http efinance org cn http aronge net Copyright
- Slides: 46
第十七章风险管理 厦门大学金融系 郑振龙 陈蓉 课程网站：http: //efinance. org. cn http: //aronge. net 金融 程 Copyright © 2012 Zheng, Zhenlong & Chen, Rong, XMU
目录 n n 风险管理概述 在险值 17: 45 Copyright © Zheng, Zhenlong & Chen, Rong, 2012 2
敏感性分析 n 17: 45 Copyright © Zheng, Zhenlong & Chen, Rong, 2012 11
市场流动性风险的度量 n 17: 45 Copyright © Zheng, Zhenlong & Chen, Rong, 2012 15
风险管理效果评价 n Va. R 回溯测试 17: 45 Copyright © Zheng, Zhenlong & Chen, Rong, 2012 18
在险值的定义 n 17: 45 Copyright © Zheng, Zhenlong & Chen, Rong, 2012 19
历史模拟法示例（1 天Va. R，置信水平 99%） I 17: 45 Copyright © Zheng, Zhenlong & Chen, Rong, 2012 22
历史模拟法示例（1 天Va. R，置信水平 99%） II 17: 45 Copyright © Zheng, Zhenlong & Chen, Rong, 2012 23
损失排序 17: 45 情景序号 损失 494 477. 841 339 345. 435 349 282. 204 329 277. 041 487 253. 385 227 217. 974 131 205. 256 Copyright © 2012 Zhenlong Zheng 99% oneday Va. R 24
波动率的换算 17: 45 Copyright © Zheng, Zhenlong & Chen, Rong, 2012 26
微软和GE组合 n 17: 45 Copyright © 2012 Zhenlong Zheng 31
组合VAR n 该组合10 -day 99% Va. R 为 n 分散化的好处为 (1, 473, 621+368, 405)– 1, 622, 657=$219, 369 17: 45 Copyright © 2012 Zhenlong Zheng 33
组合收益率的方差 17: 45 Copyright © 2012 Zhenlong Zheng 35
组合价值的方差 (ai = wi. P) 17: 45 Copyright © 2012 Zhenlong Zheng 36
处理利率的方法 n 17: 45 Copyright © 2012 Zhenlong Zheng 37
现金流映射 n 匹配方差 n 可得 a=0. 074 17: 45 Zlzheng，Dept. of Finance, XMU 20. 41
请提问 n Any Questions？ 17: 45 Copyright © Zheng, Zhenlong & Chen, Rong, 2012 45
Email: zlzheng@xmu. edu. cn aronge@xmu. edu. cn 17: 45 46
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