FRM 风险管理基础：复习提纲一

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 ∗