2009FRM基础班操作风险.ppt

* Model Risk Risk managers may wish to shift their focus to predicting what circumstances may apply in the future rather than trying to identify a more sophisticated model. The role of risk managers in a non-EMH framework is to gather market intelligence and reverse engineer prices for simple and complex assets in order to assess how pricing methodologies used today may change in the future. * The End 专业来自百分百的投入 * * Earnings volatility is impacted by hard dollar profits and it the case of risk losses. Reputational risk is a perception risk, associated with someone’s view on the ability of management. This can have a significant impact on a share price by impacting views on earnings growth and/or volatility and therefore discount rates applied to future earnings. True these risks are connected, and significant hard dollar risks have a knock on effect on the reputation, but they are quite distinct, and more importantly the management of them is quite different. * Earnings volatility can be decomposed into risk drivers Market risk and credit risk components are understood, the question was how to isolate the remainder. Business and strategy decisions certainly introduce volatility but this is distinct from failures in internal processes. Business strategic risk covers things like managing margins, market share, budget variances and capital expenditure. Operational risk therefore becomes the remaining hard dollar risks. * 70% of the risk exposure comes from area other than market, credit and liquidity risk. Eight inherent risk in risk based supervision (omitted interest rate risk!!) Corporate governance will be the nest TARGET area * * Process approaches models (BU)： Causal networks Causal networks explain losses in terms of a sequence of related variables. Each variable itself can be due to the combination of other variables. For instance, settlement losses can be viewed as caused by a combination of (1) exposure and (2) time delay. Causes and effects ar