(此文仅记录学习进程,加油!)

FRM学习复习2(持续更新中..)

  • Framework框架
    • overview of risk management风险管理概述
      • framework
        • overview
          • Risk management
          • Risk management’s blame
        • What is Risk?
          • Expected loss
          • Unexpected loss
          • Risk management
        • The Risk Manager’s Job
        • Type of Risk Exposures
        • Why Not to Manage Risk in Theory?
        • Some Reasons for Managing Risk in Practice
        • Hedging Operations vs Hedging Financial Positions
        • Putting Risk Management into Practice
          • 1. Determining the objective
          • 2. Mapping the risks
          • 3. Instruments for risk management
          • 4. Constructing and implementing a strategy
          • 5. Performance evaluation
      • Corporate Governance
        • The board of directors should be
        • Management
        • The C-suits
        • Risk Management
        • Risk Governance
          • Risk Advisory Director
          • Describe Enterprise Risk Management
          • The Benefits of ERM(Enterprise Risk Management)
          • Organizational Effectiveness
          • The Role and Responsibilities of a Chief Risk Officer (CRO)
          • Problems with ERM
          • An Ideal CRO would have Superb Skills in Five Areas
          • Distinguish between Components of an ERM Program
        • Should Banks Take No Risks?
        • Should Banks Take More Risks?
          • Determining A Bank’s Risk Appetite
          • Taking Social Costs into Account
        • How Does Risk Management Destroy Value?
        • Using VaR to Target Risk
        • The Limits of Risk Measurement

(持续更新中…))

Framework框架

overview of risk management风险管理概述

framework

  1. Risk Management: A Helicopter View
    直升机视图
  2. Corporate Risk Management: A Primer
    企业风险管理入门
  3. Corporate Governance and Risk Management
    公司治理与风险管理
  4. What is ERM?
    什么是ERM(Enterprise Risk Management)
  5. Governance, Risk Management and Risk-Taking in Banks
    银行的治理,风险管理和风险承担
  6. Principles for Effective Data Aggregation and Risk Reporting
    有效数据汇总和风险报告的原则

overview

Risk management

How firms select the type and level of risk that it is appropriate for them to assume.
企业如何选择适合他们承担的风险类型和风险级别。

Risk management’s blame

Unable to prevent market disruptions or business accounting scandals.
无法防止市场中断或商业会计丑闻。
Derivative markets make it easier to take on large amount of risk.
衍生市场可以更容易地承担大量风险。
Sophisticated financial engineering played a role in obscuring the true economic condition of financial companies, and lead to the violent implosion of firm.
复杂的金融工程在掩盖金融公司的真实经济状况方面发挥了作用,并导致了公司的暴力内爆。
Allow a firm to transfer risk to other counterparty in the same market.
允许公司将风险转移到同一市场的其他交易对手。

What is Risk?

Expected loss

预期损失
Accounts for all losses that are incurred in normal times; predictable;priced into the products or by charging a certain commission or a spread.
计算正常时间内发生的、可预测的所有损失,定价到产品上或者是收取一定的佣金或点差

Unexpected loss

非预期损失
Risks are lumpy; driven by risk factors that under certain circumstances can become linked together.
风险是不稳定的。由风险因素驱动,在某些情况下这些风险因素可以相互关联。

Risk management

Don’t control and reduce EL, but manage UL;
不能控制和减少非预期损失,但可以管理预期损失
Sufficient capital to protect against UL;
充足的资本以防止意外损失
Set appropriate return from the risky activities;
从有风险的活动中获得适当的回报
Communicate with stakeholders about the firm’s target risk profile.
与利益相关者沟通公司的目标风险概况。

The Risk Manager’s Job

风险经理的工作
Role: uncover the sources of risk and make them visible to key decision makers and stakeholders.
角色:发现风险的来源,并暴露给关键决策者和利益相关者。
Produce a distribution estimate.
生成一个分布估计。
Balance risk and reward for the firm.
平衡公司的风险和回报。
Identify and measure a risk, and make it transparent to stakeholders.
识别和度量风险,并公开给利益相关者。
Balance the relationship between business leaders and the specialist risk management.
平衡业务大佬和专业风险管理之间的关系。

Type of Risk Exposures

  1. Market Risk
    市场风险
  2. Credit Risk
    信用风险
  3. Liquidity Risk
    流动风险
  4. Operational Risk
    操作风险
  5. Legal and Regulatory Risk
    法律及规管风险
  6. Business Risk
    商业风险
  7. Strategic Risk
    战略风险
  8. Reputation Risk
    声誉风险
  9. Systemic Risk
    系统性风险

Why Not to Manage Risk in Theory?

坏处
MM: the value of a firm cannot be changed by means of financial transactions.
MM:一个公司的价值不能改变通过金融交易。
Assumptions: the capital markets are perfect, competitive, no transaction costs or taxes.
假设:资本市场是完美的,有竞争力的,没有交易成本或税收。
Self-insurance is more efficient than derivatives.
自保比衍生品更有效。
Active hedging may distract management from its core business.
活跃的对冲可能从分散其核心业务的管理。
Risk management has compliance costs.
风险管理会增加成本
Risk management that is not carefully structured can drag a firm down.
不谨慎的结构化风险管理可以拖垮一家公司。
Risk management may release information.
风险管理可能会散布一些信息。
Due to the gap between accounting earnings and cash flows, hedging may increase the firm’s earning variability.
由于会计利润和现金流之间的差距,对冲可能会增加公司的收入可变性。

Some Reasons for Managing Risk in Practice

好处
The MM assumptions are not real.
MM只是假设,不是真实情况
The high fixed costs associated with financial distress and bankruptcy.
高的固定成本与财务困境和破产有关
Manager has an interest in reducing risks to achieve the board’s objectives.
管理者对减少风险已达到董事会的目标感兴趣
Volatile earnings induce higher taxation than stable earnings.
爆发收入比稳定收入需教更多的税
Hedging reduce the cost of capital and enhance the ability to finance growth.
对冲可以减少资本成本和提高财政增长的能力

Hedging Operations vs Hedging Financial Positions

对冲操作和金融
Firms should risk-manage their operations.
公司应该控制操作风险
Firms should concentrate on business areas they have comparative edge and avoid areas where they have not.
公司应该集中在业务领域在优势的领域,避免在劣势的领域
Firms should hedge their assets and liabilities.
公司应该对冲他们的资产和负债。
Hedging its B/S can gain tax advantage.
对冲其B/S可以获得税收优势。

Putting Risk Management into Practice

落实

1. Determining the objective

确定目标
Determine the risk appetite.
确定风险偏向
Types of risk to take;
风险种类
Which risk to be hedged and to be assumed;
假定会遇到哪些风险
Max losses to tolerate.
损失承受极限值
Conflict between debtholders and shareholders.
股东和债权人的冲突
Board should make clear the time horizon for risk management objectives.
董事会需明确时间范围和风控目标
Risk limits: allow management to operate within a given zone.
风险限制:一个允许风险管理干预的范围

2. Mapping the risks

映射风险
Make a record of all A and L sensitive to a certain risk factor.
记录所有A和L的风险因素
All cash flows for that risk factor can be matched.
所有现金流都能匹配上所有的风险点
Each risk on the list should be named its potential damage and the probability of its occurrence.
清单上的每一项风险都应标明其潜在损害及其发生的可能性。
Differentiate between risks that can be insured against, can be hedged, noninsurable and non hedgeable.
区分不同的风险,分为可投保、可对冲、不可保和不可对冲。

3. Instruments for risk management

风险管理工具
Natural hedge.
自然对冲。
Cost and benefit: Transferable? Insurable? Self-insure?
成本与收益:可转让?可保?自保?

4. Constructing and implementing a strategy

制定和实施战略
Static or dynamic hedging: high costs, reliable models.
静态或动态对冲:成本高,稳定模型。
Investment horizons should be consistent with performance evaluations.
投资期限应与业绩评价一致。
Consider accounting issues and tax effects.
考虑会计问题和税收影响。

5. Performance evaluation

绩效评估
Eliminate the risk.
消除风险。
Reduce earnings volatility.
降低收益波动。
Lower the transaction costs of hedging.
降低对冲的交易成本。

Corporate Governance

企业管理

The board of directors should be

董事会应该做的
comprised of a minority of independent members in order to maintain a sufficient level of objectivity with regard to making decisions and approving management’s decision.
由少数独立成员组成,以便在作出决定和批准管理层的决定时保持足够的客观性。
watching out for the interests of the shareholders, and the interests of other stakeholders, such as debt holders.
留意股东的利益,以及其他利益相关者的利益,例如债权人的利益。

Management

管理
Management may have the incentive to take on greater risks in order to maximize personal remuneration that are not consistent with the objectives of the stakeholders in terms of long-term risk levels.
管理层可能有动机去选择更大的风险以最大化个人利益,这可能不符合利益相关者的长期投资风险等级的目标。

The C-suits

The chief executive officer (CEO) would not also be the chairman of the board because there is already an inherent conflict with the CEO being on both the management team and the board of directors.
首席执行官(CEO)也不会是董事会的主席,因为CEO同时在管理团队和董事会中存在内部的冲突。
The board should consider the introduction of a chief risk officer (CRO). The CRO would technically be a member of management but would attend board meetings.
董事会应考虑设立一名首席风控官。从技术上讲,首席风控官将是管理层的一员,但将出席董事会会议。
The CRO could report to the board and/or the management team.
CRO可以向董事会和/或管理团队报告。

Risk Management

Business and risk management strategies should strive for economic performance, not accounting performance.
业务和风险管理策略应该追求经济绩效,而不是会计绩效。
The board should set up several committees to fulfill risk governance:
董事会应成立多个委员会,以落实风险管理:
Risk Management Committee
风险管理委员会
Compensation committee
赔偿委员会
Stock-based compensation is not necessarily
基于股票的补偿不是必须的
Audit Committee
审计委员会
Audit committee members are now required to be financially literate so that they can carry out their duties.
审计委员会成员现在必须具备财务知识,以便能够履行其职责。
Ethical Committee
伦理委员会

Risk Governance

风险治理

Risk Advisory Director

风控咨询总监
A risk advisory director would be a member of the board (not necessarily a voting member) who specializes in risk matters.
风险咨询总监将是专门从事风险事务的董事会成员(不一定是有投票权的成员)。
Participate in audit committee meetings to support members.
参与审计委员会会议以支持成员。
An advisory director works to improve the overall efficiency and effectiveness of the senior risk committees and the audit committee.
谘询主任负责改善高级风险委员会和审计委员会的整体效率和成效。
Participate periodically in key risk committee meetings to provide independent commentary on executive risk reporting.
定期参加重要的风险委员会会议,对执行风险报告提供独立的评论。
Risk Appetite
风险偏好
The risk appetite might set out the types of risk that the firm is willing to tolerate.
风险偏好可能会列出公司愿意容忍的风险类型。

Describe Enterprise Risk Management

概述企业风险管理
Traditionally, companies managed risk in organizational silos.
传统上,企业风险管理组织具有孤立性。(解释Silo mentality is an attitude that is found in some organizations; it occurs when several departments or groups within an organization do not want to share information or knowledge with other individuals in the same organization.)
Risks were treated separately and often dealt with by different individuals or functions within an institution.
风险通常被区分为在一个机构的不同的个人或职能。
A fragmented approach simply doesn’t work, because risks are highly interdependent.
简单的碎片化处理的方式不可行,因为风险是具有高度相互共存的
Risk monitoring is not more efficient under the silo approach.
风险监控不是更有效的单一的方案
The problem is that individual risk functions measure and report their specific risks using different methodologies and formats.
问题是,单个风险职能评估和报告特殊的风险时需要用不同的方式和格式。
In many companies, the risk functions produce literally hundreds of pages of risk reports, month after month.
在许多公司中,风险职能每月都能生成数百页的风险报告。

The Benefits of ERM(Enterprise Risk Management)

ERM is all about integration, in three ways:
ERM综合来说,有三种方式:
Enterprise risk management requires an integrated risk organization.
企业风险管理需要一个完整的风险组织。
Enterprise risk management requires the integration of risk transfer strategies.
企业风险管理需要整合风险转移策略。
Enterprise risk management requires the integration of risk management into the business processes of a company.
企业风险管理需要将风险管理集成到企业的业务流程中。

Organizational Effectiveness

组织有效性
Risk Reporting
风险报告
Business Performance
业绩

The Role and Responsibilities of a Chief Risk Officer (CRO)

首席风险官的角色及职责
Providing the overall leadership, vision, and direction for enterprise risk management;
为企业风险管理提供全面的领导、愿景和方向;
Establishing an integrated risk management framework for all aspects of risks across the organization;
为整个组织的风险的所有方面建立一个综合的风险管理框架;
Developing risk management policies, including the quantification of the firm’s risk appetite through specific risk limits;
制定风险管理政策,包括通过具体的风险限额量化公司的风险偏好;
Implementing a set of risk indicators and reports, including losses and incidents, key risk exposures, and early warning indicators;
执行一套风险指标和报告,包括损失和事故、关键的风险敞口和预警指标;
Allocating economic capital to business activities based on risk, and optimizing the company’s risk portfolio through business activities and risk transfer strategies;
基于风险将经济资本配置到业务活动中,通过业务活动和风险转移策略优化公司的风险组合;
Communicating the company’s risk profile to key stakeholders such as the board of directors, regulators, stock analysts, rating agencies, and business partners;
向董事会、监管机构、股票分析师、评级机构和业务伙伴等关键利益相关者传达公司的风险概况;
Developing the analytical, systems, and data management capabilities to support the risk management program.
开发分析、系统和数据管理能力,以支持风险管理计划。

Problems with ERM

企业风险管理的问题
In many instances, the CRO reports to the CFO or CEO—but this can make firms vulnerable to internal friction when serious clashes of interest occur between corporate leaders.
在许多情况下,CRO向CFO或ceo报告——但是当公司领导人之间发生严重的利益冲突时,这会使公司容易受到内部摩擦的影响。
One organizational solution is to establish a dotted-line reporting relationship between the chief risk officer and the board or board risk committee.
一个组织解决方案是建立虚线向CRO和董事会或风控委员会报告
Another board risk oversight option is to alter existing audit committees to incorporate risk management.
其他董事会监管选择是改变现有的审计委员会,将风险管理纳入其中。
The lack of an ERM standard is also a significant barrier to the positive development of the CRO role.
缺乏ERM标准也是CRO角色积极发展的一个重要障碍。

An Ideal CRO would have Superb Skills in Five Areas

一个理想的CRO应该具备5个方面的高超技能

  1. Leadership skills to hire and retain talented risk professionals and establish the overall vision for ERM.
    领导技能,雇佣和保留有才华的风险专业人员,建立ERM的整体前瞻性。
  2. Evangelical skills to convert skeptics into believers, particularly when it comes to overcoming natural resistance from the business units.
    福音式的技巧,将怀疑论者转变成信徒,尤其是在克服来自商业单位的天然阻力时。
  3. Stewardship to safeguard the company’s financial and reputational assets.
    维护公司的财务和声誉资产。
  4. Technical skills in strategic, business, credit, market, and operational risks.
    具有战略、商业、信用、市场和运营风险方面的技术技能。
  5. Consulting skills in educating the board and senior management, as well as helping business units implement risk management at the enterprise level.
    为董事会和高级管理人员提供咨询技能培训,以及帮助业务部门在企业层面实施风险管理。
Distinguish between Components of an ERM Program

区分ERM程序的部件
Corporate governance ensures that the board of directors and management have established the appropriate organizational processes and corporate controls to measure and manage risk across the company.
公司治理确保董事会和管理层建立了适当的组织流程和公司控制,以衡量和管理整个公司的风险。
Line management must align business strategy with corporate risk policy when pursuing new business and growth opportunities.
在寻求新的业务和增长机会时,直线管理必须使业务策略与公司风险政策相一致。
Portfolio Management: Management should act like a fund manager and set portfolio targets and risk limits to ensure appropriate diversification and optimal portfolio returns.
投资组合管理:管理人员应该像基金经理一样,设定投资组合目标和风险限制,以确保适当的多样化和最佳的投资组合回报。
Risk Transfer
风险转移
Portfolio management objectives are supported by risk transfer strategies that lower the cost of transferring out undesirable risks, and also increase the organization’s capacity to originate desirable but concentrated risks.
项目组合管理目标受到风险转移策略的支撑,这些策略降低了转移不良的风险的成本,也增加了组织良好发展的能力,但集中了风险。
Risk Analytics
风险分析
The development of advanced risk analytics has supported efforts to quantify and manage credit, market, and operational risks on a more consistent basis.
高级风险分析的发展在更一致的基础上支持了量化和管理信贷、市场和运营风险。
Data and Technology Resources
数据和技术资源
One of the greatest challenges for enterprise risk management is the aggregation of underlying business and market data.
企业风险管理面临的最大挑战之一是集合潜在的业务和市场数据。
Stakeholder Management
利益相关者的管理
Risk management is not just an internal management process. It should also be used to improve risk transparency in a firm‘s relationship with key stakeholders.
风险管理不仅仅是一个内部管理过程。它还应该用于促进风险暴露给企业的关键利益相关者。
An important objective for management in communicating and reporting to these key stakeholders is an assurance that appropriate risk management strategies are in effect.
一个重要目标是,在向这些管理层的关键利益相关者进行沟通和报告时,确保适当的风险管理策略的有效性。

Should Banks Take No Risks?

银行应该不承担风险吗?
Banks cannot succeed without taking risks that are expected to have a profitable outcome.
不承担风险的话银行就不可能成功赚到钱
The goal of risk management for banks is not to eliminate or minimize risk, but rather to determine the optimal level of risk - the level that maximizes bank value subject to the constraints imposed by
regulators, laws, and regulations.
银行风险管理的目标不是消除或最小化风险,而是确定风险的最优水平,即在受到管理者、法律和法规。
A bank should take any project that is expected to earn more than its cost of capital, while taking into account the costs associated with the impact of the project on the bank’s total risk.
银行应考虑到与项目对银行总风险的影响相关的成本,同时接受任何预期收益超过其资本成本的项目。
Decisions to take on new projects and associated risks cannot be evaluated in isolation; they must be assessed in terms of their impact on the overall risk of the bank.
不能孤立的决定是否承担一个新项目和有关风险;必须根据对银行整体风险的影响来评估它们。

Should Banks Take More Risks?

银行应该承担更多风险吗?
Banks that operate with too much risk cannot conduct their business even if regulators allow them to do so because they find it hard to fund themselves.
即使监管机构允许风险过高的银行开展业务,它们也无法开展业务,因为它们发现很难为自己融资。
The market’s perception that a bank has too much risk can reduce its value by limiting its ability to attract such deposits.
市场认为银行风险太大,这可能会限制其吸引此类存款的能力,从而降低其价值。
The possibility that an unexpected downturn in a bank’s cash flow could lead to its financial distress sometime in the future should reduce the value of the bank today.
一家银行的现金流意外下滑可能在未来某个时候导致其财务困境,这种可能性应该会降低这家银行目前的价值。
Banks with very different strategies, or liability and asset structures, could well end up having very different credit ratings, and different attitudes toward risk.
拥有不同策略,或负债和资产结构的银行,很可能最终拥有不同的信用评级,以及对风险的不同态度。

Determining A Bank’s Risk Appetite

决定银行的风险偏好
The size and importance of financial distress costs-and hence a bank‘s optimal credit rating will depend on a bank’s business model and investment opportunities.
财务困境成本的大小和重要性——因此银行的最佳信用评级将取决于银行的商业模式和投资机会。
Most banks that expect to add value mainly through “traditional” activities such as deposit will choose to maintain a low-risk profile.
大多数银行希望主要通过存款等“传统”活动实现增值,选择保持低风险的方式。
By contrast, banks and other financial institutions with less reliance on deposit-gathering activities are likely to see more value in targeting a less restrictive.
相比之下,银行和其他金融机构对存款收集活动依赖程度较低的,可能更愿意将目标锁定在限制程度较低的价值更高的活动中。

Taking Social Costs into Account

考虑到社会成本
The critical difference between banks and less regulated industrial companies is the potential for bank failures to have system-wide effects.
银行与监管较少的工业企业之间的关键区别在于,银行倒闭可能会对整个系统产生影响。
Because of the role of banks in the economy and the consequences of bank failures, regulators impose restrictions on banks’ ability to take risks on the asset side and require banks to satisfy minimal capital requirements.
由于银行在经济中的作用以及银行倒闭的后果,监管机构对银行在资产方面承担风险的能力施加了限制,并要求银行满足最低资本金要求。
This of course means that banks choose their level of risk subject to external constraints. But the critical point is that such constraints do not change our earlier conclusions: namely, that there is an optimal level of risk for a bank.
当然,这意味着银行要根据外部约束来选择自己的风险水平。但关键是,这些限制不会改变我们早先的结论:即银行存在一个最佳风险水平。

How Does Risk Management Destroy Value?

风险管理如何破坏价值?
There are two fundamentally different ways that risk management can destroy value for a bank.
风险管理可以通过两种根本不同的方式破坏银行的价值。
First, it can fail to ensure that the bank has the right amount of risk.
首先,它可能无法确保银行拥有适当的风险。
Second, is by failing to exercise the right amount of flexibility when the circumstances call for it.
第二,当情况需要时,未能行使适当的灵活性。
When risk management becomes too inflexible, risk managers come to be viewed within the institution as “policemen”, obstacles to be circumvented rather than partners in creating value. Striking the right balance between helping the firm take risks efficiently and ensuring that employees don‘t take risks that destroy value is a critical challenge.
当风险管理变得过于僵化时,在机构内部,风险经理就会被视为“警察”,在创造价值方面需要规避的障碍,而不是合作伙伴。在帮助企业有效地承担风险和确保员工不承担损害价值的风险之间取得恰当的平衡,是一个关键的挑战。

Using VaR to Target Risk

利用VaR来锁定风险
To make use of VaR within this risk framework, a bank’s management would begin by translating its risk appetite into a targeted probability of experiencing losses that are expected to result in financial distress or in default.
要在这种风险框架下使用VaR,银行管理层首先要将其风险偏好转化为预期将导致财务困境或违约的损失的目标概率。
Risk management can target the bank’s VaR by setting limits on the VaRs of all the units.
风险管理可以通过对所有部门的可变价值设定限制来锁定银行的可变价值。

The Limits of Risk Measurement

风险度量的极限
Three reasons for the drawbacks of VaRs
VaRs的缺点有三个原因
First, aggregating VaR measures to obtain a firm-wide risk VaR measure is fraught with problems.
首先,汇总VaR度量以获得全公司的风险VaR度量充满了问题。
Second, VaR does not capture all risks.
其次,VaR并不能涵盖所有风险。
Third, VaR has substantial model risk.
第三,VaR具有很大的模型风险。
For most banks, however, a firm-wide VaR that is obtained by aggregating market, credit, and operational risks will not reflect all risks. Such an approach often fails to capture some core business risks that are not modeled as part of operational risk.
然而,对于大多数银行来说,通过汇总市场、信贷和运营风险而获得的全公司VaR并不能反映所有风险。这种方法经常不能捕获一些没有建模为操作风险一部分的核心业务风险。
Mistakes in correlation estimates.
估计中相关的错误。

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