CFA三级基础班Risk Management–pdf下载

Framework of Reading 40: Risk Management

Risk management process & governance

Risk types

Evaluate risk management system

Risk measurement—VAR

Additional types of VARs

Stressing models

Evaluate active risk (tracking error)

Credit risk

Manage risk

Manage credit risk

Measure risk-adjusted performance

Set capital requirements

Evaluate risk management system

1. Senior management allocates capital on a risk-adjusted basis

2. The ERM system properly identifies all relevant risk factors

3. The ERM system utilizes an appropriate model

4. Risks are properly managed

5. There is a committee in place to oversee the entire system

6. The ERM system has built-in checks and balances

VAR-Monte Carlo method

A Monte Carlo output specifies the expected 1-week portfolio

return and standard deviation as 0.00188 and 0.0125,

respectively.

Calculate the 1-week value at risk at 5% significance.

Advantage: the ability to incorporate any returns distribution or

asset correlation .

Disadvantage: The analyst must make thousands of

assumptions about the returns distributions for all inputs as

well as their correlations . The seeming sophistication of the

method can also lead to a false sense of securities (garbage in,

garbage out)

Assume we calculate a one-week VaR for a natural gas

position by rescaling the daily VaR using the square-root rule.

Let us now assume that we determine the “true” gas price

process to be mean reverting and recalculate the VaR. Which

of the following statements is true?

A. The recalculated VaR will be less than the original VaR.

B. The recalculated VaR will be equal to the original VaR

C. The recalculated VaR will be greater than the original VaR

D. There is no necessary relation between the recalculated VaR

and the original VaR

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