the concept of cashflow mapping for fixed income, FX and commodity instruments
and show several approaches for treating equities.
Chapter 10 gives advice on choosing a risk software vendor. We emphasize the importance
of defining risk management objectives and needs up front and propose key evaluation
criteria for risk solutions.
In the Appendices, we discuss risk based limits, credit exposure of market driven instruments,
and the responsibilities of the independent corporate risk management function. We also
provide a glossary of risk terminology and a list of resources that includes risk associations and
suggested reading.
Throughout this Guide we use the following typographic conventions: boldfaced terms are
defined in the Glossary; underlined text indicates a web site hyperlink in the on-line version of
the Guide.
All reports and graphs were generated using the RiskMetrics RiskManager application.

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