资金流与金融风险管理(英文版)(ppt 32页)

资金流与金融风险管理内容摘要：
Financial and fiscal risks are linked
Capital flow volatility may lead to a rising government contingent liabilities
Derivatives may lead to heightened systemic risks (see Steinherr’s book)
“Value at risk” method is important
Early warning indicators of financial crises
Short term debt should be controlled, regulated, and monitored, carefully.
“The Daily Earning at Risk for our combined trading activities averaged approximately $15million…”
J.P. Morgan 1994 annual report
VAR summarizes the expected maximum loss (or worst loss) over a target horizon (day/month) within a given confidence interval.
It allows us to estimate company-wide risks in one number and compare across different companies/markets
It is now widely used in firms and banks.
Define W0 as initial investment, R rate of return, then at the end of the day/month, W=W0(1+R). Denote the expected return as  and volatility of R as ; and the lowest portfolio value at the given confidence level c as W*=W0(1+R*).  VAR is defined as the dollar loss relative to the mean,
Value at Risk (mean)=E(W)-W*= - W0(R*- )  (1)
J.P. Morgan’s distribution of daily revenue in 1994:  Mean revenue is $5.1m, n=254.  Select c=95%, 254x5%=12.7. In the chart, we find the 5% of occurrences (15 obs) below -$9m. After interpolating, we find W*= -$9.6m
The VAR of daily revenues, relative to the mean is
VAR = E(W) – W*= $5.1m- (-$9.6m) = $14.7m  (2)
Absolute VAR=$9.6m

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