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1、CHAPTER1RiskManagementIntroductionFinancialriskmanagementistheprocessbywhichfinancialrisksareidentified,assessed,measured,andmanagedinordertocreateeconomicvalue.IntroductionSomeriskscanbemeasuredreasonablywell.Forthose,riskcanbequantifiedusingstatisticaltoolstogenerat
2、eaprobabilitydistributionofprofitsandlosses.Otherrisksarenotamenabletoformalmeasurementbutarenonethelessimportant.Thefunctionoftheriskmanageristoevaluatefinancialrisksusingbothquantitativetoolsandjudgment.IntroductionRiskthatcanbemeasuredcanbemanagedbetter.Investorsass
3、umeriskonlybecausetheyexpecttobecompensatedforitintheformofhigherreturns.Todecidehowtobalanceriskagainstreturn,however,requiresriskmeasurement.IntroductionCentralizedriskmanagementtoolssuchasvalueatrisk(VaR)weredevelopedintheearly1990s.Theycombinetwomainideas.Thefirst
4、isthatriskshouldbemeasuredatthetopleveloftheinstitutionortheportfolio.Thesecondideaisthatriskshouldbemeasuredonaforward-lookingbasis,usingthecurrentpositions.IntroductionThischaptergivesanoverviewofthefoundationsofriskmanagement.1.providesanintroductiontotheriskmeasur
5、ementprocess,usinganillustration.2.discussedhowtoevaluatedthequalityofriskmanagementprocesses.3integrationofriskmeasurementwithbusinessdecisions,whichisaportfolioconstructionproblem.4.judgingriskmanagementcanaddeconomicvalue.1.1RiskMeasurementThefirststepinriskmanageme
6、ntisthemeasurementofrisk.Consideraportfoliowith$100millioninvestedinU.S.equities.Presumably,theinvestorundertookthepositionbecauseofanexpectationforprofit,orinvestmentgrowth.Thisportfolioisalsorisky,however.1.1.1ExampleThekeyissueiswhethertheexpectedprofitforthisportfo
7、liowarrantstheassumedrisk.Thusatrade-offisinvolved,asinmosteconomicproblems.Tohelpanswerthisquestion,theriskmanagershouldconstructthedistributionofpotentialprofitsandlossesonthisinvestment.Thisshowshowmuchtheportfoliocanlose,thusenablingtheinvestortomakeinvestmentdecis
8、ions.1.1.1ExampleDefinePastheprofitorlossfortheportfoliooverafixedhorizon,saythecomingmonth.Thismustbemeasuredinaris