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