FRM一级笔记

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 一.风险管理基础(50% 纯定性/理解)

1.1 The Building Blocks Of Risk Management  重点

1.2 How Do Firms Manage Financial Risk  =>衍生品 hedging

1.3 The Governance Of Risk Management  =>Bond/managers

1.4 Credit Risk Transfer Mechanisms  (一般与Bank有关）

1.5 Principles For Effecitive Data Aggregation and Risk Reporting   [ Date(Bank) ]

1.6 Enterprise Risk Management and Future Trends (ERM)

=>Portfolio Management Theory 投资组合管理理论 CAMP

=>Case 15个案例/ 2008年次贷危机

=>GARP Code Of Conduct 道德准则（简单）

1.1 The Building Blocks Of Risk Management

Risk Management Building Blocks

 Ten risk management building block:

1.the risk management process  >>流程：识别，测量，评估，管理

2.identifying risk :knows unknows  区别：是否可以测量

3.expected loss,unexpected loss, and tail loss 按损失程度划分

4.risk factor breakdown 风险因子分解（化整为零）

5.strutural change: from tail loss to systemic crisis >>量变引发质变

6.human agency and conflicts of interest >>利益冲突（有人的地方就有江湖）

7.typology of risk and risk interactions 分类&联系

8.risk aggregation 风险的整合（风险度量指标问题）

9.balancing risk and reward  风险和收益的权衡

10.enterprise management (ERM) 全面风险管理

Risk

Expected loss：( EL ) 可预期损失>>可视为成本

应对措施: 上调 price / r / reserve 准备金 

Unexpected loss：非预期损失

应对措施：capital 资本金

Tail loss：尾部风险

应对措施：Insurance 保险

Identifying risk ：knows and unknowns

风险排序：EXpected loss > Unexpected loss (知道，VaR) >Know unknows(知道但是无法测量                       【极端损失】) > Unknown and unknows(不知道且无法测量)

Risk factor breakdown and interaction  （分解）化整为零

EL=EAD x LGD x PD 违约概率

EAD：违约风险敞口

LGD：违约损失率

PD  ：违约概率（信用/收入/经济环境）

eg：EAD=100万 LGD=40% PD=20% ，  则EL=100万x40%x20%=8万

Structural change(结构性变化) :from tail risk(尾部风险) to systrmic crisis(系统性风险)  >>从量变到质变

A change in events does not oniy affect tail risk the amount of EL and unexpected loss migth change as well.   不仅影响尾部风险也可能会同时提高EL和Unexpected loss

The risk management process

1.Identify 识别：name,categorize,understand

2.Analyze 分析:rank,score,measure,quantify

3.Assess impact 评估:effects,knock-ons,repercussions

4.Manage 管理:Avoid,retain,mitigate,transfer

• Avoid risk :风险规避
• Retail risk :风险自留（在可承受范围之内）
• Mitigate risk:风险缓释（减少风险）>> 降低发生的概率和损失程度
• Transfer risk：风险转移>>对冲（套期保值）买保险

Huamn agency and conflicts of interest 代理人问题/利益冲突（有人的地方有江湖）

• First line:Business line 业务部门（前台）>>业务部门处理自己部门内部风险（要及时处理风险）
• Second line:Risk management 风控部门 （中台）>>风险管理部门处理公司企业所有风险（对公司所有部门）
• Third line: 内部审计部门（后台）定期进行审查

Typology of risks and risk interactions

corporate risks

1.Market risk 市场风险

• General market risk 系统性风险   ：外部宏因素导致                                                               
• Specific market risk 非系统性风险：有自身因素导致的风险（可通过资产充分组合分散掉）

2.Credit risk 信用风险：交易一方不履行合约义务所导致的风险

• Downgrade risk（降级风险）： 公司信用质量下降 (信用评级下调)   
•  Bankruptcy risk（破产风险）        
• Counterparty risk（交易对手方违约风险）：到期结算时有一方发生违约

3.Liquidity risk 流动性风险

• Funding liquidity risk 融资流动性风险：借不到钱（eg:雷曼兄弟）
• Market liqudity risk 市场流动性风险：市场暂时失灵，不能以合理价格买卖资产（想买买不到，                                                                  想卖卖不掉） 

4.Operational risk 操作风险：由于内控流程不完善，管理者管理不善，人的恶意行为，失误，                                                      计算机系统，外部事件，恐怖主义袭击等天灾人祸所引起的风险

• Cyber risk 周期性风险 
• Model risk 模型风险 
•  AML risk 反洗钱风险 
• Legal risk 法律风险：法律诉讼，法律变动

eg：巴黎银行（尼克李森）>>双重职能【交易员】【管理风险】>>监守自盗，做未授权交易

5.Business risk：商业风险 (客户需要，价格不确定，供应商协商，产品研发) CEO/CFO进行管理

   Strategic risk：战略风险 >>Bond 由董事会投票决定

   Reputation risk：名誉风险>>丑闻导致公司名牌/地位下降 (由董事会管理>>难量化)

【Summary】

• Each key risk demands a specific set of skills and its own philosophical approach.
• Furthermore, the risk types interact with one another so that risk flows.                                     风险是交织的>>多个风险相互影响 /  风险可以发生变动

Risk aggregation 风险加总

• Bond: duration (利率发生变动时，债券价格发生的变动),  convexity.   久期&相关性
• Option: "Greeks" contain delta(δ), theta(θ).   无法加总
• Stock: Beta(β)
• More comprehensive risk metric: VaR ( value at risk 在险值>>衡量资本金>>UL capital)          &  ES ( expected short fall>>超越VaR值的平均损>>计算尾部损失的平均值） 可加总

Value-at-Risk(VaR)>>给定期限给定概率的最大损失

1. 损失（金额/百分比）
2. 时间（1天/1周/1年）
3. 概率（95%/99%）>>置信水平

eg：5%VaR of a portfolio is 2.2million over a one-day period.

Balancing risk and reward 

RAROC=Reward/Risk  每个单位风险的收益

• Reward: after-tax risk-sdjusted expected return.
• Risk: economic capital                                                                                                              

1. Regulatory capital 监管资本 >> Rcmr+Rcor+Rcok’无分散化导致‘   
2.  Economic capital 经济资本                                                                                                  RAROC=(收入-成本-税-EL+Rec’经济资本产生的收益‘+/-Transfer) / UL
3. capital 资本金>>针对 Unexpected loss(UL)

Enterprise risk management（ERM）全面风险管理

• netury/分散化>>导致risk下降 

eg：进口部门>>-100 &  出口部门>>+100万    >>  ERM=+100万-100万=0

1.2How Do Firms Manage Financianl Risk

衍生品>>对冲

   保险>>风险Transfer

Hedging Disadvantage In Theory  缺点  理论上

• 完美市场假设

>>>在完美市场没有 transaction costs 和 税收 >> 做对冲没有意义 （在现实中有税收）

• 没有给予非系统性风险补偿 >> because 他认为非系统性风险可以通过充分分散化消除

>>>E(R)= rf + β x ' [ E(Rm) - Rf ] '    >>    '市场风险溢价’

• zero-sum game 零和博弈>>考虑所有风险因子

Hedging Disadvantage In Practice 实践上

• 使管理层偏离自己的核心业务，丢失对主要业务的关注，从而导致更大损失（玩物丧志）
• 做对冲需要许多‘specific skills’专业知识
• 对冲策略有缺陷 >> 更多损失(德国金属公司)
• 产生许多合规成本 >>【会计成本(监督成本)】【披露成本 >> 泄露商业机密】

Hedging Advantage In Practice 实践上

• 降低cash flow /return 的波动率 >> 降低资本(融资)成本 >> 增加收益 Rc = Rf + risk premium风险补偿
• 告诉‘stakeholder’利益相关者公司的治理很好【价格围绕价值上下波动】
• 有利于风控更好的达到Board的目标【高风险高收益，低风险低收益】
• 提高企业的运营能力【避免出现财务困境】
• 公司自己做风控的成本低于买保险
• 合理避税

Risk Management Road Map

• FIve Milestone：

1. Identify risk appetite 识别公司的风险偏好(Board/manager) >> 反映公司愿意承担的风险水平
2. Mapping the risk,make choices >>风险映射(测量)/策略
3. Operationalize risk appetite    制度/ ’risk limit‘ 风险限额>>每一部门承当多少风险
4. Implement 日常监督/反馈（执行）
5. Re-evaluete regulariy to caputure changes 定期评估市场环境变化 >> 政策/市场

The Role of the Board of Directors（risk management goal）

• Management and the board need to set and communication tha firm`s risk appetite
• The board may wish to implement defintive and quntitive risk limits within which management is allowed to allowed to transact at its own discretion.

Instruments for risk management 

Common instruments

1.Forword Contracts 2.Futures Contracts 3.Option Contract 4.Swap

ps: ET >> Futures & Option 

   OTC >> Forward & Swap & Option

• 动态对冲

1. δ/ρ 变化
2. 多次对冲 >>   a.效果好   b.成本高（手续费）

• 静态对冲

1. 假设市场资产的波动率&相关系数不变 【δ/ρ 不变化】
2. 一次对冲 >>   a.对冲效果差  b.成本低 

1.3 The Governance Of Risk Management

Introduction

*Corporate governance in banking has been strongly impacted by the post-crisis regulatory        response. This includes:

>Basel lll

>the U.S. Dodd-Frank Act 奥巴马出台***

>the European Supervisory Review Evaluation Process (SREP).关系审核评估流程的内容

1. 资本充足率
2. 流动性充足率
3. Asset规模 >=30Billion 欧元

 The U.S. Dodd-Frank Act

• Sttengthen the Fed.  >> Asset>=50bBillion $
• Ending too big tofail.  >> 结束大而不倒问题 FDIC(联邦存款保险公司)>>做清算
• Resolution plan. >> 自救计划
• Derivatives markets. >> 提高市场透明度（提高衍生品市场的透明度）
• The Volker markets. >> Volker规则（禁止银行做自营业务） 
• Consumer protection. >> 做消费者保护（限制银行用储户的钱从事证券业务）金融消费者保护局
• Stress testing. >> 压力测试（SIFS/SIB系统性重要金融机构）

公司治理

Audit Committee 审计委员会（负责财务审计）

Compensation Committee 薪酬委员会

Risk management Committee 风险委员会

Best  practices in corporate governance

1. Board is comprised of a majority of independent members with basic knowledge of the firm`s business and industry.  绝大多数独立董事>>不是公司高管    >1/2
2. Board watches out for the interests of all stakeholders, including shareholders and debtholders who may have somewhat differing interests.  权衡各利益相关者的利益(e.g.,政府‘拉动税收，就业’，员工‘工会’）
3. Board is aware of any agency risks and takes step to reduce them(e.g.,compensation committee).  代理人问题（e.g.,薪酬委员会>>’独立‘ 不可以是高管）
4. Board maintains its independence from management (e.g.,CEO is not the chairman of the board). 董事和高管之间要保持独立性（e.g.,CEO不能作为董事长存在）
5. Board shouid consider the introduction of a chief risk officer.  CRO 1.对公司所有风险负责 2.全面风险管理 3.可以绕过CEO/CFO向Board打小报告

Best practical in risk management

• Board shouid focus on the firm`s economic performance over accounting performance. 重视经济表现&经济实质（实质重于形式）
• Board should promote a robust risk management process within the firm (e.g., upward mobility for risk management careers). 强健有力的风险管理流程
• Board should set up an ethics committee to uphold high ethical standards within thefirm. 道德委员会
• Board should ensure that compensation is based on risk-adjusted performance. 薪酬激励机制与风险挂钩
• Board should approve all major transactions. 审批重大交易（防止利益输送）
• Board should always apply professional skepticism to ask probing and relevant questions to management.  专业的质疑态度
• Board should have a risk committee in place. The risk committee should be separate from the audit committee given the different knowledge base and skills required in each area.  需要审计部门（财报）& 风险管理委员会（风控）

Risk governance

Risk advisory directors in risk governance:

• 风险
• The firm's risk management policies.  风险管理政策
• The firm's periodic risk management reports. 定期风险管理报告
• The firm's appetite and its impact on business strategy. 偏好及其对商业战略的影响
• The firm's internal controls. 内控
• 审计
• The firm's financial statements and disclosures.财务报表和披露
• The firm's related parties and related party transactions.关联方和关联方交易 关联交易 20% SPV
• Any audit reports from internal or external audits.  内部或外部审计的任何审计报告
• 最佳实践
• Corporate governance best practices for the industry.   行业公司治理最佳实践
• Risk management practices of competitors and the industry.  竞争对手和行业的风险管理实践

Risk Governance

• Risk Advisory Director 风险咨询董事
• Risk Management Committee 风险管理委员会
• Compensation Committee 薪酬委员会
• Audit Committee 审计委员会  【重点】>>（负责审查财报的部门）

1. 对财报流程的可靠性进行确认
2. 分析分析管理的真实性
3. 对财报&非财报事项提出更高要求
4. 对审计部门的要求：专业的知识&独立的判断&诚实

1.4 Credit Risk Transfer Mechanisms >> 对象Bank

1.The traditional approaches or mechanisms to mitigate credit risk 

• Purchasing insurance from a third-party guarantor or underwriter. 从第三方购买保险
• Netting of exposures to counterparties. 多方净额结算 e.g.,A欠B100万，B欠A120万，经过净额结算后，则B只需要还A20万
•  Marking-to-market/margining.  逐日盯市/保证金
• Requiring collateral be posted. 提交抵押品
• Put option/Termination.  看跌期权/终止条约（e.g.,if公司评级小于BBB，我有权要求提前还款）
• Reassignment of a credit exposure to another party in the event of some predefined trigger.    在某些预定义的触发条件下，将信贷风险重新分配给另一方（卖出坏账）

2.Credit derivatives 信用衍生品

(1) The introduction of novel credit derivatives

>>>>Credit default swaps (CDSs).   Insurance 保险/投机

• CDS金融指的是信用违约掉期（‌Credit Default Swap）‌，‌也称为信用违约互换。‌这是一种金融衍生产品，‌属于信贷衍生工具之一，‌主要用作信用风险缓释工具。‌CDS可以被看作是一种金融资产的违约保险，‌其中债权人通过CDS合约将债务风险出售，‌合约价格即为保费。‌在CDS交易中，‌购买信用违约保险的一方被称为买方，‌而承担风险的一方被称为卖方。‌双方约定，‌如果金融资产没有出现合同定义的违约事件（‌如债务方破产清偿、‌无法按期支付利息、‌违规招致的债权方要求召回债务本金和要求提前还款、‌债务重组等）‌，‌则买方向卖方定期支付“保险费”。‌一旦发生违约，‌则卖方承担买方的资产损失

>>>>Collateralized debt obligations (CDOs).  分层/结构化

• CDO是一种创新性的衍生证券产品，‌它基于各种资产证券化技术，‌对债券、‌贷款等资产进行结构重组，‌重新分割投资回报和风险，‌以满足不同投资者的需要。‌CDO的发行较传统ABS更为快速、‌弹性，‌可以利用这一产品开发不同信用风险的债券系列，‌针对各种风险偏好的投资人。‌

>>>>Collateralized loan obligations (CLOs).      商业贷款

• b贷款抵押债券(Collateralized Loan Obligation, CLO)是将大量贷款证券化后拆分卖给不同的投资者的产品。贷款归还的利息和本金并不平均分配给所有CLO持有人，持有人被划分为不同的级别，不同级别的收益率不同，承担的风险也有所区别

(2) The advantage and disadvantage of novel credit derivatives
>Advantage

• contribute to the process of credit price discovery offer a means to monitor default risks in real time.  透明，流动性好 >> 信用价格发现
• facilitate the transfer of credit risk between two counterparties without having to sell the given position.  表外业务 >> 不需要把坏账转出
• enable fine tuning of the credit portfolio or positions.  能够微调信贷组合或头寸 (e.g.,500亿 /吃下300亿  >> 剩200亿 x CDSs spreads
• transfers that risk without incurring any funding or client management issues. 委托给第三方 避免与客户发生一些问题
• CDS price also offer a means to monitor default risks in real time. 根据CDS的保费实时监督违约风险

>Disadvantage

• the counterparties are obliged to understand the full nature of the risk transfer.  必须对风险转移机制非常熟悉
• need to understand when the contract is enforceable and when (if ever) it is not.  系统性集中风险
• issues of systemic concentration risk. 属于信用风险

The mechanics of securitization 

Securitization 定义：OTD模式，是指金融机构把所发放的货款等资产，转让给特殊目的机构进行重 新包装和证券化，以及将货款和抵押债券等债务重新打包、分割做成结构金融产品，并把收益连同相关风险通过销售转移给投资者的商业模式。

Special purpose vehicle (SPV)：在证券行业，SPV指特殊目的的载体也称为特殊目的机构/公司，其职能是在离岸资产证券化过程中，购买、包装证券化资产和以此为基础发行资产化证券，向国外投资者融资。是指接受发起人的资产组合，并发行以此为支持的证券的特殊实体。 SPV的原始概念来自于中国墙（ChineseWall）的风险隔离设计，它的设计主要为了达到“破产隔离”的目的。

(1)From buy-and-hold to originate-to-distribute.  从买入并持有（传统）到创造并分发（新型）

(2)The benefits of OTD 

(3) The erosion of OTD benefits and the issues needed to be addressed

>The erosion 腐败

• risks accumulated in the years leading up to the financial crisis. 次贷危机
• banks deviated from the OTD business model. 银行偏离了OTD业务模式（SKirt mandatory capital requirement 监管套利 ’银行自己吞下了那些MBS‘） 

>The issues 问题

• There were misaligned incentives along the securitization chain, driven by the pursuit of short-term profits. 利益分配不均 & 追短弃长（moral hazard 道德风险 ’牺牲长期利益‘）
• The risks embedded in securitized products were not transparent. 不透明 复杂
• There was poor securitization risk management. 风险管理差&失败
• There was an overreliance on the accuracy and transparency of credit ratings.  投资者看不懂>> 投资者过于相信评级

The future of credit derivatives and securitizations

1.机制没有问题，流程出现了问题（流程不善）

1.5 Principles For Effecitive Data Aggregation and Risk Reporting

Risk data aggregation 根据分析报告

•  The BCBS defines risk data aggregation as the "process of defining, gathering, and processing risk data according to [a firm's] risk reporting requirements to enable the bank to measure its performance against its risk tolerance/appetite."

Data acquisition plays an important role in model risk.

• Models depend on the quality of data because it is used to create statistical estimators of their parameters. As the adage goes: "garbage-in, garbage-out".

1. Benefits of effective risk data aggregation and reporting

• An increased ability to anticipate problems. 提高预测问题的能力
• enhances a bank's ability to identify routes to return to financial health. 确定备择方案
• Improved resolvability in the event of bank stress or failure. better able to make. 提高解决问题的能力
• strategic decisions, increase efficiency, reduce the chance of loss, and ultimately increase profitability. 增强银行的效率，降低损失 >> 目的：提高银行的收益

2..Overarching governance and infrastructure

• Principle 1

> Governance 治理 - A bank`s risk data aggregation capabilities and risk reporting practices should be subject to strong governance arrangements consistent with other principles and guidance established by the Basel Committee.   银行的风险数据汇总能力和风险报告实践应遵循与巴塞尔委员会制定的其他原则和指导相一致的强有力的治理安排   要求Board和manager重视

• Principle 2

> Data architecture and IT infratructure 数据架构和IT基础设施 - A bank design build and maintain data architecture and IT unfrastructure which fully supports its data aggregation capabilities and risk reporting practice not only in normar times but also during times of stress or crisis, while still meeting the other Principle.  一家银行设计、构建和维护数据架构和IT非架构，不仅在正常时期，而且在压力或危机时期都能充分支持其数据聚合能力和风险报告实践，同时仍符合其他原则

• Principle 3

 > Accuracy and Integrity 准确性和完整性- A bank should be able to generate accurate and reliable risk data to meet normal and stress/crisis reporting accuracy requirements. Data should be aggregated on a largely automated basis so as to minimize the probability of errors. 风险数据汇总要求具有真实准确性原则 >> 可以通过运用自动化来降低错误

• Principle 4

> Completeness 完整性 - A bank should be able to capture and aggregate all material risk data across the banking group. Data should be available by business line, legal entity, asset type, industry, region and other groupings, as relevant for the risk in question, that permit identifying and reporting risk exposures, concentrations and emerging risks. 银行应该能够捕获和汇总整个银行集团的所有重大风险数据（和风险相关的数据都要计算进去）

• Principle 5

> Timeliness 及时性 - A bank should be able to generate aggregated and up-to-date risk data in a timely manner while also meeting the principles relating to accuracy and integrity,completeness, and adaptability. 及时生成汇总和最新的风险数据

The precise timing will depend upon （取决于）：

• the nature and potential volatility of the risk being measured 被测量风险的性质和潜在波动性
• how critical it is to the overall risk profile of the bank 它对银行的整体风险状况的重要程度
• the bank-specific frequency requirements for risk management reporting, under both normal and stress/ crisis situations 在正常和压力/危机情况下，银行对风险管理报告的特定频率要求

• Princiole 6

> Adaptability 适应性 - A bank should be able to generate aggregate risk data to meet a broad range of on-demand, ad ho risk management reporting requests,（银行应能够生成汇总风险数据，以满足广泛的按需风险管理报告要求）including:

• requests during stress/crisis situations,  在压力/危机情况下的请求
• requests due to changing internal needs and 因内部需求变化而提出的请求
• requests to meet supervisory queries. 要求满足监管部门的询问

e.g.,账号i 机构号（前4个）+币种（第5，6个）+业务号+日期+流水号

• Principle 7

> Accuracy 准确性 - Risk management reports should accurately and precisely convey aggregated risk data and reflect risk in an exact manner. Reports should be reconciled and validated.风险管理报告应准确无误地传达汇总的风险数据，并准确反映风险。报告应进行对账和验证。（对报告进行检验和复核）

• Principle 8

> Comprehensiveness 完整性 - Risk management reports should cover all material risk areas within the organization. The depth and scope of these reports should be consistent with the size and complexity of the bank's operations and risk profile, as well as the requirements of the recipients.  风险管理报告应涵盖组织内的所有重大风险领域。这些报告的深度和广度应与银行运营和风险状况的规模和复杂性以及接收方的要求保持一致。（规模和复杂程度成正比）

• Principle 9

> Clarity and usefulness 清晰性和有用性 - Risk management reports should communicate information in a clear and concise manner. Reports should be easy to understand yet comprehensive enough to facilitate informed decision-making. Reports should include meaningful information tailored to the needs of the recipients.风险管理报告应以清晰简洁的方式传达信息。报告应易于理解，但足够全面，以促进明智的决策。报告应包括根据接受者的需求量身定制的有意义的信息。（根据数据的接收者对数据进行筛选）

• Principle 10

> Frequency 频率 - The board and senior management (or other recipients as appropriate) should set the frequency of risk management report production and distribution.The frequency of reports should be increased during times of stress/crisis. 董事会和高级管理层（或其他适当的接收人）应设定风险管理报告制作和分发的频率。在压力/危机期间，应增加报告的频率 >> 让高管可以对风险及时做出反应

• Principle 11

> Distribution 分发（重点：发给谁） - Risk management reports should be distributed to the relevant parties while ensuring confidentiality is maintained.风险管理报告应分发给相关方，同时确保保密。
> In summary
Effective reporting capabilities feature routine risk reports having useful information and providing preemptive analyses and dynamic features. A drill down of risk data from these reports can enable rigorous analyses across different risks and be accessed with an easy-to-use interface.  有效的报告功能包括具有有用信息的常规风险报告，并提供先发制人的分析和动态功能。从这些报告中深入分析风险数据可以对不同风险进行严格分析，并通过易于使用的界面进行访问。（‘有效报告’     ‘提供有效信息’   ‘动态性’  ‘预测性信息’  ‘易于下载（成本）’   ‘能够经得起分析’）

• Principle 12

> Review 定期审查评估性-Supervisors should periodically review and evaluate a bank's compliance with the eleven Principles above.监督员应定期审查和评估银行对上述十一项原则的遵守情况（与监管层有关）

• Principle 13

> Remedial actions and supervisory measures 补救措施和监督措施 -Supervisors should have and use the appropriate tools and resources to require effective and timely remedial action by a bank to address deficiencies in its risk data aggregation capabilities and risk reporting.  监管机构应拥有并使用适当的工具和资源，要求银行采取有效和及时的补救措施，以解决其风险数据汇总能力和风险报告方面的不足（及时修正和补救）

• Principle 14

> Home/host cooperation 合作性原则-Supervisors should cooperate with relevant supervisors in other jurisdictions regarding the supervision and review of the Principles, and the implementation of any remedial action if necessary.监管机构应与其他司法管辖区的相关监管机构合作，对《原则》进行监督和审查，并在必要时采取任何补救措施（行业协调）

本文标签： 笔记 FRM