第¸‰ç«  風逼與¸‚ ´é¢¨é

  • View
    40

  • Download
    1

Embed Size (px)

DESCRIPTION

第三章 風險值與市場風險. 衡量風險工具 風險值 衡量風險值的方法 共變異法及其應用 歷史模擬法 蒙地卡羅模擬法. 市場風險 (Market Risk). 市場風險是因商品市場價格變動而導致損失的風險 。 諸如利率、匯率、股價等金融工具的價格波動,有可能導致投資機構發生損失 。 其衡量期間可以短到一天。 風險的衡量通常是將其量化為一定金額或相對於某一標竿的金額。. 衡量風險工具. 敏感度 (sensitivity) 波動度 ( Volatility ) 風險值 (Value at risk, VaR). 敏感度. - PowerPoint PPT Presentation

Text of 第¸‰ç« ...

  • (Market Risk)

  • (sensitivity) Volatility (Value at risk, VaR)

  • Delta DeltaDollar Duration

  • (prospect theory)

  • 199410J.P. MorganRiskMetrics1995

  • VaRVaR(Dollar amount)VaRVaR9 1 1(Stress testing)( S c e n a r i o analysis)

  • WW tWW0

    10-Day, 99%, VaR=$10 million101%1000

  • VaR (Fat-tailed) (skewed)

  • VaR V.S. V. S. V.S. (Local Valuation) V.S. (Full Valuation)(Variance-Covariance Method) (Historical Simulation Method) (Monte-Carlo Simulation Method)

  • 10.13599%

  • - Ri = i Rp = wi = i ()W =

  • 3.3 32503.30.30.304100099%

  • --- X1=V=d=Z=1-

  • Pb = r = (risk factor)D* = (modified duration)(r) =

  • ---

  • 3.24100Pb3.2%99

    ($)Maturity (T) (r) rExchange rate (EX)EX (r,ex) (Dollar duration)100 ()4 5%0.8%1.5 USD/DEM0.03 USD/DEM-0.6313.41

  • Historical Simulation Method 110021001-

  • 3.4 200011302003.599%

  • gammavaga (fat tails)

  • () () (weight)

  • Bootstrap Method 1000210001-

  • 3.53.499%

  • (Monte Carlo Simulation, MCS) ()N1, 2, 3, ,nSt+1, St+2, St+3, , St+n ()T Ft+n=FT23KK=10000 ()

  • (Simulating a Price Path)

  • (Geometric Brownian Motion, GBM) Wiener Process

  • 3.6-0.002570.031556.481003095%

  • 3.330

    Chart1

    56.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.4856.48

    55.800901812754.061737037856.769704230758.606311994358.467308272459.418839905852.449874006655.918425274458.283458767554.401549535855.107030138653.327338288353.048918190454.595618296354.958810476852.566695551955.324599950355.616184520756.575042785955.684784206655.753290843255.67633693658.724043805856.183355226756.003872976955.421957980859.844229566557.875380347760.562069561955.1698344629

    58.578405076151.176961619957.587923602160.121647478961.851745609359.108196176251.44983424556.964286787757.433783893555.560383301452.458497060251.767195367150.369976820753.831433046654.761580436152.478397729454.620207127359.318428583353.324307518554.249971851851.083012628758.0726664356.205850430854.882419178357.19701912956.094630499861.339572063558.813084028257.789368347953.089129577

    59.708813995551.565829586855.735138887759.511048159261.949363844159.995219030551.542671940555.183386456160.696751284156.270593531652.443296625952.987707178551.608588459552.613867825853.028444978354.180808083352.413214482256.253138222354.382439089655.201851120154.501496155260.564971784458.370411020254.936922103857.053795485756.752476309161.132901409956.708113145254.41001341454.3382835251

    60.391218743252.437310680455.9669710957.433110490564.206878350159.253100535250.046620074853.614332500459.720745738755.322562477151.443382272454.269692951452.310570640951.470628141955.072436181451.036145026953.187836065455.902770600254.314432430553.922817557453.418043274362.030073831559.697332902155.585889476958.150063284759.522221054961.561363588357.61485276957.446325313853.6244671828

    62.211603387452.539842333657.835184085957.01744720162.4648164461.109586735449.000916039554.378567229960.594335906554.629138649750.597090978951.795088064355.460635659350.420033872755.080577141450.528570032257.802248818957.964213422555.682377236156.04746206853.597153282562.929991233359.074733966953.305014577860.32131701558.827817068658.870860924558.854191450258.718284455154.2101877866

    62.843546227151.332347935559.004277341257.814699860164.420051178555.621259221449.591182874256.752390125557.150643406754.56728197852.625554515254.416846020255.735340602550.521076965158.157268411550.331152629556.457784162559.472413114855.522146318657.738533898454.193634163865.649807729758.697618425451.553281932857.242786771153.923188197858.911200547459.257926846458.534739609954.4135202629

    63.193559278753.587804261459.011429394455.632427093961.434064212955.8140335650.949800639653.909271527855.90584045255.3272574852.131184438553.688244092655.305316137249.691702706756.537561934751.224404011856.417563053561.686984123555.838302153757.694333692454.442069953365.924984682458.533237003949.433417586757.520361293154.036637939960.156469161957.731606735259.52126617954.6495192643

    63.259074786954.915868626862.211569339553.196637744358.887740346956.655551647852.73024244752.279513981351.983975203153.619816647152.329155470854.276220721953.447397978148.219140944557.214822891151.289195056955.312895923461.727907952754.038876513655.919041927856.097358040169.134006901857.143800259849.038846880157.577065725257.038450630961.129748130460.59311147159.70056527557.1953598439

    61.813867159653.103619365564.391966318554.59985115855.528450162358.780478005652.263069377850.276255452148.773458617652.088871605252.975276023555.706115072553.193294217248.013646289757.454926641950.588814532456.788263179660.608374769257.889735686857.086263985257.032525112966.8199037458.566423107451.148821999956.102758521856.351056666158.393094228663.02049773361.513003120557.3808239199

    57.388478984253.813114478965.294294245256.551545051853.709803151360.862149594251.203832236548.985246911445.998452977154.210892873351.228289079558.276062741151.100817297747.271776357254.940317019152.992682084356.694106781661.083850190959.521871883560.445224421856.776804438464.48102520457.365686034352.383315293457.500653633657.113211014155.509658254360.086959767561.076503344956.0966629443

    56.106672717355.165183833263.402450395756.201789788553.179230835863.61732037848.947330712447.416016345245.637933845552.259664751148.782518309654.1550467951.904747015246.645845748455.513508181249.436167450658.634206831457.177230510458.399148584358.430894837856.451391274564.589377138360.354966706451.412942988655.913721833755.623109767556.393258949962.363193584458.158077224557.6656605584

    58.768910594253.86467812563.405841594354.591025697954.208059213163.933531659148.89367812645.756133097945.090117562753.318508843348.64249526155.725957992750.113660036147.640971714557.542551859547.487947954659.216186047953.822294131758.395211107460.133300901458.147893693664.637546919158.75187073452.217971567556.588159718256.757432347254.562562846263.375405088760.959944856257.9432864379

    57.904842396754.148595368866.874988836450.322079549254.097663668963.521671268450.292430425247.42046461147.297701807950.126359762149.749730954756.227068342751.156839367248.245043527757.149489426849.848494915759.911903681453.63134982958.207468540359.879642113954.916076435965.374218912258.957948742653.15448836356.141877917858.088085608656.694025864767.010795601558.286740534258.9264378135

    57.362734216652.743932679968.260925828953.889448151156.258670509663.71831039549.413542597746.943091608245.54018431150.115953417549.216761160657.215466573348.972335237748.910306266358.760976263648.363970585660.459311608354.390763925359.846982669259.298342066755.178423161264.343336581659.754227689755.658736222255.716667149356.065987137554.903073097268.379454535861.068387072457.6023155378

    55.71128259654.308079135868.565243743454.513666383660.721305570162.392030854348.065417268448.615654346444.98642038847.751295847850.826174513754.746558180348.232042848846.568258211156.576981557849.163626237560.536077885751.25409615863.53435186859.595143687257.517825794564.123598007159.151804853755.566855275852.323048951854.703597549257.15377242568.567373882760.065863941956.3566900249

    53.556970993856.305282501373.725825520355.946614264760.375933515460.543541621747.813781888648.100766050244.311306611948.938575890650.241387173155.199650669449.3195261246.801806537453.5275640549.079266262561.620876001250.860524478860.070021431456.442703305755.897680754864.483776489257.85928970759.03539272351.831262041856.051258374459.23890386767.400984346556.420921354454.611578334

    53.586664423356.641503823375.616393680852.1466797958.923173435160.679773383347.90436364147.865807536243.861497136651.078737231751.438779873252.742756660948.456310257446.29785166251.813818328348.645886309161.753674722149.19418036861.509282484555.988180901356.997871799462.784478863758.277966672956.541753930555.426879981857.369727939756.988161783470.396679745755.791832478852.0261553518

    52.719462016756.989368697873.734955959152.976449899658.335115984561.533441969744.878259895846.068501008445.802313386751.280881501252.755618152650.5753262146.396815114845.817645781451.37486723850.077272784563.571248243248.618659555762.326032996457.520994364955.470871175661.159973841857.577984983157.295637393652.278626693859.390327046660.294814770670.245003314153.382505112251.9228379956

    55.039649598557.137213527276.479041303854.602928106658.863750448659.902015089644.139733066447.893968551546.340801952.285292545651.053153334447.095987830246.201213593947.140518843452.705087223749.168088142762.060108504248.933466614460.069477448958.347157914152.537071734463.804990455360.370844325155.954719550754.252472042160.548447257661.895701631967.640662531855.374596802551.0802259262

    57.065783210354.118728945674.119119878159.650375510857.921104999558.963724587444.958356879847.3012944443.682681493552.232774931752.370424694148.304359053445.711206632347.684174840455.574927683949.734472355662.06297892747.968373249560.452247959458.161400404255.036654627269.482231048556.730279122656.054595826156.985653650962.232877433162.118428681869.924360382757.005983982850.7773145848

    55.521573441852.273769961871.233263004354.767817814755.587042014760.053365949445.979786463548.977851230542.964874447550.025915638249.145584298947.438002320145.058533237749.020638863854.307245440151.216667728662.492949624249.200856091662.473538214359.152672818955.380590450368.919812176357.306839541454.956567900958.31644902461.881016318360.603642431867.888527535860.043054213551.2935048509

    55.49730480753.85596139868.944133335954.719283493355.1178971