金融風險管理 區國强

FRM Examination 介紹 Global Association of Risk Professionals 為 1996 年成立的國際非營利組織 在 1997 年開始每年秋季舉辦一次 Financial Risk Manager (FRM) 認証考試， 迄今已成為國際財金界最權威的認証考 試之一

FRM 歷年及格人數

有關 FRM 認証的詳細介紹 網址 : 書籍： The Financial Risk Manager Handbook, 3rd edition, by Philippe Jorion (New York: Wiley, 2005)

課程 ( 考試 ) 大綱 數量分析 – 10% 市場風險衡量及管理 – 25% 信用風險衡量及管理 – 30% 操作及整合風險管理 – 25% 風險及投資管理 – 10%

數量分析 Quantitative Analysis Estimating parameters of distributions Extreme value theory; basic principles Hypothesis testing Linear regression and correlation Mean, standard deviation, correlation, skewness, and kurtosis Monte Carlo analysis Probability distributions Statistical properties and forecasting of correlation, covariance, and volatility

市場風險衡量及管理 Market Risk Measurement and Management Derivatives on fixed-income securities, interest rates, foreign exchange, equities, and commodities Emerging market risks including currency crises Identifying and measuring risk exposures Interest rate, foreign exchange, equity, and commodity risks Interest rates and bond pricing

Liquidity risk Measuring and managing corporate exposures, including cash flow at risk Risk budgeting Stress testing Valuation and risk analysis of futures, forwards, swaps, and options

Value-at-Risk: 1. Definition, delta-normal, historical simulation, Monte Carlo 2. Implementation 3. Limitations and alternative risk measures, e.g., conditional Value-at-Risk

信用風險衡量及管理 Credit Risk Measurement and Management Actuarial approach and CreditRisk+ Contingent claim approach and the KMV Model Counterparty risks: 1. exposures 2. recovery rates 3. risk mitigation techniques including rating triggers, collateral, and seniority clauses Credit derivatives

Credit migration, transition matrices, and CreditMetrics. Credit ratings Credit spreads Default probabilities Interest rates and yields Margining Netting Portfolio credit risk Settlement risk Special purpose vehicles

操作及整合風險管理 Operational and Integrated Risk Management Aggregated distributions Allocation of risk capital across the firm Analyzing special purpose vehicles and securitizations Bankruptcy Correlations across market, credit, and operational risk Definition of risk capital

Differences between market and operational VaRs Evaluating the performance of risk management systems Hedging operational risk using financial engineering Implementation risks of risk management Internal models approach for market risk (Market Risk Amendment [1996]) Insuring operational risk

Legal risk Measuring firm-wide risk Severity and frequency distributions for operational risk Types of operational risk Workflow in financial institutions

風險及投資管理 Risk Management and Investment Management Traditional investment risk management 1. Return metrics (Sharpe ratio, information ratio, VaR, relative VaR, tracking error, survivorship bias) 2. Implementing VaR 3. Benchmarking asset mixes 4. Risk decomposition and performance attribution 5. Risk budgeting 6. Tracking error 7. Setting risk limits 8. Risk of alpha transfer strategies 9. Risk management issues of pension funds

Hedge fund risk management 1. Risk-return metrics specific to hedge funds (drawdown, Sortino ratio) 2. Risks of specific strategies (fixed-income arbitrage, merger arbitrage, convert arbitrage, equity long/short-market neutral, macro, distressed debt, emerging markets) 3. Asset illiquidity, valuation, and risk measurement 4. The use of leverage and derivatives and the risks they create 5. Problems in measuring exposures to risk factors (dynamic strategies, leverage, derivatives, style drift) 6. Correlations among hedge funds and between hedge funds and other assets

教科書與參考資料書目 金融風險管理手冊 ( 第五版 ) 講義

課程進度 本課程乃整合同學們已學的統計學、財 務管理、金融市場及衍生性金融商品等 課程，為財金系學生的基本專業知識 以同學們能否吸收理解作為課程進度快 慢及內容多寡的唯一標準

課程單元 各課程單元皆包括 : 1. 該單元的預期學習目標 (Learning outcome statement, LOS) 2. 課程內容 3. 課程練習題 ( 含答案 ) ；及 4. 課後測驗題 ( 不含答案 )

評量方式 期中考 (40%) 、、期未考 (60%) 各為 25 題四選一的選擇題 使用中文翻譯的 FRM 歷年考題 及格標準 : 加權五十分 ( 期中考 X 40% + 期未考 X 60% ≧ 50 )