FINANCIAL RISK MANAGEMENT

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? ? ? ? ? ? ? ?

• ? ? ? ?
• ? ? ?!

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?????????

• FINANCIAL RISK MANAGEMENT
• ? ? ?
• zmc_at_sba.zju.edu.cn
• ? ? ? ? ? ? ? ?
• 2004.5

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Recent advances in corporate finance

• ?????????????(?REAL OPTIONS)
• ????????????????
• ???????????????????????
• ??????(??)????
• ???????????
• ??????(???????????????????????)

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I.?????????

• ?.?????????
• 1.?????????????
• ???????????????????
• (1)20??????????????????
• 20???????????FRB
• 1900?18????????
• 2000?172?(90??)
• 2000???????(??)

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• (2.)?? ??????????????
• ??????????????
• 1974 ?????????????????????
• 1973-1975????????
• 80??????????
• 1982??????????
• 1983??SMH????
• 1984????????????
• 1989????????
• 1994???????
• ??Orange County 1.7 billion

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• 1995??????Baring PLC1.4billion
• 1995??????Daiwa Bank 1.1billion
• ????????
• ???????????
• 1996??Sumitimo Corp. 2.6billion
• 1997-1998??????,???????
• 1997-1998??????????????
• 1998??Peregrine??
• ??LTCM 4billion

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????????????
???? ???? ???? ????
???? ???? ???? ?
?????????????? ? ?? ? ????
Orange County ?? ???? ?
???? ? ???? ?
????????58.8?????26.5?????8.8??????5.9
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• (3)?????????????????????21????????
• ???????????????????????????????????????????
• ??????????????????????????
• ???????
• 2.???????????????
• 3.???????????
• ????????????????????????
• ??????,????????????????????,????,??????

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???????????

• 1972? ????
• 1973? ??(??)??(Black-Scholes??)
• 1975? ????????
• 1981? ????????
• 1982? ?????????????
• 1985? ????
• ?????????(Credit Derivative)???????????
• ?????????????,???????????????

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??????????(10???)
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1993-1995,1997,2001??????????????????
?? ???? ????million
???????? ???? 1580
?????? ???? 1450
??????MG?? ???? 1340
?????? ???? 1330
?????Codelco?? ??? 200
????PG?? ???? 157
???? 93(2)???? 1210
?? ??????? 3000
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???????????????????

• 2004?4?20?,???????????????????????????,?????????
  ????????????????????????,????????????????21??22?
  ???????4?23????????????
• 22?,???????,???????????,??????????????,???????
  ?????
• 4?21?,????????????????,???????????4?22?,?????????
  ??????,????????,????????????????,?,??????????????
  ???????????????4?23?,?????????,????????,??????????
  

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• ??35???????????,???2?????,???300?,??????????,?????
  ???300???????,???????????????????????????????,????
  ????????????????????????
• ?????,???????????????????????,????????????????????
  ??????????,??????????????,????????,?????,?????????
  ?
• ????,??????????,????????????????????????????????,?
  ?????????,????????????
• ??,????????,????????????????????,???????,??????100
  ?

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???????????

• 1.??????????????????
• 2.?????????
• 3.???????????
• 4.???????,?????????
• 5.????????
• 6.?????????
• 7.??????????????(??????????)
• 8.????????

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II. ??????

• Citi Bank?Director????????RM,???????
• EFRM(Enterprise Financial Risk Management)
• GRM(Global Risk management)??????
• ???????????????????????,????????(???????????)?????
  ??????
• 90?????????????(??)
• ?????????????????
• ?????????
• ?????????
• ??????????

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• ??????????????,??????????
• 90????????RM?VaR?????????????????????,????????????
  ???

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?????

• ?????????????
• ?????????
• ??????
• ????????????
• ??????
• ???????????????????????????
• ?????????????(????????)????????????

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• ????????,??????????,?????????????????????????????,
  ???????????

????
????????
?????
????
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????????

• ???????,??????,???????(??)
• ??????(Real Options)???????????????????????????,?
  ??????????????????(??)

??????
??
??????????
????
????
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????????????C.ArthurWillianms,Jr???????1995
????
????
????
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?????????(IOSCO)???

• ????
• ????
• ????
• ????
• ????
• ?????
• ????
• ????
• ????

????
?????
????
???? ????
????
????
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??????????

• 1.Liquidity Risk risk of not being able to meet
  the cash flow obligation on time
• Divisions project liability cash flow needs
• Available cash flow projected by investment
• Projections are done under various scenarios
• Coverage ratios maintained under various
  scenarios
• Excessive liquidity to be avoided
• ?????????
• ??????????????(bid-ask spread)??,??????????,?????

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• 2. Credit Risk other parties not honor their
  obligations
• Mere perception of inability to honor can cause
  loss
• Limit below investment grade assets allocation
• Name exposure limit
• Watch and default list
• Asset default reserve

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• 3.Interest Rate Risk
• Limit duration and key rates duration mismatch
• Limit spread duration mismatch
• Control convexity risk
• Use interest rate swaps
• Interest maintenance reserve

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• 4.Market Fluctuation Risk Risks of market value
  drop in equity type investment
• Fee income loss due to the smaller managed assets
  pool
• Limit equity type assets allocation to a low
  percentage
• Use equities to back surplus or variable products
  only
• Important to understand how much risk is taken
  and to communicate well

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• 5.Derivatives RiskCounter party risk (usually
  highly leveraged)
• Establish derivative program policies
• Limit derivative use to hedge only
• Clearly understand the purpose of each derivative
  program, ensure accounting, legal, and tax
  compliance
• Strict program initiation and management process
• Counter parties and counter party exposure limit
• Ongoing monitoring, regular review / communication

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????????????

• 1.???????
• ????????????
• ????(???)?? ?? ??
• ?? ??
  ??
• ????( ???)?? ?? ??
• ?? ??
  ??
• 2.???????????
• 3.20??80??,?????????????????(?????????????????????
  ?)????????????????????????

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????????

• ?????????,??????,??????,??????????????????????
• ??????,????????????????
• ??????????????
• ?????????????????
• ??????????????????

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• ?25??,RM?????????????????????????????????RM??
• ????????????????????????
• R R R(Risk Return Regret)
• ??Ron S.Dembo ?????????2000
• ??????(regret aversion)
• ???????,?????????????????????????????????????,????
  ???????????????????????,?????????,???????????????
  ?,????????????
• ?????RM???????????????????,?????????

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?????????

• ???????????
• ????????????????????????????
• ??????????????
• ???????
• ?FRB???????????????,??????????(??-??),????????????
  ????,?????????

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???????????????

• ?RM????????(????????)

????
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????
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????? (???)(???)
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??????????????

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• ????????????????,??????
• ???????,??????
• ???????????,????????
• ??RM?????????????????
• ??????????????
• ??????,????,????
• ?????????????????????????????????
• ?????,?????
• ???????????????????
• ??????????????????????

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????????????
?????? ?????
??
VaR?? ???? ???????
????
??
????
?????? ???????
??
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?????????
?? VaR?? 2000?
????A VaR?? 1000?
????B VaR?? 1200?
????C VaR?? 800?
???A1 VaR?? 800?
???A2 VaR?? 800?
???C1 VaR?? 600?
???C2 VaR?? 500?
???C2 VaR?? 300?
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??????????

• ??????????

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III.??????????

• ???????????????
• Global Association of Risk Professionals
• ??Goldman Saches
• ??Moodys
• ????UBSwarbery
• ??Deloitte Touche Tohmatsu
• ??Pricewaterhouse Coopers
• ??Merrill Lynch
• J.P.Morgan
• ??????NAI(????)
• ??reading??(??Master??)
• ????????????????????????

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• ?.(??)????????
• 1.??-??(E-V)??
• 2.CAPM??
• 3.????
• ??????
• ????(????)ß
• ??????(???????????)d
• ????? d ?????d (d1,d2,d3,d4,,dn)
• ?????????????????
• ???

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• ?.(???????)???????
• 1.??(Exposure)?????(Gap)??
• ??(Gap)????????????,????????????????????????????,
  ???????,??????????????????

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• ?? ?? ?? Gap??
• 1? 15 35 -20
• 3? 15 25 -10
• 6? 20 20 0
• 12? 25 20 5
• 24? 25 0 25
• 100 100 0
• ???????????(1??3?)???????????(1??2?)??,???????
  ??????????????
• ??????????????,?????????????

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• 2.?????????????
• 3.?????????(Duration)?????(Duration Gap)
• ????(Duration)????( Gap),??????

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• ??????,???????
• Duration(?????????)????????????????,????????
• ?20????,??100,??1000,????10,Du9.36
• ????????9.6??????
• Du??????????,?????1,????-Du
• ?????10???12,????
• -9.361000 (0.12-0.1)/(10.1)-149.4
• ????1000-149.4850.6

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• ?.???????
• 1.1988??????
• ???????gt8
• (??????????) / ?????????? gt 8
• ???????gt4
• ????? / ?????????? gt 4
• ??????2004.4.25?,???????7???7.5?????????????????
  ,8??????????6?
• ??????????????1100?
• ???????????3500?

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• 2.1996?1?????
• ????????????????
• ?????(The Standardized Mesurement
  Method)??????(Building-Block Approach)
• ?????(The Internal Model Method)
• ??????????
• ???? VaR (Value at Risk)
• ?????????,????????,???????????

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???? VaR (Value at Risk)

• VaR ???????????????????(????????????????,VaR?????
  ???????????)
• The new benchmark for controlling risk
• 1993?G-30??(????????????????????????????)????VaR??
  
• ISDA(??150??????????????)?????
• 1994.8???DGP(??????????)?????????99?VaR
• ???Moodys?SP?NEC???????????????VaR

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VaR

• ?????
• ????99
• ????95.4
• ????????97.5
• ?????JP. Morgan95.5
• ???
• ??1?
• ??????????????90?
• ??Philippe JorionltVaR????gt?????2000
• ????????????????????VaR,??
• ????????
• ????????

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??????????????(600628)2000???????(????????1000??)?
????,?95??????,??????5??????VaR??????,?????2.5??
???239??????,?????????239511.9512???VaR(37.8
6??)?
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1999????????????VaR????
December 31,1999(NA-???????Chase??1999????????
????????????VaR?)

•  
•  

????(????) ?? VaR ??VaR ??VaR Dec.31 1999 VaR Dec.31 1998 VaR
?? 20.2 10.7 36.5 20 20.1
???? 7.00 2.3 21.3 3.00 2.3
?? 6.3 3.4 10.1 7.2 4.6
?? 3.5 1.9 9.00 3.4 2.6
?????? 4.1 3.1 4.6 3.3 NA
?????? -17 NA NA -13.7 -8.9
? VaR 24.1 12.3 41.8 23.2 20.7
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???????????

• ?? ???? VaR
• ?? ??????? VaR????????
• ?? ??????
• ?? ??????? VaR
• ?? ???????? ????(?????
• ?? ?????)????
• ?????????
• ???????

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??????2001??????? (Million)

• ?? ??
  ????? ???? ????
• ???? 76 20
  31 13.4 12.2
• ? ???? 51 20
  23 6.2 15.9
• ???? 19 15
  6 1.1 1.8
• ? ?????? 9 24
• ???? 9
• ? ???? 76
  46
• ??????? (25)
• ? ??VaR 186 39
  15 23.8
• AAA 6777 3487
  2891
• ? AA 8201 6160
  6469
• ? A 4752 9157
  6636
• ? BBB 2452 4980
  2200
• ? ?? 1544 2325
  2736
• ?? 23726 26109
  20932
• ?? ????
  
• ?? ????
• ?? ?????
  

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????????????????????99????????10??????????????
????
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?????????(BACK TESTING)

• ???,????????,???????????????????????F????
• ????????? ?????F
• ??? 4
  3
• 5
  3.4
• 6
  3.5
• ??? 7
  3.65
• 8
  3.75
• 9
  3.85
• ??? 10
  4

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• VaR??????
• 1.????
• 2.???????????/??(????)???
• 3.?????
• ????ALM(??????)??VaR??

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??????

• ????(??)???
• ??
• ???????????,???????????
• ??
• ???????????,????????????????????????????????????,?
  ???????????????
• ??
• ??????????????,??????????????????????
• ??
• ?????????????,?????????,????????????
• ??
• ???????????????????,????????
• ????IMF(1997)??????

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???? ?????????? S P Moodys
1 ?? AAA?AA Aaa?Aa1
2 ?? AA?AA- Aa2?Aa3
3 ?? A?A- A1?A3
4 ?? BBB?BBB- Baa1?Baa3
5 ?? BB?Ba1
6 ?? BB?BB- Ba2?Ba3
7 ?? B?B- B1?B3
8 ?? CCC?CCC- Caa1?Caa3
9 ?? CC?C Ca?C
10 ?? D D

• S P(????) ? Moodys(??) ?FitchIBCA(??)
• ???????????????

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??????????????()
?? ?? ???
?? 0-1.5 0 0
?? 5-10 2 0-10
?? 20-35 25 11-30
?? 50-75 75 31-70
?? 100 100 71-100
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???????????

• ??????????????????
• ???????(Relationship Banking)----- ???
• ??????,(?packageed?????????)-----
  ???(Asset-backed securities)
• ????????,?????
• ???
• ????????????
• ????????????????????
• ?????????,????????????
• ????????????????????,???????????
• ????Max0,???(1-????)d
• d1 ??????0 ????????
• ????(recovery rate)??1
• ????????????,?????

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????????

• ??Anthony Saunders lt??????gt???????1999
• 1.J.P.Morgen?Credit Metrics
• ????Internet????????VaR????,????J.P.Morgen???????
  ?
• 2.??????CSFP(Credit Suisse Financial
  Products)?CreditRisk
• 3.KMV??

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• 4.Moodys???RiskCalcTM??
• RiskCalcTM8482for public companies
• RiskCalcTM8482 for private companies
• Moodys default Reports
• MBBI(Moodys Bankrupt Bond Index) Subscription
  Service
• Moodys Corporate Bond Default Database

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????????????????

• ???? ???? ???? ????

??
????
??????
????
???/ ????
????
????
???
?????
????
VaR
?????
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???? Conquering Risk

• 1??????????????????
• 2?????????
• 3???????????
• 4???????????????????