3.Risk+Taking+A+Corporate+Governance+Perspective.pdfVIP

1-25 FRM（Financial Risk Manager）金融风险管理师 Risk Taking: A Corporate Governance Perspective 风险承担：从公司治理的角度 2-25 FRM（Financial Risk Manager）金融风险管理师 Classifications of Risks 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 3-25 FRM（Financial Risk Manager）金融风险管理师 Market Risk ?Market risk is the risk that declining prices or volatility of prices in the financial markets will result in a loss. Types Definition Absolute Risk Measured in terms of shortfall relative to the initial value of the investment and focuses on the volatility of total returns. Relative risk Measured in terms of shortfall relative to a benchmark (e.g. market index). Directional risks Involve exposures to the direction of movements in major financial Market variables. These directional exposures are measured by first order or linear approximations. Non-Directional risks Are risks that have non-linear exposures or neutral exposures to changes in economic or financial variables Basis risk The risk that the price of a hedging instrument and the price of the asset being hedged are nor perfectly correlated. Volatility risk Risk of loss from changes in actual or implied volatility of market prices. 4-25 FRM（Financial Risk Manager）金融风险管理师 Credit Risk ? Credit risk is the risk of an economic loss from the failure of a counterparty to fulfill its contractual obligations. Expected credit loss PD CE LGD? ? ? Probability of Default Credit Exposure Loss Given Default =1-Recovery Rate 5-25 FRM（Financial Risk Manager）金融风险管理师 Operational Risk ? Operational risk is the risk of loss due to inadequate monitoring systems, management failure, defective con