资源描述：
《金融市场的风险管理英文版)（.doc》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。
1、Lecture2-TheUniversalPrincipleofRiskManagement:PoolingandtheHedgingofRisks
Overview:
Statisticsandmathematicsunderliethetheoriesoffinance.ProbabilityTheoryandvariousdistributiontypesareimportanttounderstandingfinance.Riskmanagement,forinstance,dependsontoolssuc
2、hasvariance,standarddeviation,correlation,andregressionanalysis.Financialanalysismethodssuchaspresentvaluesandvaluingstreamsofpaymentsarefundamentaltounderstandingthetimevalueofmoneyandhavebeeninpracticeforcenturies.
Readingassignment:
JeremySiegel,Stocksforthe
3、LongRun,chapter1andAppendix2,p.12FinancialMarkets:Lecture2Transcript
January16,2008
ProfessorRobertShiller:TodayIwanttospend--Thetitleoftoday'slectureis:TheUniversalPrincipleofRiskManagement,PoolingandtheHedgingofRisk.WhatI'mreallyreferringtoiswhatIthinkistheve
4、ryoriginal,thedeepconceptthatunderliestheoreticalfinance--Iwantedtogetthatfirst.Itreallyisprobabilitytheoryandtheideaofspreadingriskthroughriskpooling.So,thisideaisanintellectualconstructthatappearedatacertainpointinhistoryandithashadanamazingnumberofapplications
5、andfinanceisoneofthese.Someofyou--Thisincidentallywillbeamoretechnicalofmylecturesandit'salittlebitunfortunatethatitcomesearlyinthesemester.Forthoseofyouwhohavehadacourseinprobabilityandstatistics,therewillbenothingnewhere.Well,nothingintermsofthemath.Theprobabil
6、itytheoryisnew.Othersthough,Iwanttotellyouthatitdoesn't--ifyou'reshopping--Ihadastudentcomebyyesterdayandask--he'salittlerustyinhismathskills--ifheshouldtakethiscourse.Isaid,"Wellifyoucanunderstandtomorrow'slecture--that'stoday'slecture--thenyoushouldhavenoproble
7、m."
Iwanttostartwiththeconceptofprobability.Doyouknowwhataprobabilityis?Weattachaprobabilitytoanevent.Whatistheprobabilitythatthestockmarketwillgoupthisyear?Iwouldsay--mypersonalprobabilityis.45.That'sbecauseI'mabearbut--Doyouknowwhatthatmeans?That45timesoutof10
8、0thestockmarketwillgoupandtheother55timesoutof100itwillstaythesameorgodown.That'saprobability.Now,you'refamiliarwiththatconcept,right?Ifsomeonesaystheprobabili
