V1_20110325_FRM一级强化班 Fundat

V1_20110325_FRM一级强化班 Fundat

Info iconThis preview shows pages 1–8. Sign up to view the full content.

View Full Document Right Arrow Icon
1 FRM一级强化班讲义 Foundations of Risk Management 上海金程国际金融专修学院 上海金程国际金融专修学院 讲师:吴坚隽 博士 FRM 日期:2011年3月 地点: ■上海 □ 北京 □深圳
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
2-81 81 吴 坚 隽 ¾ 金程职称:金程资深培训师 ¾ 教授课程:操作风险 新巴塞尔协议 经济资本 风险管理基础 ¾ 教育背景及资历:经济学博士 FRM ¾ 相关工作背景:拥有近六年的风险管理、经济资本、新巴塞尔协议 研究、实施经验,五年FRM授课经验和四年CFRM授课经验,吴博士现 供职于某会计师事务所,从事金融风险管理咨询工作。他在风险管 理领域的专长包括金融工具定量分析、监管及经济资本管理,新巴 塞尔资本协议的实施与合规等。他曾参与三家上市商业银行新巴塞 尔协议、经济资本的内部培训项目。他还曾受邀参加首届全球风险 与保险经济学大会(WRIEC),发表并宣读会议论文。 ¾ 联系方式: 电话:021-65555148 Email:gfeduwu@163.com
Background image of page 2
3-81 81 THE CONTENT 9 Definition of Risk 9 Types of Risk 9 Process of Risk Management 9 Barings 9 Sumitomo 9 Metallgesellschaft 9 Long-Term Capital Management Financial Disasters 9 Markowitz Portfolio Theory 9 Capital Asset Pricing Model 9 Arbitrage Pricing Theory 9 Performance Measurement Portfolio Management Theory Creating Value with Risk Management 9 Costs of Financial Distress & Bankruptcy 9 Tax 9 WACC 9 Diversifiable Risk Introduction of Risk Management
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
4-81 81 Section One Introduction of Risk Management
Background image of page 4
5-81 81 Introduction of Risk Management Risk Business Risks Financial Risks Market Risk ( 市场风险 ) Liquidity Risk ( 流动性风险 ) Credit Risk ( 信用风险 ) Operational Risk ( 操作风险 ) Absolute risk Relative risk Directional risks Non-directional risks Basis risk Volatility risk Probability of Default Credit Exposure Loss Given Default Model risk People risk Legal risk Asset-liquidity risk Funding liquidity risk Measured by VAR Create Value with Risk Management
Background image of page 5

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
6-81 81 100% Contribution Breeds Professionalism 100% Contribution Breeds Professionalism The Role of Risk Management ¾ The role of risk management involves performing the following tasks: ¾ The risk management process focuses on the output of a particular risk metric and attempts to keep the measure at a specified target. ¾ A large loss does not necessarily mean that risk management has failed. ¾ Losses are the result of risk taking, which is required for value creation. Step 1 : Assess all risks faced by the firm. Step 2 : Communicate theses risks to risk-taking decision makers. Step 3 : Monitor and manage these risks. Introduction of Risk Management
Background image of page 6
7-81 81 100% Contribution Breeds Professionalism 100% Contribution Breeds Professionalism Incorrectly Measuring And Managing Risk Risk Management can Fail Not measuring known risks correctly Not recognizing some risks Not communicating risks to top management Not monitoring risk adequately Not managing risk adequately Not using the appropriate risk metrics Introduction of Risk Management
Background image of page 7

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 8
This is the end of the preview. Sign up to access the rest of the document.

Page1 / 81

V1_20110325_FRM一级强化班 Fundat

This preview shows document pages 1 - 8. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online