Market Risk Analysis：市场风险分析.ppt

Market Risk Analysis Prof Ian Giddy Stern School of Business New York University Risk Management is a Process Risk Management is a Process Risk Management is a Process Risk Management is a Process Market Risk Measurement An Overview of Corporate VAR Summary of “Value at Risk” Reporting “At close of business each day tell me what the market risks are across all businesses and locations.” Dennis Weatherstone, JP Morgan Logical steps: Economic-value accounting (need market prices or models) Volatilities and correlations of market prices Measurement of Risk Exposure Management of risk Market-price based performance measurement Portfolio Diversification DM position A$ position S$ position FIM position Net effect? Calculate Daily % Changes Predict Volatilities RiskMetrics Method Compared RiskMetrics Method Compared Estimated Volatilities Single-Asset Value-at-Risk Potential loss (5% probability) =Amount at risk * Adverse price/rate move per period (1.65SD) Single-Asset Value-at-Risk: Example Estimated Correlations A Correlation Matrix Measuring Portfolio Exposure: Two Assets The variance of a 2-asset portfolio, : where wA and wB are the weights of A and B in the portfolio. To evaluate the gains and structure of a portfolio, we need a variance-covariance matrix: $ AT RISK VOL. AUD BEF AUD $50,000 2.909 % 1 BEF $50,000 4.573% -0.273 1 Two-Asset Value-at-Risk: Example Return and Risk, Generalized Portfolio return: where wi are the weights of each asset in the portfolio. (Expected return is simply the weighted sum of the individual asset returns.) Portfolio variance: When i = j, the term wiwj becomes wi2 Portfolio Value at Risk A Management-Friendly Report Exposure Report: Example The Next Step: Efficient Hedging Efficient Hedging, Constrained Efficient Hedging, Constrained The VaR Management Cycle This process can be undertaken on a monthly cycle basis, as the institution revises its estimates of future business and as new d