Risk Management and Financial Institutions Chapter 1——引言

最新推荐文章于 2019-04-25 12:24:58 发布

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最新推荐文章于 2019-04-25 12:24:58 发布

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分类专栏：风险管理与金融机构 Editon 5 文章标签： John hull risk

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本文主要探讨投资者与公司面临的风险与回报之间的权衡，介绍了风险量化、有效前沿、资本资产定价模型（CAPM）、套利定价理论（APT）以及金融机构的风险管理策略。CAPM强调投资者不应关注非系统性风险，而APT则为多因子模型，考虑多种系统性风险源。此外，公司需考虑破产成本和监管要求，进行风险管理。

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Risk Management and Financial Institutions

The risk management function’s primary responsibility is to understand the portfolio of risks that the company is currently taking and the risks it plans to take in the future.
步骤：
- concerning the risk‐return trade‐offs
- whether the same arguments can be used by a company in choosing new projects and managing its risk exposure
- Why companies should be coucerned with the total risk they face

The trade‐off is actually between risk and expected return, not between risk and actual return
Expected return is therefore a weighted average of the possible returns, where the weight applied to a particular return equals the probability of that return occurring

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In 1976, Ross developed arbitrage pricing theory, which can be viewed as an extension of the capital asset pricing model to the situation where there are several sources of systematic risk(APT 模型)

A convenient measure that is often used is the standard deviation of the return over one year(年回报标准差)

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Portfolio expected return is:
- μ1 is the expected return from the first investment
- μ2 is the expected return from the second investment

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The standard deviation of the portfolio return is:
- ρ is the coefficient of correlation between the two

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