[econometrics] peter f christoffersen elements of financial risk management 2002

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1、ElementsofFinancialRiskManagementChapter1:IntroductionPeterF.ChristoffersenMcGillUniversityandCIRANOAugust5,200211ChapterOutlineThisintroductorychapterbeginsbydiscussingthelearningobjectivesofthebook.Wethenaskwhyfirmsshouldbeoccupiedwithriskmanagementinthefirstplace?Inansweringthisquestionwediscussthe

2、apparentcontradictionbetweenstandardinvestmenttheoryandtheemergenceofriskmanagementasafield,andwelisttheoreticalreasonsforwhymanagersshouldgiveattentiontoriskmanagement.Wealsodiscusstheempiricalevidenceoftheeffectivenessandimpactofcurrentriskmanagementpracticesinthecorporateaswellasfinancialsector.Nex

3、t,welistataxonomyofthepotentialrisksfacedbyacorporation,andwebrieflydiscussthedesirabilityofexposuretoeachtypeofrisk.Aftertherisktaxonomydiscussion,welistthestylizedfactsofassetreturns,whichareillustratedbytheS&P500equityindex.Finally,afairlydetailedoverviewoftheremainderofthebookwillbegiven.2Intend

4、edAudienceandLearningObjectivesThebookisintendedforthreetypesofreaders.First,finalyearundergraduatesmajoringineithereconomics,engineering,financeoranotherquantitativefield.Second,MBAorM.Sc.studentsspecializinginfinance.Third,marketpractitionerswithaquantitativeundergraduateorgraduatedegree.Intermsofpre

5、requisites,thereadershouldhavetakenasaminimumacourseoninvestmentsandoneortwocoursesoneconometricsormathematicalstatistics.Inaddition,certainchaptersrequiresomepreviousexposuretomatrixalgebra.Theaimofthebookistoenablethereaderto:•Knowtherangeofrisksfacingcorporations,andknowhowtomeasureandmanagethes

6、erisks.Thefocusofthediscussionwillbeonmarketriskandcreditrisk•Knowthesalientfeaturesofspeculativeassetreturns.•Applystate-of-the-artriskmeasurementandriskmanagementtechniques.•Criticallyappraisecommerciallyavailableriskmanagementsystemsandcontributetotheconstructionoftailor-madesystems.•Usederivati

7、vesinriskmanagement.•Understandthecurrentacademicandpractitionerliteratureonriskmanagementtechniques.23RiskManagementandtheFirmBeforedivingintothediscussionoftherangeofrisksfacingacorporationandbeforeanalyz