Typology of risks and risk Interactions
Market risks(天灾)
- interest rate risk
- equity price risk
- foreign exchange risk
- commodity price risk
Credit risk(人祸)
- default risk: 按时/足额(本金+利息)
- bankruptcy risk
- downgrade risk
- settlement risk(结算风险 - 支付宝很好解决 先付钱 or 先发货?)
Liquidity risk
- funding liquidity risk 借不到钱
- trading liquidity risk 卖不出去
Operational risk 人,内/外部环境,系统,
- legal and regulatory risk
- business risk
- strategic risk
- reputation risk
Risk aggregation
-
债券bond:duration,convexity
Δ P = − D ∗ P ∗ Δ y + 1 / 2 ∗