第一章：风险管理基础20

FRM第一章风险管理基础，历经14天的撰写，边听课边做笔记呕心沥血之作。将价值1000多元的课程整理成笔记 , 用最便宜的价格来分享给大家。

风险管理基础

• The Building Blocks of Risk Management
  • Basic of Risk Management 风险管理基本概览
    • 风险
      • 识别
        • 计量
          • 管理
    • 风险管理的原则
      • 对口银行的贷款loan
        • 风险
          • Capital就是对风险的衡量
          • 损失
            • 方法弥补
              • 预期损失
                • 银行准备金
              • 非预期损失(难把控)
                • Capital资本，股东出资
    • A. What's Risk?
      • 1. Risk arised from uncertainty regarding future losses as well as a future gains. 未来，不确定性
      • 2. Risk is not necessarily related to the size of the potential loss
        • Risk≠Loss 风险不等于损失∵风险是不确定性
        • Risks focus more on differences between results and expected 风险比较关注在结果跟预期的差异性
        • Include unexpected losses or benefits 风险包括带来非预期损失或者收益
      • 3. Risk management & Risk taking 风险管理及风险自留 (一个硬币的两面，可以两个都保留)
        • Two sides of a coin
          • Activities aimed to reduce or eliminate any entity's potential to incur expected losses 风险管理是一个范围比较大的概念，一方面，在管理预期损失和意外损失时，风险管理可以被认为是一种防御技术。另一方面，一个个体也可以考虑根据自己愿意承担的风险来赚取相对应的未来的回报。所以涉及两个方面，一个是管理风险，防止风险的发生，一个是利用风险获取收益。
            • A defensive technical
            • An opportunistic context
    • B. The Risk Management Process风险管理的过程
      • 1. Identify the risk 识别风险
        • Identify
      • 2. Quantify and estimate the risk exposures or determine appropriate methods to transfer the risks 量化或预估风险敞口或决定合适的方式来转移风险
        • Analyze
      • 3. Dertermine the collective effects of the risk exposures of the perform a cost-benefit analysis on risk transfer methods 计量风险，分析风险管理的工具是否大于成本？
        • Access Impact
      • 4. Develop a risk mitigation strategy (i.e. Avoid, Transfer, Mitigate, or Risk taking)
        • Manage
          • 做
            • Risk taking，Retain risk 自留风险
            • Risk Management风险管理
              • Risk Transfer风险转移
                • Hedge对冲(derivative market衍生品市场对冲)
                • Insure保险
              • Mitigation减缓风险(增加抵押品减缓风险)
          • 不做(Avoid)
      • 5. Assess performance and amend risk mitigation strategy as needed
        • Evaluate
    • C. Expected Loss and Unexpected Loss
      • Expected Loss (EL)预期损失
        • How much an entity expects to lose in a normal situation
        • Relatively easier to calculate
        • Viewed as one of the costs of doing business and can be priced into the products
      • Unexpected Loss (UL)非预期损失
        • How much and entity will lose out of a normal situation
        • Generally more difficult to predict because of the uncertainty involved
    • D. Risk and Reward
      • 1. Tradeoff between risk and reward
        • Higher Reward→ higher risk
        • Lower reward→ lower risk
        • Challenge for less transparency of the trade-off between risk and return 风险及收益权衡对于较少的透明度是一种挑战
      • 2. Conflict of interest利益冲突
      • 3. Rest may overstate returns
        • Bonuses base on reported profits: may overstate returns and understate risks 奖金基于报告的利润：可能夸大回报而低估风险
        • Possible solution: base on risk-adjusted returns 可能的解决方案：基于风险调整后的收益 ①Residual income= Net income- Equity Charge Equity Charge=equity capital×cost of capital △剩余收益（residual income），也叫经济利润（economic profit），此方法是从经济学角度来衡量股东投入资本带来的净利润超过资本成本的剩余收益。 ②Sharp Ratio夏普比率 E(Rp)－Rf/σp 目的是计算投资组合每承受一单位总风险，会产生多少的超额报酬 △风险调整后的收益率就是一个可以同时对收益与风险加以考虑的综合指标，长期能够排除风险因素对绩效评估的不利影响
  • Key Classes of Risk 风险分类
    • Risk
      • Financial Risk
        • Market risk
          • Equity risk
          • Interest Rate risk
          • Currency risk
          • Commodity price risk
        • Credit risk
          • Downgrade risk
          • Bankruptcy risk
          • counterparty risk
            • Settlement risk
            • Herstatt risk
          • Default risk
        • Liquidity risk
      • Non-Financial Risk
        • Operational risk
          • Anti-money Laundering （AML） risk
          • Cyber risk
          • Model risk
        • Business risk
        • Strategic risk
        • Reputation risk
    • A. Classes of Risks
      • 1. Market risk市场风险
        • Considers how changes in market prices and rates will result in investment losses 宏观经济因素变化而导致资産变化
        • 1.1. Interest Rate risk
          • Price uncertainty caused by interest rate
        • 1.2. Equity price risk
          • Price volatility of equity (general market risk / specific risk)
        • 1.3. Foreign Exchange risk (Currency) risk
          • Price uncertainty of FX
        • 1.4. Commodity price risk
          • Price uncertainty of commodity
      • 2. Credit risk信用风险(欠钱不还)
        • Refers to Loss whereby the counterparty fails to meet its financial obligation under the contract
        • 2.1. Default risk违约风险
          • Failure to meet the obligation
        • 2.2. Bankruptcy risk破产风险
          • Uncertainty of liquidation value
        • 2.3. Downgrade risk信用评级下降风险
          • The risk that creditworhiness of the counterparty might deteriorate
        • 2.4. Settlement risk结算风险
          • Counterparty refuse to fulfill obligation during settlement
      • 3. Liquidity risk流动性风险
        • 3.1. Funding liquidity融资流动性风险
          • An entity is unable to pay down or refinance debts, saisfy any cash obligations to counterparties, or fund any capital withdraws 借钱借不到
        • 3.2. Market / Trading liquidity risk交易/市场流动性风险
          • An entity is unable to buy/sell at market price quickly, or have to buy/sell at a very significant premium/discount 想买买不到，想卖卖不掉∵资産流动性差
      • 4. Operational risk 操作风险(与人相关)
        • 4.1. A wide range of "non-financial" problems: such as ①computer system problems电脑系统当机 , ②insufficient internal controls内控体系不完善, ③incompetent management管理层不称职, ④fraud欺诈, ⑤humon Error and natural disasters人为操作失误
        • 4.2. Need robust internal control system to prevent significant losses
  • Measure & Manage Risk 管理风险
    • A. Quantitative Measures定量计算风险
      • 1. (VAR)Value at risk风险价值
        • 风险价值是指在一定的持有期和给定的置信水平下，利率、汇率等市场风险要素发生变化时可能对某项资金头寸、资产组合或机构造成的潜在最大损失。 例如，在持有期为1天、置信水平为99％的情况下，若所计算的风险价值为1万美元，则表明该银行的资产组合在1天中的损失有99％的可能性不会超过1万美元。 风险价值通常是由银行的市场风险内部定量管理模型来估算。 目前常用的风险价值模型技术主要有三种： 方差－协方差法（Variance-Covariance Method）、 历史模拟法（Historical Simulation Method）和 蒙特 卡洛法（Monte Carlo Simulation Method）。 现在，风险价值已成为计量市场风险的主要指标，也是银行采用内部模型计算市场风险资本要求的主要依据。
        • 1.1. The minumum Loss that would be expected a certain percentage of the time over a certain period of time given the assumed market conditions
        • 1.2. Useful under normal market circumstances over a short period 用在正常市场上
        • 1.3. Less useful in non-normal circumstances (e.g. illiquid position) over a long period 不能用不正常市场例如流动性差的市场
        • 1.4.
      • 2. (EC)Economic capital经济资本
        • 2.1. Refer to holding sufficient liquid reserves to cover a potential loss
        • 2.2. VaR - Expected Loss= Unexpected Loss = EC
        • 2.3.
    • B. Qualitative measures定性计算风险
      • 1. Scenario analysis情景分析
        • 1.1. Takes into account potential risk factors with uncertainties that can't quantified.
      • 2. Stress testing压力测试
        • 2.1. A specific form of scenario analysis, based on stress time
    • C. Enterprise Risk Management 全面风险管理
      • An integrative approach within an entire entity, tries to integrate risk considerations into key business decisions 整体方式考虑风险
    • D. EL, UL, and Tail risks
      • 1. Expected Loss (EL)预期损失 The average Loss a position taker might expect to incur from a position of portfolio
        • These losses are not big treats because they are reasonably predictable and are already allowed for in our plans, and are priced in the products and services to the customer.(E.g., bad debt坏帐准备, spread, etc)
        • In general, EL is a Function of:
          • i. Probability of Default (PD)违约概率 The probability of the risk event occurring
          • ii. Exposure At Default (EAD)风险敞口金额 The firm's exposure to the risk event
          • iii. Loss Given Default (LGD)违约损失率 The severity of the Loss if the risk event occurs
        • EL=EAD×LGD×PD EL can be treated like a Variable cost变动成本 or Predicated expense 可预测费用 rather than a risk or uncertainty.
      • 2. Unexpected Loss (UL)非预期损失 The extent to which losses depart from the average is called the unexpected loss level
        • Generally，It is much more difficult to forecast and evaluate, and the price-in in advance due to the un-expectation involved.(E.g.: Some natural disaster unflavored events happen together and so on.) 很难预测及评估
      • 3. Structural change : from tail risk to systemic crisis结构性变化：极端损失
        • In complex system, extremely rare events can happen over long time periods. Even if the system remains structurally stable.
        • Modern risk management can sometimes applies statistical tail risk techniques, utilizing利用 a branch of statistics called Extreme value Theory(EVT) 极值理论 to help make tails more visible and to extract提取 the most useful information.
      • 4. Human agency and conflicts of interest代理人问题及利益冲突
        • Unlike most mchanical and natural systems, human systems.( Such as financial markets) are subject to constant structural change from levels such as social behavior, industry trends regulatory reforms and product innovations.
        • Conflicts of interest contains management and shareholder,debt holder and shareholder, shareholder and stakeholder. E.g., Stock based compensation helps to align the interests of executive with those of shareholders.
          • 解决利益冲突三道防线
            • First Lines: Business line that generates,owns, and manages risk
            • Second Lines: Risk managers that specialize in risk management and day-to-day oversight
            • Third Lines: Periodic independent oversight and assurance such as an internal audit.
  • Summary
    • Basic of Risk Management
      • Risk and risk management
      • Expected Loss and Unexpected loss
      • Risk and Reward
    • Key Classes of Risk
      • Market risk
      • Credit risk
      • Liquidity risk
      • Operation risk
    • Measure & Manage Risk
      • Quantitative Measures and Qualitative measures
      • EL, UL, and tail risks
      • Risk factor breakdown and interactions
• How do Firms Manage Financial Risk
  • Hedge
  • Disadvantage of Hedging对冲劣势
    • A. Disadvantages of Hedge (in theory)理论上
      • 1. Franco Modigliani / Merton Miller: (perfectly competitive capital market, no transaction costs/ tax)
        • 1.1. the value of the firm will remain constant despite any attempt to hedge risk exposures 对冲风险后公司价值还是保持不变的
        • 1.2. assumption is highly unrealistic 这些假设都是高度不合理的
      • 2. William Sharp,the capital asset pricing model (CAPM): under perfect capital markets
        • 2.1. Firms should only be concerned with systematic risk 公司应该关注系统性风险(市场风险) 对于系统性风险进行补偿
        • 2.2. Firms should not be concerned with unsystematic risk (or idiosyncratic risk) 公司不应关注非系统性风险（或特质，个别风险） 非系统性风险不补偿因为可以透过分散化组合分散风险
        • 2.3. The perfect capital market assumption is not realistic in practice, and diversification activities will result in transaction costs 如果考虑了成本就不会将非系统性风险分散掉，分散化行为会导致交易成本
      • 3. Many market participants : hedging is a zero-sum game
        • 3.1. No long term increase on a firm's earnings or cash flow.
        • 3.2. Assumes perfect capital markets and derivatives pricing fully reflects of it risk factors. 假如在完美资本市场，衍生品定价已经包含所有风险。 但如果跌的不能完全补齐，对冲没意义了
        • 3.3. Unfortunately，In practice，Derivative pricing is extremely complex and not as accurate compared And bond prices. 衍生品无法像股票跟债券定价精确，它比较复杂
    • B. Disadvantage of Hedge(ln practice)实际上
      • 1. May cause management to lose focus on the core business activities of the firm. 公司对风险管理增加会导致核心业务关心降低，
      • 2. Hedging often requires very specific skills, knowledge, research, and time. 对冲讲求专业技能，知识，研究，时间
      • 3. Using a flawed hedging strategy may result in more losses. 用了错误的衍生品策略对冲会带来更多损失
      • 4. Hedging Strategies incur compliance cost such as disclosure and accounting. 衍生品有合规成本，要披露要做账
      • 5. Use of derivative to hedge reveal operational information. 对冲会披露经营的讯息
      • 6. Hedging to decrease the variability of the firm's value may end up increasing the variability of the firm's earnings due to the difference between accounting earnings and cash flows.
  • Advantage of Hedging对冲优势
    • A. Advantages of Hedge (in practice)对冲优势
      • 1. Possibility of lowering Its cost of capital (debate or equity), leading to increased economic growth. 公司风控好，投资者要求报酬率低，公司就可以降低融资成本，增加经济增长
      • 2. By reducing the volatility of its earning /cash flows, a firm may increase debt capacity. 对冲落到公司风险中，公司现金流不确定性减少，公司变安全，更容易借债
      • 3. Fewer conditions and restrictions imposed by the lenders. 公司好，对于借款人要求限制会少一些
      • 4. An indication to the firm's stakeholders that management is doing a good job. 用了好的对冲，股东管理层会觉得你管理的好
      • 5. Allow management to control financial performance to meet requirements of the board. 管理层要求控制财务绩效可以满足董事会要求
      • 6. Hedging may result in operational improvements. 对冲提高经营
      • 7. hedging instruments such as swaps and options may be cheaper than insurance policy. 对冲工具比买保险合约便宜
      • 8. Advantage from taxation. 税收优势
  • Process of Risk Hedging对冲流程
    • A. Determining the objective : risk appetite 明确风险偏好
      • A firm must understand risk / reward goals before embarking从事 on risk management program. Goals must be evaluated and a approved by the board of directors. 目标要由董事会评估批准
        • 1. Risk appetite set by the board; The firm's tolerance,especially willingness, to accept risk and can be expressed in quantitative or qualitative statements.
          • 1.1. 定性Qualitatively indicating what risk can companies Tolerate忍受度 / Not tolerate.
            • Tolerance
              • Ability. 承担风险的能力(有钱)
              • Willingness. 承担风险的意愿(有胆)
          • 1.2. 定量Quantitatively convey表达 the maximum lose that can be tolerated such as VAR value at risk.
          • 1.3. After the stress test decides which losses are tolerable / not tolerable
        • 2. The board need to communicate with the management and set the firm's risk appetite. 董事会要跟管理层交流来设置风险偏好
        • 3. There must be a logical relationship between the firms risk appetite and its business strategy. And ensure the consistency between risk appetites and businesses strategy. 公司偏好要跟经营战略相结合
        • 4. Determining the firm's risk appetite must consider the potential conflict between debthholders and shareholders. 债权人跟股东利益冲突，债权人不希望公司冒很大风险，债权人只能拿到固定的收益。 股东希望公司冒很大风险，股东拿的是债权人剩余的收益。
          • 4.1. Debt holders are more concerned with minimum all risks because their upside potential is generally limited.
          • 4.2. Shareholders may be willing to accept a large risk in order to increase appetite returns equity returns.
        • 5. Set out the goal shoot in a clear and actionable manner.
          • 5.1. E.g,Choose accounting profit or economic profit to assess the performance. 选择会计利润或经济利润
          • 5.2. Check the short term profits or long term profit. 管理层希望短期利润，董事会股东希望长期利润
        • 6. Clarify the time horizon for any of the risk management objectives set for management. 制定达成目标时间周期
        • 7. Consider liquidity, accounting and tax implications. 考虑到流动性，税收影响
    • B. Mapping the risks 绘制描绘映射风险
      • The next logical step once management and the board have determined which risk to accept and which ones to manage. (i.e. Insurable, Hedgeable, Noninsurable, nonhedgeable) 哪个风险接受，哪个风险管理，可被对冲，可被保险，不可对冲，不可保险
      • Mapping risk could be performed for market risk, Credit risk ,Business risk and operational risk.
      • It is essential to map the relevant risks and to estimate their current and future magnitudes. 计算风险因子带来的损失，不能仅仅计算当下损失，要评估现在及未来的
    • C. Choosing instruments for risk management 选择风险管理工具
      • 1. Insured保险
        • 1.1. Find the right insurance company to Insure.
      • 2. Hedging对冲
        • 2.1. Finding the right financial instrument in financial markets, usually from an exchange or over-the-counter market.
          • Exchange traded交易所交易 : public trading, Standardized, more liquid, more transparent, regulated, default risk. (Futures,Option)
          • OTC 场外交易: Private Trading, Customized, Less liquid, Less transparent unregulated, Default risk (forward ,swap, option)
      • 3. Finding and using the right hedging instrument is a complex process that requires considerable financial market experience and technology.
      • 4. Applying appropriate methods to hedge, operational and financial risks. 用适当的方法来对冲经营风险及财务风险
        • 4.1. Price risk can be hedged by a forward or future contract. 远期跟期货合约对冲价格风险
        • 4.2. Foreign currency risk can be hedged by currency put options or currency forward contracts. 对冲汇率风险
        • 4.3. Interest rate risk can be hedged by interest rate swaps, Interest rate forward, forward rate agreement. 对冲利率风险
    • D. Constructing and implementing a strategy 构建与应用风险管理策略
      • 1. Static hedging静态对冲 hedging position is initially determined
        • 1.1. Later no longer change of position
        • 1.2. Lower hedging costs 成本低
        • 1.3. Simple but effect is poor 简单但成效差
      • 2. Dynamic hedging动态对冲 hedging positions changes with time
        • 2.1. Requiring more monitoring and rebalence 实时跟踪，再平衡
        • 2.2. Higher hedging costs(money, time, efforts) 对冲成本较高
        • 2.3. Complex but better results 比较复杂但结果较精确
      • 3. Additional hedging considerations: timeframe, additional accounting Impact, and tax issues of derivatives 还要考虑到时间围度，对于财务报表影响，税收影响
    • E. Summary
      • Disadvantage of hedging
      • Advantage of hedging
      • Process of hedging
        • Risk appetite
        • Mapping the risks
        • Choosing instruments for risk management
        • Constructing and implementing a strategy
• Corporate Governance and Risk Management
  • 风险管理嵌入公司治理
  • Best practice on Corporate Governance 公司治理最佳实践
    • 企业架构
      • 1. 股东(由股东组成，太多股东，由大股东组成董事会代理管理)
      • 2. 董事会(董事会成员也不会管理，找高管代理管理)
      • 3. 高管(层层代理导致代理问题，公司不是他的不一定会尽心尽力)
    • A. Board of directors should consist of a majority of "independent directors" 董事会成员要大量包含"独立董事"
    • B. A board members should have basic knowledge of the company's business and industry 董事会成员要对企业有基本了解
    • C. The board of directors should pay attention to the interests of shareholders 董事会确保股东利益最大化
    • D. The board directors should also balance the interests of other stakeholders (such as creditors) 董事会还要权衡公司其他利益相关者(股东，债权人)
    • E. The board should be aware of agency risks whereby management may have the incentive鼓励激励 to take on greater risks in order to maximum personal remuneration薪水, regardless of the company's long-term risk-level objectives 董事会要意识到代理人风险，高管可能因为个人薪酬绩效不论公司长期风险水平而冒着很大的风险
      • The compensation committee薪酬委员会 of the board of diretors should formulate a reasonable compensation plan for the management to make it consistent with the goal of the company and minimize "agent risk" 董事会薪酬委员会应为管理层制定合理的薪酬计划，使其与公司目标相一致，并最大程度地降低“代理风险”。
    • F. The board of directors should maintain its independence from the management. A key measure is that the CEO can not become the chairman of the boeard 董事会独立于管理层，最好是CEO就不要当董事会成员
      • CEO & CFO Chief Executive Officers & Chief Financial Officers
        • 对外CEOs & CFOs must ensure that reports filed with the SEC证监会 are accurate for publicly traded firms.
        • 对内CEOs & CFOs must affirm that disclosures provide a complete and accurate presentation of their company's financial conditions and operations
        • CEOs & Cos are also responsible for internal controls, including their design and maintenance
        • The effectiveness of a firm's reporting procedures and controls must be reviewed annually
        • The names of individuals who serve on the board audit committee are to be disclosed
        • Tips: 存档披露，准确无误。 报告流程，每年更新。 内控制定，负责到底。 审计委员，名字要记。
    • G. The board should consider the Introduction of a chief risk officer (CRO) who technically be a member of management but would attend boeard meetings 风控行业专家且列席董事会
      • CRO Chief Risk Officer首席风险执行官
        • The CRO is responsible for the design of the firm's risk management program.
        • Responsible for risk policies, analysis approaches, methodologies.
        • Able to approve and monitor risk exceeding preset limits imposed on the various business activities.
        • Have a voice in a approving new financial instruments and lines of business.
        • Liaise联系 between the board and the management.
        • Independently monitor standards on an ongoing basis.
  • Best Practice in Risk Management 风险管理最佳实践
    • A. The Board should demand in substance over form 实质重于形式
    • B. The Board should ensure sufficient upward mobility for risk management personnel 董事会确保管理层有足够的上升空间
    • C. The Board should set up ethic committee 设立道德委员会
    • D. The Board should ensure performance appraisal评价 / compensation of employees based on the adjusted risk performance and comply with company goal and shareholders' interest 董事会应根据调整后的风险表现确保对员工的绩效评估评价/薪酬，并遵守公司目标和股东利益
    • E. Board approves all major transactions after ensuing the transactions are within the company's risk appetite and the company's overall business strategy 董事会对大型交易要再确认，要保证方案在风险偏好以下，符合公司整体策略
    • F. Have the spirit of reasonable doubt and raise questions of exploration to management and related staff 要有怀疑的精神，会向管理层及相关人员提问
    • G. Set up a risk committee设立控委员会，董事会出人加CRO
      • Risk committee be separate from audit committee : different knowledge structures 风险委员会独立审计委员会(公司内审)，不同知识体系
      • But in both committee, there should be at least one board member to ensure that the committee has the ability and the will to work toward the company's goals 两个委员会至少有一个董事会成员确保管理层尽心尽力
  • Mechanisms of Risk Governance风险治理机制
    • A. Risk Advisory Director 风险咨询总监
      • 1. To help the board to quickly grasp掌握 the essence本质 of risk management 让董事会成员快速掌握风险管理的实质
      • 2. Would be a member of the board of directors but must be a risk specialist 必须是董事会成员，而且必须是风控行业的专家
        • 2.1. Attend "Risk Committee" and "Audit Committee" meetings to help improve communication efficiency 加入风控委员会及审计委员会，交流更顺畅
        • 2.2. Need regular meetings with senior management and is the liaison联系 between the board and management 常规会议董事会成员跟管理层要进行沟通联系
        • 2.3. Have a responsibility to provide training to other board members, in best practices for "corporate goverance"and" risk management " 培训其他董事会成员
    • B. Duties of "Risk Advisory Director" 风险咨询总监的义务
      • 1. Along with other board members, the following needs to be considered and analyzed:
        • 1.1. Companies risk management policy. 建立公司风险管理章程政策
        • 1.2. The company's regular risk management report. 公司常规风险报告
        • 1.3. The company's risk appetite and its impact on the company's strategy. 公司风险偏好，及风险偏好对公司策略的影响
        • 1.4. The company's internal control process. 公司内控流程
        • 1.5. Company's financial statement and external disclosure documents. 审核公司财务报表，外部披露文件
        • 1.6. Relate parties and related party transaction of the company. 公司第三方和关联方交易
        • 1.7. Internal or external audit report 检查内部外部审计报告
        • 1.8. Industry best practice in corporate governance.
        • 1.9. Competitor and industry risk management practices. 了解行业及竞争对手
    • C. Risk Management Committee
      • 1. Responsible for identifying,measuring,and monitoring financial risk.(i.e, Credit risk, market risk, liquidity risk) 识别，计量，监控，金融风险
      • 2. Approved credit facilities that are above certain limits or within limits but above a specific threshold门槛 不能超出限额
      • 3. Monitor the composition of the bank's lending and investment portfolios considering the current economic climate. 监控银行的贷入和投资组合与时俱进符合当前市场环境
      • 4. Maintain with “external audit","internal audit" and "management" of smooth communication channels. 维持三者之间顺畅交流通道
      • Senior Management Risk Committee 风险管理委员会
        • Senior Risk Committee is led directly by the CEO and typically includes the CRO, the CFO, the treasurer财务主管, Chief Compliance officer首席合规执行官,and other executives其他高管.
        • Roles and Responsibilities
          • Reports back to the board risk committee with recommendations regarding the total at risk deemed prudent for the latter's consideration and approval.
          • Establishes, documents and enforces all corporate policies in which risk plays a part.
          • Set risk limits for specific business activities and then delivered to the CRO.
          • Delegates the power to make day-to-day decisions to the CRO.
    • D. Compensation Committee
      • 1. Its main role is to discuss and approve the compensation of key management personnel. 给高管发奖金薪酬
        • 1.1. Keep independent from management.
        • 1.2. Management compensation should be consistent with goals of other stakeholders. 管理人员报酬应与其他利益相关者的目标一致。
        • 1.3. Avoid designing bonus distribution plans using short-term profits or revenue. 避免使用短期分红或收入设计奖金分配计划。
        • 1.4. Set a bonus without a guaranteed amount；Or implement工具 a bonus ceiling最高限度上限 分红设计不可以设计不固定量(做好做不好奖金一样)或者设计天花板
        • 1.5. May consider the management compensation related to risk factors. 薪水跟承担风险相匹配
          • Bonus may be deferred (or Clawback) Until the long term goals is confirmed. 奖金可以延迟或要回来
        • 1.6. Stock-based compensation is a potential solution to align management and shareholders. 基于股票的薪酬是使管理层和股东保持一致的潜在解决方案。
          • This does not completely solve the problem, because management still has the motivation to bear excessive risk,as upside potential is unlimited but its downside potential is limited. 这并不能完全解决问题，因为管理层仍然有承受过度风险的动机，变相让管理层承担更高风险，如果薪酬跟股票价格挂钩的话
      • Board Compensation committee 薪酬管理委员会
        • Compensation schemes we're structured like call option (unlimited upside and capped downside)
        • Regulation require public firms to establish a board compensation committee
        • Roles and Responsibilities
          • Set executive compensation
          • It should be aligned with the long-term Interests of shareholders and other stakeholders, as well as with Risk-Adjusted Return On Capital (RAROC)
          • It should incentivize激励 employees to take calculated,rather than reckless risk
          • Banks must address any potential distortions arising from the way they structure compensation
    • E. Audit Committee
      • 1. The audit committee should
        • 1.1. Be responsible for the accuracy of the company's financial statements and its regulatory reporting requirements. 确保财务报表准确性且满足监管机构的要求
        • 1.2. Monitor in infrastructure system (financial reports, compliance, Internal control and risk management). 监控基础设施系统(财报,合规,内控,)
        • 1.3. The internal audit team can report directly to the Audit committee. 内部审计团队向审计委员会报告
        • 1.4. The audit Committee should be independent of management. 审计独立于管理团队
        • 1.5. Should cooperate with the management and regularly communication 经常和管理人员沟通
        • 1.6. Ensure minimum (or higher) standards are implemented in areas such as compliance and risk management. 确保合规及风险管理准则是最低准则
        • 1.7. Optimize company operations in terms of efficiency. 最大化公司经营有效性
      • 2. Members of audit community committee should. 审计委员会成员应该
        • 2.1. Most have sufficient financial knowledge. Understand relevant accounting standards. (E.g., US GAAP, IFRS) Financial statements and internal controls. 有丰富的财务知识，知道相关财务准则，美国，国际会计准则，财务报告及内部制度要熟悉
        • 2.2. Should be independent and their rights should be balanced. 独立且权利分散平衡
        • 2.3. Must have a have the ability to understand the business.
        • 2.4. Have the ability to ask questions about the business.
      • Board of Audit committee 审计委员会
        • Roles and Responsibilities
          • Assessing the veracity真实 and quality of the firm's financial reporting, compliance, internal control and risk management processes
          • Compliance, with best-practice standards in non-financial matters
          • Regulatory, legal, compliance, and risk management activities also fall under the purview of the audit committee
    • F. Risk appetite and business strategy 风险偏好及公司策略
      • 1. company's risk appetites reflect risk tolerance. Especially risk-taking willingness
      • 2. Risk appetites will eventually be implemented Into the company “risk limit “.
      • 3. To ensure a risk management program combines risk appetite with business decisions. 公司风险偏好与经营决策相结合 一致性
        • 3.1. There must be a logical relationship between risk appetites and its business strategy.
        • 3.2. The business strategic planning meeting from will require "the risk management team" to join and provide advice at the beginning. 经营战略计划会议要求风险团队必须参加，且提出建议
        • 3.3. Establish a risk management infrastructure within the company. 建立风险管理基础设施
        • 3.4. Monitor the implementation of the compensation plan. 监控薪酬计划实施
    • G. Independence of Function Units. 业务功能单元的独立性。
      • 1. The various functions units within a firm are dependent on one another. 公司内的各个职能部门相互依存。
      • 2. All transaction must be recorded correctly and in the appropriate period to ensure effective risk management. 所有交易内容要记录，确保风险管理有效性
      • 3. The operations units is extremely important to all the other unite in terms of generating and maintaining the data needed to manage risk. 在搜集和维护管理风险所需的数据方面，经营部门对所有其他部门都极为重要。
  • Summary
    • Best practice in corporate governance
    • Best practice in risk management
    • Mechanisms of Risk governance
      • Risk advisory director
      • Risk management Committee.
      • Audit Committee.
      • Compensation Committee.
      • Risk appetite and business strategy.
      • Independence of function units.
• 新Credit Risk Transfer Mechanisms信用风险转移机制
  • A. Overview of credit risk transfer mechanisms 概览式了解
    • 1. The core risk exposurefor banks is credit risk 银行面临信用风险
    • 2. Traditionally,banks have taken short-term liquid deposits and provided long-term, illiquid loans. Before the new millennium千年 banks had only a limited capacity for managing credit risk exposure 传统银行低息吸储，高息放贷。千禧年之前， 银行管理信用风险敞口方式单一有限
  • B. The Introduction of novel新的 credit derivatives 新的衍生工具介绍
    • 1. In 2002, Federal Reserve Chairman Alan Greenspan spoke of a "new paradigm of active credit management." He argued that the United States banking system had withstood the 2001-2002 economic slowdown in part because it had transferred and dispersed credit exposures using novel credit derivative and securitization.
    • 2. These instruments included Credit Default Swaps(CDSs)信用违约互换 (⊕补充： ①CDs are insurance Contracts that pay off when a reference instrument defaults ②OTC CDs helped transfer credit risk in the loan book,but also generated counterparty credit risk of a systemic nature) Collateralized Debt Obligations(CDOs), and Collateralized Loan Obligations(CLOs)
      • • A. Asset-backed Securities (ABS) 资産抵押支持证券
          • Securities backed by assets such as auto loans,credit cards receivables信用卡应收账款，equipment leases 设备租赁, student loans
        • B. Mortgage-backed Securities (MBS) 房屋抵押支持证券
          • Securities backed by Mortgage
          • 将资産池风险低到高分层①Senior②mezzanine③equity
        • 对银行来说金融资产
        • C. Collateralized debt obligation (CDOs) 担保债务凭证
          • CDOs are "structured" products that banks can use to unburden their risk. 3-steps process for Cos creations
            • ①Form a diversified portfolio
            • ②Slice the portfolio into tranches
            • ③Sell tranches to investors
        • D. Collateralized Loan Obligations (CLOs) 担保贷款凭证
          • Securities backed by a pool of debt
  • C. That advantage of novel credit derivatives 新的信用衍生工具优点
    • 1. Credit derivative contribute to the process of credit price discovery (i.e., they clarify and quantify the market value for a given type of credit risk),when properly excited in a robust, liquid, and transparent market 信用价格发现，用保费来定价他的信用风险，还可以提供强健高流动透明度高的市场
    • 2. In addition to putting a number to the Default risk incurred by many large corporations, CDs prices also offer a means to monitor default risks in real time(as opposed to periodic credit rating assessments) 评级公司给公司评级有很强的延滞性，CDs价格除了为许多大公司的违约风险提供一个数字外，还提供了一种实时监控违约风险的方法（与定期信用评级评估相对）
    • 3. Credit derivatives are off-balance sheet instruments that facilitate the transfer of credit risk between two counterparies( the beneficiary whosells the risk and the guarantor who buys the risk) without having to sell the given position 信用衍生产品是资产负债表外的工具，可促进在两个对手（承担风险的受益人和购买风险的担保人）之间转移信用风险，而无需出售给定头寸
  • D. The disadvantage of novel credit derivatives 新的信用衍生工具缺点
    • 1. Each of the counterparties is obliged to understand the full nature of the risk transfer. 双方清楚了解，风险转化过程？风险性质如何？多少风险转移？触发风险定义如何？支付保费多少？双方权利义务怎样？都要详细了解
      • 1.1. E.g., How much risk is transferred,the nature of that risk, how the trigger events are defined, any periodic payment obligations, the obligations and rights for each counterparty in trigger scenarios,and so on.
    • 2. The trader also need to understand when the contract is enforceable and when (if ever), it is not. 何时合约被执行？何时不会？
    • 3. There are also issues of systemic concentration risk. 系统性集中风险
      • 3.1. Even prior to the 2007-2009 financial crisis, regulators were concerned about the relatively small number of liquidity providers in the credit derivative markets.
  • E. How credit risk transfer can be useful
    • Banks have long several ways to reduce their exposure to credit risk—both on an individual name and an aggregate basis. Such credit protection techniques include the following: 银行有很多方法可以降低信用风险敞口，有单一方法或几个方法结合，
      • 1. Purchasing insurance from a third party guarantor/ Under-writer. 买保险(要有利益关系)，CDs (不一定要有利益关系)
      • 2. Netting of exposure to counterparties. 净额结算
      • 3. Market to market / margining 保证金，逐日盯市
      • 4. Requiring collateral be posted. 要求抵押品
      • 5. Termination / put option. 提前终止合约
      • 6. Reassignment of a credit exposure to another party in the event of some predefined trigger.( E.g., a rating downgrade.) 在发生某些预定义的触发事件时（例如，评级降低），将信用风险重新分配给另一方。
  • F. The mechanics of securitization资産证券化
    • Securitization involves the repackaging of loans and other assets into news securities that can then be sold in the securities markets.
    • Securitization begins with the creation of a corporation called a Special Purpose Vehicle (SPV)特殊目的体 打包发行证券化産品
      • 1. SPV purchases loan portfolios from several banks to credit investment products. (e.g.,CLOs)
      • 2. Process
        • 2.1. It begins with the creation of a corporation called a Special Purpose Vehicle
        • 2.2. The SPV then purchase loan portfolios from several banks to create investments products( e.g.,CLOs)
        • 2.3. SPVs are mainly funded by several Classes of bonds, arranged by seniority and/or credit rating, along with a relatively small equity tranche
        • 2.4. This equity tranche股权性质贷款，which is the most junior tranche, will usually provide less than 10% of an SPV's total funding
      • 3. Benefits
        • 3.1. Risk transfer and securitization enables institution to effectively tailor poor of credit-risk exposures by facilitating the sale and rebacking of Risk.
        • 3.2. It eliminates a substantial amount of the risk (i.e., liquidity, interest rate, andcredit risk) from the originating bank's balance sheet when compared to the traditional buy-and-hold strategy
        • 3.3. It is a key source for funding consumer and corporate lending
  • G. From buy-and-hold to originate-to-distrebute 从买入并持有，到创造并分发
    • 1. Starting in the 1980s, certain banking activities shifted from the traditional buy-and-hold strategy to the new originate-to-distribute(OTD) business model.
    • 2. Credit risk that would have once been retained by banks on their balance sheets was sold， along with the associate cash flows, to investors from of ABSs invest and similar investment products. 资産负债表不停留的，因为卖掉它了，发行ABSs 或者相似金融産品
    • 3. The benefits of originate-to-distribute(OTD)
      • 3.1. Originators. 发起人：银行 Benefited from greater capital efficiency and enhanced funding opportunities, as well as lower earnings volatility (at least in the short term), because the OTD model seemingly dispersed creid risk and interest rate risk across many market players. 使银行资本滚动更加有效率，还增加额外融资机会，还降低收益波动性，有可能把债券打包发行，可以分散银行本身利率风险
      • 3.2. Investors:投资者 benefited from a wider array of investments, allowing them to diversify their portfolios and better sync their risk / return profiles with their goals and preferences. 投资者多了投资工具，分散投资组合系统性风险
      • 3.3. Borrowings benefited from the expansion of available credit and the product options, as well as from the lower borrowing costs resulting from these benefits 对于借款人来说，借款工具变多，借款成本降低
    • 4. The erosion侵蚀 originate-to-distribute(OTD) benefits.
      • 4.1. Benefits of the OTD model progressively eroded as risks accumulated in the years leading up to the financial crisis. 随着在金融危机之前的几年中累积的风险，OTD模型的优势逐渐减弱。 银行大量制造资産证券化産品，因为有资産打包将风险转给投资者，不管房屋持有人资质如何，风险累计。 最怕在房价下跌时违约风险增加，房屋持有人不想还房贷因为他贷款的价格比现在房价高，因此违约断供，投资者拿到大量法拍屋，房地产因此再次重挫，房屋持有人更不付月供了，恶性循环导致次贷危机。 MBS 价格重挫，∵价格与房屋持有人信用有关系，不还钱就一文不值。
      • 4.2. There is a consensus that it created more hazard by lowering the incentives for lenders to monitor the creditworthiness of borrowers. 银行不去监控借钱买房人的信用，银行无所谓，银行道德风险对冲较少
        • Too few safeguards were in place to offset this moral hazard.
  • H. The issues needed to be addressed. 有个问题要被强调
    • There were misaligned incentives along the securitization chain, driven by the pursuit of short-term profits. 很多人追求短期利润
      • E.g., Investor oversight was weakened by complacency, as market growth beckoned many to " let the good times roll".
      • E.g., the complexity of these instruments and a lack of understanding among investors also served as barriers to make discipline and oversight. 市场缺少监管，且没有栅栏防控措施防控
    • The risk embedded in securitization products were not transparent. 不透明
      • Investors has difficulty assessing assessing the quality of the underlying assts and the potential correlation between them. 投资者不知道真实标的资産质量，标的资産之间的相关性也无法得知
    • They were poor securitization risk management, particularly regarding the identification, assessment handling and stress testing of market, liquidity, concentration, and pipeline risks. 较差的资産证券化风险管理，特别在识别，评估，不做压力测试，流动性，集中度都不管，资金链其中一条断了就断了，管道风险
    • There was an overreliance on the accuracy and transparency of credit ratings. 太多人信赖评级机构，
      • Rating agencies failed to adequately review the granular data underlying securitized transactions and underestimated the risks of subprime CDO structuring 评级机构得不到充分的内容，会低估资産证券化风险
  • I. The future of credit derivatives.
    • While it is important to be cognizant of the potential risks posed by credit derivatives, the case favoring a thriving market in these financial instruments is compelling 虽然认识的衍生品有潜在风险，但是在新兴市场还是极有竞争力有前景
    • The paradigm of active credit management has not been replaced by a new paradigm. 目前没有其他产品被取代
    • The OTD model of banking based on the transfer and dispersion of credit risk continues to carry the promise of furthering systemic financial stability 对于银行来说分发与创造模型，可以转移跟缓释信用风险，会成为系统稳定的重要希望
  • J. Summary
    • Content
      • Overview of credit risk
      • Credit derivatives
      • Credit Risk transfer
      • The mechanics of securitization
• The Standard Capital Asset Pricing Model资本资産定价模型
  • 如何规划最优权重配比？ 研究投资组合
    • Asset allocation资産配置
      • CAL, CML
  • 定股票合理价格
    • Pricing定价
      • 合理收益率或要求回报率
        • CAPM资本资産定价模型 可以个股可以组合定价
          • Ri=Rf+β×(Rm-Rf)
            • β×(Rm-Rf)风险溢价 对系统性风险进行风险补偿
            • β sensitivity factor △Ri / △Rm 个股收益率变动与市场收益率变动之比，敏感性因子，systematic risk
  • Modern Portfolio Theory & Capital Asset pricing model
    • A. Capital Asset Pricing Model (CAPM)
      • Introduction
        • Standard Capital Asset Pricing Model(CAPM), or the one-factor capital asset pricing model
          • The simplest form of an equilibrium model E(R)....
          • The first general equilibrium Model developed
        • It is based on the most stringent set of assumptions 基于很多严格的假设
      • CAPM Assumptions前提假设
        • 1. Investors face no transaction costs when trading assets 投资者没有交易成本
        • 2. Assets are infinitely divisible 资産无限可分割
        • 3. There are no taxes 没有税
        • 4. Investors are price takers whose individual buy and sell decisions have no effect on asset's Prices 投资者是价格接受者
        • 5. Investors'utility functions 效用方程式are based solely on Expected portfolio return and risk E(R)= U+ 1/2 × A × σ² A＜0, Risk-seeking风险追求者 A＞0, Risk-averse风险厌恶者 A = 0, Risk-neutral风险中立者
          • 风险厌恶者 当风险增加时，给的风险溢价更高
            • 现代投资组合理论 效用、无差异曲线和最优组合 根据投资者对风险不同的态度，可以将投资者分为风险偏好、风险中性和风险厌恶三类。风险偏好的投资者喜欢投资结果的不确定性，在期望收益相同的投资方案中，会选择其中风险最大的。风险中性的投资者仅根据期望收益这一个指标做投资决策，不关心风险。风险厌恶的投资者并不喜欢投资结果的不确定性，更喜欢确定的收益，因此在期望收益相同的投资方案中，他们会选择其中风险最小的。 马科维茨的现代投资组合理论假设投资者是风险厌恶的。一个风险厌恶的投资者不会愿意持有一个无效的投资组合，因为投资者总可以构造出一个与该无效投资组合风险相同但预期收益率更高的投资组合，或一个与该无效投资组合具有相同的预期收益率但风险更低的投资组合。为了促使风险厌恶者购买风险资产，市场需向其提供风险溢价，即额外的期望收益率。 效用是投资带给人的满意程度。投资者更喜欢高收益和低风险的资产，因此不同资产给投资者的效用是不一样的。投资者总是选择效用高的资产进行投资。假定每一个投资者可以根据资产(或资产组合)的预期收益与风险情况对效用进行量化比较，则可得出其效用函数。 无差异曲线具有以下特点： (1)风险厌恶的投资者的无差异曲线是从左下方向右上方倾斜的。 (2)同一条无差异曲线上的所有点向投资者提供了相同的效用。 (3)对于给定风险厌恶系数A的某投资者来说，可以画出无数条无差异曲线，且这些曲线不会交叉。 (4)当向较高的无差异曲线移动时(如图12-8中，从l1向l2再向l3移动时)，投资者的效用增加。 (5)风险厌恶程度高的投资者与风险厌恶程度低的投资者相比，其无差异曲线更陡，因为随着风险增加，其要求的风险溢价更高。 使投资者效用最大化的是无差异曲线和有效前沿相切的点所代表的投资组合，这一组合称为最优组合。投资者按照这一组合进行投资可以获得最大的投资效用。
        • 6. Unlimited short-selling is allowed 可以无限制卖空资産
        • 7. Investors can borrow and lend unlimited amounts at the risk-free rate 投资者可以无限制跟银行借贷，且利息是无风险利率
        • 8. All investors have the same one-period time horizon 投资没有外部现金流，没有加仓/减仓
        • 9. All investors have homogeneous expectations 投资者都是同质的
        • 10. All assets are marketable 所有资産都是可交易的
    • B. Systematic risk & unsystematic risk 系统性风险，非系统性风险
      • Unsystematic risk个股风险
        • The risk that can be reduced or eliminated holding well-diversified portfolios and investor would not be rewarded for bearing unsystematic risk as it could be eliminated through diversification 持有分散的投资组合和投资者可以减少或消除的风险不会因承担非系统性风险而得到回报，因为可以通过分散消除
      • Systematic risk (β, Beta)系统性风险
        • The risk would not change while unsystematic risk would decrease as more diversification is made within the portfolio
    • C. Components of CAPM组成
      • E(Ri) = Rf + βi ［E(Rm)-Rf］ ①E(Ri) :Expected return on risky asset i ②［E(Rm)-Rf］:Market portfolio risk premium ③βi［E(Rm)-Rf］:beta-adjested risk premium on risky asset i系统性风险的风险补偿
      • βi : Systematical risk asset i
    • D. Capital Market Line(CML)资本市场线
      • Assuming investors have identical expectations 大盘组合就是最优组合，没人能打败大盘
        • All investors have identical efficient frontier of risky portfolio and identical optimal risky portfolio, which is the market portfolio
        • Capital market line (CML) is a special CAL that includes all possible combinations of risk-free asset and market portfolio CAL 的特例，包括无风险资産跟最忧组合构建而成 CML无风险资産跟市场组合构建而成
      • E( Rp )= Rf + E(Rm) - Rf / σM × σp E(Rm) - Rf / σM：斜率，市场组合的Sharpe Ratio夏普比率
      • 补充
        • 根据在给定风险（标准差）下选择最大期望收益率的原则， A点上方的曲线我们称为有效边界。
        • 资本配置线（CAL, Capital Allocation Line） 线上的每一点表示一个风险资产与无风险资产组成的投资组合。 由于有效边界上有无数个风险资产（组合），故我们能找到无数条 CAL。 图中标出了两条 CAL ，一条经过最小方差组合A，一条是有效边界的切线M 我们可以计算出一条 CAL 的斜率，设经过风险资产 p的 CAL 的斜率为 Sp， Sp等于 E(Rp) - Rf / σp 我们把这一比率称为报酬－波动性比率（reward-to-variability ratio）， 又称夏普比率（Sharpe Ratio）。 投资组合每承受一单位总风险，会产生多少超额报酬。 也就是说，夏普比率越高的投资组合越佳
        • 我们考察所有投资者共享同样的可投资集的情况，那么每一投资者都有相同的有效边界与无风险利率，这意味着他们通过最优化夏普利率都会持有相同的风险资产组合P 那么对于整个市场，市场组合是所有风险资产组合的加总，故这一相同的风险资产组合 M就是市场组合。 这样一条特殊的 CAL，就称为资本市场线（CML, Capital Market Line）。
    • E. Security Market Line (SML)证券市场线 用途：pricing定价 想要定出股票合理收益率，无风险收益跟系统性风险风险补偿β
    • F. Example
  • Content
    • Portfolio return and risk
    • Morkowitz efficient frontier
    • Capital allocation line
    • Assumption of CAPM
    • Capital Market Line
    • Systematic risk & unsystematic risk
    • CAPM & SML & CML
  • Applying the CAPM to Performance Measurement
    • A. Sharpe Ratio夏普比率 （每单位总风险带来的超额收益）
      • The Sharpe measure is equal to the risk premium divided by standard deviation, or total risk Sharpe Ratio= E( Rp )-Rf / σp
        • 1. A measure of excess return per unit of risk (total risk), the higher is better 衡量的是总风险∵σp 越大表示，相同风险可以获得更高收益
        • 2. Used for measuring portfolio performance that are not well diversified
        • 3. Sharpe Performance Index(SPI) 夏普业绩评估 measures the risk premium per unit of total risk
        • 4. For an under-diversified portfolio未完全分散化组合∵系统+非系统性风险, Standard deviation is widely accepted as an appropriate measure of risk
        • 5. SPI is the CML's slope (fair equilibrium compensation)
        • 6. An SPI greater than the slope of the CML, indicates a superior performance to what is expected in equilibrium. An SPI below than the slope of the CML, indicates a inferior performance to what is expected in equilibrium.
      • Example
    • B. Treynor Ratio 特雷诺比率 （每单位系统性风险带来的超额收益）
      • The Treynor measure is equal to risk premium divided by beta, or systematic risk: SML的斜率 Treynor Ratio= E( Rp )- Rf / βp
        • A measure of excess return per unit of systematic risk, the higher is better
        • Suitable for well diversified portfolio 充分分散化组合
        • Treynor Performance Index (TPI), measures the risk premium per unit of systemic risk
        • For a well-diversifed portfolio, beta is widely accepted as an appropriate measure of risk
        • Any TPI greater than E( Rm )-Rf is considered to have superior performance while a TPI below E( Rm)- Rf would indicate inferior performance E( Rp )= Rf + βp［E(Rm)-Rf］
      • Example
    • C. Jensen's alpha (α)詹森阿尔法
      • The difference between actual return and return required to compensate for systematic risk (CAPM) Jessen's alpha = α p =E( Rp )- ｛Rf + βp［E(Rm)-Rf］｝
        • Can be used to rank portfolios within peer groups 可用于对同级组中的投资组合进行排名
        • Identical rankings with Treynor ratio
        • JPI assumes investors holding well-diversified portfolios
        • If alpha is significantly different from zero and positive,then the performance of p is considered superior,while it is considered inferior of α is negative
      • Example
    • D. 对比图
    • E. Sortino Ratio (SR) 索提诺比率 （每单位下行风险带来的超额收益）
      • The Ratio of portfolio return in excess of minimum acceptable return to the semi-standard deviation 分母:半标准差，Rmin最小可以接受的收益率，有可能大于或者小于Rf,适用于Return非对称的
      • A semi-standard deviation measures the variability of only those returns that fall below the minimum acceptable return (MSD: mean squared deviation)
      • Sortino Ratio is more appropriate for a case where returns are not symmetric
      • The denominator is the downside deviation, as measured by the standard deviation of returns below the target
      • Rmin is the target of required rate of return for the investment strategy, also known as MAR or minimum accepted rate of return Rmin may be set to the risk-free rate or another hurdle rate
    • F. Tracking Error(TE) 跟踪误差
      • Standard deviation of the difference between portfolio return and the benchmark return TE= σ( Rp - RB ) Rp : 投资组合收益率 RB : 基准利率
    • G. Information Ratio (IR) 信息比率
      • The residual return of managed portfolio relative to its benchmark divided by the tracking error 主动收益除主动风险，可以衡量基金经理的能力 Information Ratio= E(Rp)-E(RB) / σep = αp / σep
      • IR is a active return relative to the benchmark portfolio divided by the Standard deviation of the active return, where the active return is Rp-RB
      • Example
    • H. Content
      • Sharpe Ratio
      • Treynor Ratio & Jensen's alpha
      • Sortino ratio
      • Tracking Error & Information ratio
• The Arbitrage Pricing Theory (APT)and Multifactor Models of Risk and Return套利定价模型，多因素模型
  • 课前引导
    • Return generation
      • 均衡模型
        • CAPM : E(Ri)=Rf+β(E(Rm)-Rf)
        • APT：E(Rp)= Rf+ βp1×λ1 + βp2×λ2 + βpnλn
        • 与CAPM相似，风险因子更加全面 原本对一个风险进行风险补偿，现在对多个风险 λ：Risk premium
      • 回归模型
        • Ri= α +β×Rm +εi
        • Ri- Rf =α +β(Rm-Rf) +εi
        • One factor单因素模型
        • Multifactor factor多因素模型
          • Ri = E(Ri)+βi,1 λ 1 + βi,2 λ 2 + εi
            • ①βi,1 : 对于GDP的敏感程度 ②λ1：真实跟估计的差距就叫surprise，λ就是对于surprise的风险补偿，(actual GDP% -expected GDP%) ③βi,2 : 对于inflation rate 敏感性程度 ④λ2: (actual inflation rate % - expected inflation rate%) ⑤εi: 个别风险，其他风险带来的风险补偿
  • A. Task任务
    • Describe the inputs, including factor betas, to a multifactor Model.
    • Calculate the expected return of an assets using a single-factor and a multifactor model
    • Describe properties of well-diversified portfolios and explain the impact of diversification on the residual Risk of a portfolio
    • Explain how to construct a portfolio to hedge exposure to multiple fators
    • Describe and apply the Fama-French three factor Model in estimating asset returns
  • B. Single-factor model单因素模型
    • A single-factor models is a special multi-factor Model that has only one Risk factors
      • Ri = E(Ri) + βF + ei
        • Ri: return on asset i
        • E(Ri) :expected return on asset i
        • βi : beta for the only Risk factor on asset i
        • F:deviation of the factor from its expected Value(surprise)
        • ei : firm-specific return for asset i
  • C. Multi-factor model多因素模型
    • Multi-factor models can be used to measure asset return and manage exposure to economy-wide Risk factors (systematic Risk) such as GDP, inflation,etc
      • Ri = E(Ri)+βi,1 F1 + βi,2 F2 +βi,j Fj +ei
        • Ri : Return on asset i
        • E(Ri) : Expected return on asset i
        • βi,j : beta for factor j on asset i
        • Fj : deviation of factor j from its expected Value (surprise)
        • ei : firm-specific return for asset i
  • D. Arbitrage Pricing model (APT) 套利定价模型
    • A linear Model with multiple systematic risk factors (GDP,Inflation,business cycle, Interest rate,etc.)
      • E(Rp) = Rf + βp,1(λ1) + βp,2(λ2) + βp,k(λk)
        • βp,k : the sensitivity of the portfolio to factor k
        • λk :the factor risk premium for factor k; or the risk premium for a pure factor portfolio for factor k
        • Pure factor portfolio : a portfolio with sensitivity of 1 to factor k and sensitivity of 0 to all other factors
  • E. That assumptions under the APT model
    • 1. Security returns can be described by a factor model 可以用因素模型来解释
    • 2. There are sufficient securities to diversify away idiosyncratic risk (unsystematic risk) 充分分散化组合定价
    • 3. Well-functioning security markets do not allow for the persistence of arbitrage opportunities 无穷无尽套利到达均衡的机会
  • F. CAPM vs APT
    • CAPM ①单因素模型②均衡模型③解释效率低
      • The CAPM asserts that the expected return on any asset is determined by its exposure to only one systematic risk factor (market risk)
        • The risk exposure in the CAPM is known as beta
      • It is a single-factor model(market Index is the only Variable)
      • It is equilibrium model to estimate expected rate of return
      • Empirically, the explanatory power is relatively low
    • APT①无套利机会②多因素模型③效率提高但不明确
      • APT assets: expected returns are determined by its exposures to one or more systematic risk factors
        • The risk exposures in the APT are known as factor betas
        • CAPM can be regarded as a special case of APT
      • APT only assumes that there are no arbitrage opportunities
      • It is a multifactor model (several different indices can be used to explain the variation in expected rates of return)
      • APT doesn't say which of these factors adds to the explanatory power of the relationship
      • APT can be used to decompose the factors' respective contributions to the expected return
      • APT can use the realized historical average return
      • Unlike capm, APT does not assume investors hold efficient portfolio and does not assume risk aversion
      • APT can help to facilitie risk analysis
  • G. ③Fama-French three factor model （CFA二级）
    • The Fama-French three-factor model incorporates the systematic factors of market Index, firm size (market capitalization) and book-to-market Ratio:
      • Ri-Rf = αi + βi,m( Rm-Rf) +βi,SMB (SMB) +βi,HML (HML) +ei
        • SMB :Small Minus Big (Size factor) 公司规模的补偿 i.e., The return of a portfolio of small stocks in excess of the return on a portfolio of large stocks
        • HML :High Minus Low (Value factor) 公司风格的补偿 i.e., The return of a portfolio of stocks with a high book-to-market帐面价值除市值比 Ratio in excess of the return on a portfolio of stocks with a low book-to-market Ratio.
        • ei : The residual return of asset i after controlling for the three factors
      • ③+② Five-factor model (Adding two additional factors)
        • Robust Minus Weak (RMW), 盈利能力高减低 which is the difference between the returns of companies which high (robust) and low (weak) operating profitability
        • Conservative Minus Aggressive (CMA)保守投资收益率—激进投资收益率 Which is the difference between the returns of companies that invest conservatively and those that invest aggressively
      • ③+②+①Carthart (Adding one factor)
        • Carthart(1997) include a momenturn factor (MOM),which is the difference between stocks that have risen in value over the prior month (i.e, winners) versus those that have fallen in value (i.e, losers)
  • H. Content
    • Multifactor(single-factor) Model
    • Arbitrage Pricing Theory
    • Fama-French Three-Factor Model
• Principles for Effective Risk Data Aggregation and Risk Reporting数据加总数据报告最佳原则
  • Risk Data Aggregation and Risk Reporting
    • Task
      • Explain the potential benefits of having effective risk data aggregation and reporting
      • Describe key government principles related to risk Aggregation and risk reporting practices
      • Identify the government framework, risk data architecture and IT infrastructure features that can contribute to effective risk data aggregation and risk reporting practices
      • Describe characteristics of a strong risk data aggregation and risk reporting practices
      • Describe characteristics of effective risk reporting practices
      • Ascribe the role that supervisors play in the monitoring and implementation of the risk data aggregation and reporting practices
    • Risk Data Aggregation数据加总
      • A. Definition of risk data aggregation
        • Defining, gathering, and processing risk data according to the bank's risk reporting requirements to enable the bank to measure its Performance against its risk tolerance / appetite 定义，收集，处理数据根据银行报告要求，根据风险忍耐程度及偏好计算业绩
      • B. Benefit of effective risk data aggregation 数据加总好处
        • An increased ability to anticipate problems 预测问题风险能力提高
        • Identify routes to return to financial health 确定恢复财务健康的途径
        • Improved resolvability in the event of bank stress or failure 在出现银行压力或破产的情况下提高了可解决性
        • Increase efficiency, reduce the chance of Loss, and ultimately increase profitability 增加有效性，降低损失可能性，最终增加活起来的概率
      • C. Key governance principles
        • Principle1-Governance
          • A bank's risk data aggregation capabilities and risk reportingShould.
            • Be subject to strong government arrangements consistent with the other principles and guidance established by the Bessel Committee. 满足巴塞尔协议，银行报告必须成文，出现新产品跟并购要重新做风险评估，董事会跟管理人员要了解自己风险数据整合，了解自己数据整合局限性
            • Be part of the bank's overall risk management framework.
        • Principle 2-Data Architecture and Infrastructure 数据架构和基础架构
          • A bank should design, build and maintain data architecture and IT infrastructure which fully supports its risk data aggregation capabilities and risk reporting practices not only in normal times but also during times of stress of the crisis，while still meeting the other Principles. 数据跟计算机要经得起数据冲击分析
      • D. Characteristics of strong risk data aggregation capability.
        • Principle 3— Accuracy and Integrity数据来源可靠
          • 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 minimize the probability of errors. 银行应该能够生成准确而可靠的风险数据，以满足正常和压力/危机报告准确性要求。 数据应在很大程度上基于自动化的基础上进行汇总，以最大程度地减少出错的可能性。
        • 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 groups,as relevant for the risk in question, that permit identifying and reporting risk exposures, concentrations and emerging risk. 银行应该能够捕获并汇总整个银行集团的所有重大风险数据。 应当根据业务，法人，资产类型，行业，区域和其他与所讨论的风险相关的组提供数据，以允许识别和报告风险敞口，集中度和新出现的风险。
        • Principle 5-Timeless. 及时性
          • A bank should be able to generate aggregate and up-to-date risk data in a timely manner. The precise timing will also depend on the bank-specific frequency requirements for risk management reporting, under both normal and stress / crisis situations. 银行应该能够及时生成汇总和最新的风险数据。 在正常情况和压力/危机情况下，准确的时间安排还取决于银行针对风险管理报告的特定频率要求。
        • Principle 6-Adaptability. 可适应性
          • A bank should be able to generate aggregate risk data to meet a board range of on-demand, ad hoc risk临时风险 management reporting requests, Including requests during stress / crisis situations requests due to changing internal need and requests to meet supervisory queries 银行应能够生成汇总风险数据，以满足董事会的一系列按需，临时风险管理报告请求，包括因内部需求变化而导致的压力/危机情况下的请求以及满足监督查询的请求
      • E. Characteristics of effective risk reporting practices
        • 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，准确地传达汇总的风险数据，并以准确的方式反映风险。 报告应进行核对和验证。
        • Principle 8-Comprehensiveness. 综合性
          • 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收款人 风险管理报告应涵盖组织内的所有重大风险领域。 这些报告的深度和范围应与银行业务的规模和复杂性以及风险状况以及收款人的要求相一致。
        • Principle 9-Clarity and usefulness. 有用简短
          • Risk management reports should communicate information in a clear and concise manner. Reports should be easy and understand yet comprehensive enough to facilitate informed decisions making. Reports should include meaningful information tailored to the needs of the recipients. 风险管理报告应以简明扼要的方式传达信息。 报告应该简单易懂，但要足够全面，以利于做出明智的决策。 报告应包括针对接收者需求的有意义的信息。
        • Principle 10-Frequency. 频繁
          • The board and senior management (or other receptions and appropriate) should set the frequency of risk management report production and distribution. The frequency of the report should be increased during times and stress / Crisis. 董事会和高级管理人员（或其他招待会和适当的人员）应设定风险管理报告的产生和分发频率。 报告的频率应随时间和压力/危机而增加。
        • Principle 11-Distribution. 分配性
          • Risk management report should be distributed to the relevant parties while ensuring confidentiality is maintained. 风险管理报告应分发给有关各方，同时确保机密性。
      • F. Roles of Supervisor监管机构
        • Principle12-Review审查
          • Supervisors should periodically review and evaluate a bank's compliance with the eleven Principle above 银行主管要定期检查评估合规情况。
        • Principle 13-Remedial actions and supervisory Measures 补救措施，监管行为
          • Supervisory 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 practices. 针对主管人员要有合适工具和资源，采取补救措施，及时解决企业风险整合，资料披露的问题。
        • Principle14- Home/Host cooperation当地合作
          • Supervisors should cooperate with relevant supervisors in other jurisdiction管辖领域 regarding the supervision and review of the principles,any implementation of any remedial action if necessary
    • Risk Reporting
• Enterprise Risk Management and Future Trends企业风险管理与未来趋势
  • A. Introduction of ERM全面风险管理介绍
    • Traditional risk management. 传统型风险管理
      • Different risk types are management managed separately by specific departments. 各扫门前雪
        • Trading department is responsible for managing market risk.
        • Loan department is responsible for credit risk.
        • Management is responsible for managing business risks.
        • Other risks. (e.g. Actuary is responsible for insurance risks).
      • Insufficiency of traditional methods 传统方法不足够
        • Different risks may be offset by each other. 风险与风险之间可以互相抵消
        • Neglecting this Interdependencies leads to inefficient risk management. 忽略这种相互依赖性会导致低效的风险管理。
        • Management can not get a full picture of the company's risks. 风险管理无法得到公司的全局风险
      • In view of the above shortcomings the centralized management of risks enables companies to significantly increase the efficiency of managing risks. 鉴于上述缺点，风险的集中管理使公司能够显着提高风险管理的效率。
  • B. Motivations for implementing ERM. 实施全面风险管理动机
    • Benefits of implementing ERM 全面风险管理的好处
      • Organization more efficient
      • The risk report more effective
      • Business performance better
    • Cost of implementing ERM 全面风险管理的成本
      • Capital-intensive projects 资本密集型业务(要大量资源整合)
      • Labor-intensive projects 人力资本
      • The process may be time-consuming and require sustain board and executive support 消耗大量时间及董事会高管支持
    • 1. Achieve a unified risk organization and improve overall efficiency. 完整的风险组织提高管理有效性
      • 1.1. Risk management units→ CRO→ CEO / Board. 往上汇集汇报
      • 1.2. Considers relationships / Interdependencies of different risks. 高层考虑到各个部门的的相关性
    • 2. Achieve a unified risk transfer and better risk reporting mechanism机构 统一的风险转移，更好的作为风险报告机制
      • 2.1. Avoid over-hedging 风险过度对冲
      • 2.2. Avoid a contradictory reporting. 避免相互矛盾的报告
      • 2.3. Enables board and management to fully understand all risks and hedges. 董事会管理层对所有风险对冲要理解
    • 3. Achieve business process integration and improve business performance 达到公司业务流程整合
      • 3.1. Better capital allocation,efficient allocation of resources
      • 3.2. Reduction in overall Loss, increase in overall revenue. 降低总损失提高收入
  • C. Role and Responsibilities of CRO
    • The CRO is the top-level executive执行权 responsible for the overall risk management in a centralized role. 负责全面风险管理
      • Reporting to the CROs, usually the persons in charge of various risk functions, Including the person in charge of the credit, market, operations and insurance risks. 风险搜集报告CRO，掌管很多风险部门
      • CROs provides comprehensive leadership, vision and direcation for ERM and sets out a Management policy framework that includes identifying the overall risk appetite of the firm. CRO提供完整领导力，对ERM的决策，建立风险管理政策，方向，包括识别整个公司的风险偏好
      • CROs usually report to the CEO or CFO in the company hierarchy等级制度. However, the CROs Also need to report to the board to prevent management from cheating the board.
        • Solution: establish a dotted虚线 reporting line between CRO and the board. CRO直属上级CEO,CFO实线
      • In general, CROs need to be experienced in risk management and establishing a separate monitoring function may be more effective. 建立独立分散监控体系，更有效率
  • D. Components of ERM ERM组成部分
    • 1. Corporate governance. 公司治理
      • 1.1. Management and board of directors define the company's risk appetite, risk and loss tolerance. 董事会与高管同时确立风险偏好及风险容忍度
      • 1.2. Management should ensure company has required risk management skills / organizational structure. 管理层确保公司具备风控能力及组织架构
      • 1.3. Ability to successfully integrate key risk into an ERM project. 有能力把所有重要风险整合在一起，要考虑风险之间的相关性
      • 1.4. Clearly defining roles of the risk management organization / roles and responsibilities of risk officers. 清晰的给风险管理职责定义，风险管理部门的用途
      • 1.5. Ensure audit compliance and monitoring goals and so on. 确保审计合规监控目标是否完成
    • 2. Line management. 经营线性管理
      • 2.1. Describes the management of activities directly related to the products and services of manufacturing enterprises. 风险管理活动直接和産品及服务相关
        • Appropriate due diligence尽职调查 to decide which risk can be accepted without management or board approval. 进行适当的尽职调查，以决定无需管理层或董事会批准即可接受的风险。
        • Include cost of risk capital and expected losses in decisions about product Pricing / investment returns. 在有关产品定价/投资回报的决策中包括风险资本成本和预期损失。
    • 3. Portfolio management. 投资组合管理
      • 3.1. Integrate risk exposures / Partially usually offset risks through "Diversification of the risks". 风险敞口整合管理，风险与风险之间有分散化的效果
      • 3.2. Integrate risks into a comprehensive ERM process to optimizes a business risk / return. 将风险集成到全面的ERM流程中，以优化业务风险/回报。
    • 4. Risk transfer. 风险转移
      • 4.1. How to transfer unintended risks. 如何转移不想承担的风险
      • 4.2. If external management is cheaper, transfer the risks to the third party. 如果外部风险比较便宜，转移到第三方管理风险(保险公司)
      • 4.3. Natural hedging could also be incorporated. 自然对冲也可以纳入
    • 5. Risk analytics风险分析
      • 5.1. Use quantitative method to measure, analyze the report risk exposure. 用定量方法计算分析报告风险敞口
      • 5.2. Through risk analysis，find the best way to reduce risk exposure. 通过风险分析找到最佳方式降低风险敞口
    • 6. Data technology and resources. 数据技术资源
      • 6.1. How to improve the quality of risk data. 如果提高风险数据质量
      • 6.2. Incorporate different system data into firm's ERM program. 不同系统数据嵌入ERM模型中
    • 7. Stakeholder management. 相关利益人管理
      • 7.1. Communicates company's internal risk management processes to external stakeholders. 经常与外部利益相关者交流公司内部管理流程
      • 7.2. Communication with "stakeholders" must be transparent, reliable, prudent and regularly updated with a list of "key risks". 跟利益相关者交流要保持透明，可靠，谨慎，时常更新特别是重要风险
  • E. The five dimensions of ERM五个维度
    • 1. Targets目标
      • 1.1. Include the enterprise's risk appetite and how it relates to its strategic goals. 风险偏好与风险战略相一致
        • Risk appetite is linked to operational mechanism ,such as global limit frameworks and incentive刺激，优惠 compensation schemes计划 风险偏好与运营机制相关
        • E.g., Enterprise risk appetite, enterprise limit frameworks, risk-sensitive business goals skills and strategy formulation.
    • 2. Structure架构
      • 2.1. The organizational structure of ERM program, includs the role of the board, the goal risk committee and other risk committees, the CRO, and the corporate government framework. ERM 组织架构包括董事会，风险管理委员会，CRO, 公司治理框架
        • E.g., risk officer,ERM subcommittee; reporting lines for ERM, reporting structures.
    • 3. ERM strategies策略
      • 3.1. Firms also need to articulate specific strategies for managing enterprise-scale risks at either the enterprise level or through the business lines. 公司还需要制定具体策略，以在企业级别或通过业务部门管理企业规模的风险。
        • This includes the fundamental decisions to avoid, mitigate or transfer risks,along with the choice of enterprise risk transfer instruments. 这些决策包括规避，缓释，转移，自留，这些都可以实施的策略
          • E.g.,Enterprise risk transfer instruments,enterprise monitoring of business line.
    • 4. Identification & Metrics 识别与数据
      • 4.1. The firm should identify enterprise- scale risks and meaure their severity, impact, and (ideally) frequency (discussed in this chapter). 公司应确定企业规模的风险并衡量其严重性，影响和（理想情况下）发生的频率（在本章中讨论）。
        • E.g., Enterprise-level scenario analysis, stress tasting, aggregate risk measures such as VAR, total-cost-of-risk methodologies, risk specific metrics and whole-of-firm risk mapping and flagging mechanisms. 定量定性一起，成本风险方法论，特殊风险指标，整个公司风险映射，预警机制
        • The goal of ERM is to make sure the firm has the right family of metrics to capture enterprise risks. ERM目标要确保，公司已经覆盖所有风险
    • 5. Culture文化
      • 5.1. If targets, structure, and metrics are bones of the ERM strategy,then culture is the flesh and blood
        • A strong risk culture is built from a pervasive sense of common goals,practices,and behaviors 强大的风险文化是建立在普遍的共同目标，实践和行为意识之上的
        • E.g., accountability for key enterprise risks, openness and effective challenge, risk-aligned compensation,staff risk literacy,whistle-blowing mechanisms
  • F. Risk culture expressed form
    • 1. Internal culture indicator内部文化指标
      • 1.1. Accountability可靠性
      • 1.2. Effective communication and challenge有效的交流及勇于挑战
      • 1.3. Incentive激励措施
      • 1.4. Tone from the top上层领导的带领的正向作用
    • 2. External factors外部文化指标
      • 2.1. Economic cycles经济周期
      • 2.2. Professional / Regulatory Standards and industry practices规章制度及行业实践
      • 2.3. Country risk / corruption indices and so on国家风险及贪污腐败指数
  • G. Challenges to the risk culture好的文化带来的挑战
    • 1. The application of indicators运用许多指标，量化指标衡量文化很困难
      • 1.1. Risk indicators that can be used to prove the firm is steadily improving risk culture. But it's a lot easier to manager (or manipulate) an indicator than it is to manage risk culture 可以用来证明公司在稳步改善风险文化的风险指标。 但是，管理（或操纵）指标比管理风险文化要容易得多。
    • 2. Risk culture education风险文化教育
      • 2.1. It does not work well even firms educate the enterprise languages of risk by defining risk management terms, concepts, and common procedures as well as key ERM roles已定型难约束
    • 3. Time and space
      • 3.1. Risk culture mainly formed in the local business lines, rather than at enterprise level (empirical evidence) and the change over time is difficult to judge 企业文化很难统一，受到直属上级影响，
    • 4. Culture cycle
      • 4.1. It is only during times of stress that the enterprise's real risk culture becomes visible 压力大凝聚力达大
    • 5. Curse of data数据诅咒
      • 5.1. How to hunt warning signs in such large data sets 数据很难表现企业文化的好坏
  • H. Scenario analysis: ERM's sharpest blade 情景分析是ERM最锋利的宝剑
    • Scenario analysis involves imagining a whole scenario, developing a coherent narrative that explains why the variables change, and assessing the effects of this on the firm's risk portfolio
    • While scenario analysis May be entirely qualitative, the financial industries increasingly build sophisticated quantitative models to assess the impact of each scenario on their portfolios and businesses
  • I. Content
    • Definition of ERM
    • Motivation for implementing ERM
    • Role and Responsibilities of CRO
    • Components of an ERM
    • The five dimensions of ERM
    • Scenario analysis
• Learning From Financial Disasters
  • 故事，起因，经过，结果，包含的风险，吸取的教训，策略名字
    • 拿分重点项目
  • Interest rate risk利率风险(银行) 方法→久期匹配，债券免疫
    • Mitigate interst rate risk
      • Firms must manage their balance sheet structure such that the effect of any interst rate movement on assets remains highly correlated with the effect on liabilities
      • The correlation can be partially using classical Duration matching tools. E.g., interest rate derivative products such as caps,floors, and swaps 久期匹配衍生品工具管理
      • E.g., The US Saving and Loan industry in the 1980s(S&L industry)美国存贷协会 低息吸储，高息放贷
        • Case briefing事件简要
          • The US S&L industry prospered throughout most of the twentieth century thanks to regulations governing interest paid on deposit (i.e.,Regulation Q) and an upwardsloping yield curve Q项规定限制存款利率，向上收益曲线，时间越长收益率越高
            • In the banking industry's vocabulary, S&Ls simply had to "ride the yield curve" to make money利率曲线骑乘
          • Rising inflation in the late 1970s prompted the FED to implement a restrictive monetary policy,which led to a significant increase in interest rates 由于1970时期高通膨率，央行实施紧缩性货币政策，加息存银行，存贷机构成本端增加，收益端不变，存贷利差减少
          • The increase in short-term reates push up funding costs for S&Ls, wiping out the interest rate spread they depended on for their profit margin 短期资产的增加推高了S＆L的资金成本，消除了他们赖以生存的利率差，甚至利差到负的，导致存贷机构倒闭
        • Consequence结果
          • Failure of the S&LS to manage their interest rate risk, helped to spark a long running crisis in the United States, Which gathered force through the 1980s as S&Ls desperately sought to repair their balance sheets with new business activities and higher-margin (but risk) lending. 给高风险企业放贷款，改变目前存贷利差，改善资産负债表，
          • These efforts resulted in the industry losing even more money through poorly controlled credit and business risks. 无法控制信用风险，经营风险，利率太高了还不起，
          • Between 1986 and 1995, 32%. S&Ls in the United States failed or were taken over. 32％存贷机构倒闭在那时
          • The remaining and S&Ls eventually fell to fewer than 2,200 and the crisis necessitated what was (at the time) one of the world's most expensive banking systems, bailouts.USD 160 billion which was fonded by the American taxpayers. 剩下2200家留下，政府为银行体系买单1600亿的美元
  • Funding Liquidity Risk流动性风险 (分两种trading资産卖不掉不好卖流动性不高,funding借不到钱)
    • Funding liquidity Risk can stem from external market conditions (e.g., during a financial crisis) or from structural problems within a bank's balance sheet.Most often, However, it stems from a combination of both
      • A. Lehman Brothers雷曼兄弟
        • 雷曼事件经过 有着158年历史的雷曼兄弟公司（Lehman Brothers Holding Inc.）提出了破产申请，其引发的连锁反应致使信贷市场陷入混乱。这让保险巨头美国国际集团（AIG）加速跌入深渊，也让几乎所有人都因此蒙受了损失，不论是远在挪威的退休人员，还是Reserve Primary基金的投资者都未能幸免，而后者是美国一家货币市场共同基金，曾被认为同现金一样安全。几天之内，由此引发的混乱甚至让华尔街的中流砥柱高盛集团和摩根士丹利也深陷其中。深受震慑的美国官员急忙推出了更为系统的危机解决方案，并在周日同国会领导人就7000亿美元的金融市场救助计划达成了一致。 雷曼兄弟破产的起源和后果均凸现出决策者在应对不断加深的金融危机时所处的艰难境地。他们不愿被视为是迫不及待地要介入其中，救助那些因太过追逐风险而身陷困境的金融机构。但在当前这个时代，市场、银行和投资者都被一张复杂而无形的金融关系网联系到了一起，任由大型机构自行倒下的痛苦大得令人难以承受。 一些批评人士在事后指出，要是政府出手，那么雷曼兄弟破产之后出现的系统性风险本是可以避免的。在雷曼兄弟倒台之前，联邦官员曾在局部范围内化解了一系列金融风波，所采取的方式是让房利美、房地美和贝尔斯登等陷入困境的机构生存下来。官员们认定这些机构规模太大，不能让它们倒闭，因此动用了数十亿美元纳税人的钱救助他们。但对雷曼兄弟却没有这样做。 不过，也有人认为雷曼兄弟的破产在很大程度上属于咎由自取。该公司大量投资于过热的房地产市场，用大量借款增加回报率，而且比其他公司更晚认识到所出现的损失，也未在投资出现失误时抓紧时间融资。该公司在危机中陷入太深，以至于寻找有意的买家都成为艰巨任务，这也让政府基本上是无计可施。 事件背景编辑 市值曾经位列美国投行第四的雷曼兄弟公司因投资次级抵押住房贷款产品不当蒙受巨大损失，由于所有潜在投资方均拒绝介入，更由于美国财长保尔森公开表示“见死不救”，终于向纽约南区美国破产法庭申请破产保护。2008年9月10日公布的财务报道显示，“雷曼兄弟”第二季度损失39亿美元，是它成立158年来单季度蒙受的最惨重损失，“雷曼兄弟”股价较2007年年初最高价已经跌去95%。 雷曼兄弟的倒闭，其直接触媒是保尔森“见死不救”的表态，而这一表态的实质，是美国政府放出一个明确信号，即他们不愿再如贝尔斯登或“两房”那样，直接干预市场实施援助，2008年9月14日，美联储联合十大金融机构成立700亿美元平准基金，用来为存在破产风险的金融机构提供资金保障，确保市场的流动性，这十大金融机构中赫然包括刚刚逃过一劫的美林，显然，美国政府不希望一家又一家濒临困境的华尔街投行把自己的经营风险转嫁到美国政府头上。 从某种意义上说，对合成CDO（担保债务凭证）和CDS（信用违约掉期合约）市场的深度参与，很可能是雷曼倒塌的直接原因之一。雷曼兄弟、美国最大保险公司美国国际集团（AIG）以及美国很多金融机构之所以大幅亏损，都不在于自己的传统业务（AIG的传统保险业务甚至无可挑剔地强大），而在于它们过多参与了新鲜刺激的金融衍生品CDS。 CDS的市场是次级按揭市场的48倍大，相当于美国GDP的4倍。CDS是一种合同，意思是信用违约掉期合约。CDS合约是美国一种相当普遍的金融衍生工具，1995年首创。CDS这一产品的出现，让贷款人觉得可以拼命放贷而无需知道贷款是不是能收回来，这是雷曼危机背后的推动力量。不幸的是，在次贷危机爆发一年以后，社会的信用履约率大幅度、大面积下降，那些往日为全社会提供信用保险的商家，在CDS市场上所承受的风险，已大到了足以将自己百年老店的全盘业务都拖垮的地步。 事态发展编辑 美联储前任主席格林斯潘预测说，将有更多大型金融机构在这场危机中倒塌。分析人士也纷纷站出来表示，美国金融机构会像多米诺牌一样倒下，而人们需要关注的只不过是下一个是谁。正如一位华尔街资深人士所说，我们一起造就了危机，就得一起付出代价。 2008年9月15日，对闻名遐迩的华尔街而言，这是一个具有历史意义的日子。这一天清晨，上班时间还没有到，人们便迫不及待地涌入大厦。他们当中，有些一如既往西装笔挺，有些却一反常态，身着休闲服来到公司。不过，有一点是一样的，他们手中都多了两样东西——空背包和行李箱。人们面色凝重，不多言语，纷纷进入各自的办公室，将个人物品整理打包。看上去，这一幕就像是在集体搬家。 当人们提着箱子走出公司大门时，钉在黑色墙面上的金属招牌依然闪闪发光——“LEHMAN BROTHERS”(雷曼兄弟)。有些人临走前还在雷曼董事长Dick Fuld（迪克·福尔德）的肖像上签字“留念”。公司外面的人行道上，早已挤满了记者，一看到从雷曼打包出来的人，他们就蜂拥而上。有些员工再也无法抑制内心的失望和愤怒，开始怒斥记者。的确，每个人都很难接受现实。一名员工说：“这是我一生当中最难过的事情。” 然而，面对6130亿美元的负债和一夜之间轰然倒塌的公司，两万多名员工除了离去，别无选择。在严重的次贷危机面前，在苦苦寻找买家却始终没有结果的情况下，公司董事会不得不做出申请破产保护的决定。有着158年悠久历史、在美国抵押贷款债券业连续40年独占鳌头的第四大投资银行——雷曼兄弟正式宣布申请破产保护。随即，两万多名职员开始了撤退。很多人面临失业、再择业。 就在9月15日当天，美国银行发表声明，宣布以近500亿美元的总价收购美国第三大投资银行美林公司。美林，“美国第三大投资银行”，“世界最大的证券经纪商”，而今也成为全球信贷危机下的又一受害者。在接连倒下的“华尔街巨人”里，美林公司的经历显得“与众不同”：论危机它来得最早，而美林却因此赢得了清理债务负担的宝贵时间。 金融危机爆发后，美林积极采取各种措施以图自保，包括筹集巨额资本、清除问题资产、出售所持大笔股权资产等。在这种情况下，美林与美银突然达成了收购协议。在一场闪电般的并购中，美林和美国银行以每股29美元的收购价达成一致，美林以换股方式将公司以500亿美元出让给美国银行。在并购成交后，美林股价随即暴跌21.3%。 当真正的金融风暴袭来时，不被看好的美林公司反而琅踉跄跄地爬上岸来。然而，52岁的约翰·赛恩，素有“华尔街救火队长”之誉的他，心情却并不轻松。在美林前任CEO斯坦利·奥尼尔黯然离职后，他继任才十个月，就在这段时间里，他的头发又添斑白。巴菲特曾说：“华尔街的所有公司都是‘裸泳者’。”只是这一回，美林好歹爬上了岸，没有淹死在水里。 这是一场充满“戏剧性”味道的交易。本来，人们正在密切关注着深陷困境的雷曼兄弟公司，很少有人料到美林会采取这么快速、突然的行动。这充分表明了美林对这场金融风暴的恐慌。面对雷曼兄弟的绝望，美林显然担心自己将是下一个次贷危机的牺牲品。与其坐以待毙，不如主动出击，争得一个好些的收购价，总要强过破产清算。然而，这种想法充其量只能算作一种自我安慰。94年的历史、1.6万人组成的金融经纪人大军、“雷电部落”的美誉……这一切都未能躲过信贷风暴的袭击。 覆巢之下，安有完卵。随着金融危机的日益严重，在危机面前时间就是生命，五大投行中硕果仅存的最后两家银行——高盛和摩根士丹利向美国联邦储备委员会提出的转为银行控股公司的请求，后者很快于9月21晚宣布批准这两家投资银行的请求。这是一个快速的被迫“变身”。此后，高盛和摩根士丹利既可设立商业银行分支机构吸收存款，也可与其他商业银行一起永久享受从美联储获得紧急贷款的权利，有望借此渡过的难关。 至此，在不到一年的时间里，雷曼兄弟破产，美林公司和贝尔斯登公司被收购（贝尔斯登于2008年5月被摩根大通收购），转型。华尔街五大投资银行的格局天翻地覆。长期以来，一直处于世界金融核心地位的华尔街，正面临着空前的严峻考验。前美联储主席格林斯潘沉痛宣示，这轮发生在华尔街的金融危机为百年难遇，意味着二战以后形成的以华尔街为标志的美式金融梦想破碎。虽然这难以说是美式强国梦想的轰然倒塌，但给全世界敲响了美式金融体制急需更新转型的警钟。
        • 1. Case briefing
          • During the late 1990s and early 2000s, investment bank Lehman Brothers invested heavily in the securitized US real estate market 雷曼兄弟大量投资美国房地产市场，①买房屋贷款，房价大跌就断供 ②MBS ABS，
          • Starting in 2006,The real estate market in the United States soured and housing prices began to decline after a year-long boom. 过去一年内房地产爆发式下降
          • The bank also continued to increased the amount of mortgage related assets it held as longer-term investments for its own account rather than simply acting as a middleman during the securitization process. 银行持续增加MBS,ABS债券，此时房价下跌，银行认为会反弹，大量购买持有抵押贷款，高风险高利息，
        • 2. Failure factors
          • Banks are naturally highly leveraged entities.(i.e., They taken on a large amount of debt rather than issue equity to fund their activities.) 大杠杆率，大涨大赚大跌大赔
          • The bank's funding strategy (i.e., the way it borrowed money to grow its operations).Introduced fatal element of fragility 银行的融资策略（即借钱发展业务的方式）引入了脆弱的致命因素
          • During the second half of 2007, It become that the United States housing bubble had burst and that the subprime mortgage market was in deep trouble. 2007年下半年，美国住房泡沫破灭，次级抵押贷款市场陷入严重麻烦。
        • 3. Consequence
          • Market confidence which is so critical to the firm's funding strategy and therefore its liquidity was a ebbing衰退 fast.
          • Many of the Lehman's major counterparties began to demand more collateral抵押品 for funding transactions, others began reducing their exposure, and some institutions simply refused to deal with the firm.
          • In the early hours of September 15 ,2008,Lehmen Brothers was forced to file for bankruptcy, inciting激励激起 months of panic恐慌 And uncertainty in the global financial markets.
      • B. Continental Illinois大陆依利诺斯银行
        • Case briefing
          • Continental Illinois was Once the largest bank in Chicago.
            • The bank chose an aggressive strategy to expand its business, during that time, the bank's total assets grew from USD 21.5 billion to USD 45 billion. 采取激进策略，使得资産迅速飙升，
            • In this case, the internal credit portfolio problems can precipitate a funding liquidity crisis. 在这种情况下，内部信贷组合问题可能会引发资金流动性危机。投资的银行因石油气下跌破产
          • As oil and natural gas prices decreased, Continental Illinois taking lots of lending in this industry, suffered heavy losses while defaults rose. 随着石油和天然气价格的下降，伊利诺斯州大陆在该行业获得大量贷款，遭受了严重损失，而违约率则上升了。
          • While many other banks also suffered credit losses during this period, Continental Illinois was unusual in that it had a tiny retail banking operation and a relatively small amount of core deposits. It relied primarily on federal funds and floating large issues of certificates of deposit (CDS) to fund its lending business. 在此期间，虽然许多其他银行也遭受了信贷损失，但伊利诺伊州大陆银行的(老百姓)零售银行业务规模很小，核心存款也相对较少，因此与众不同。 它主要依靠联邦资金和大量发行的存款证（CDs大额定期存单）来为其贷款业务提供资金。
        • Consequence
          • When rumors谣传 about Continental Illinois worsening financial condition spooked the international market in May 1984, the bank found itself increasingly unable to fund from the United States markets and foreign money markets. 导致这家银行里外都借不到钱
          • Continental Illinois was confronted面对 with a full-blown liquidity crisis as depositors withdraw USD 6 billion in only ten days 储户在短短十天内提取60亿美元 Bank run挤兑现象
          • Regulatory authorities eventually stepped in to prevent a domino effect多米诺骨牌效应 on other banks, which they feared might put. 监管机构最终介入，以防止其他银行担心多米诺骨牌效应。
      • C. Northern Rock北方岩石
        • Case briefing
          • Northern Rock was a fast-growing medium-sized mortgage bank based in the United Kingdom
          • The bank relied on an originate-to-distribute approach, by which it raised money through securitizing mortgages, selling covered bonds,and making use of the wholesale,interbank funding markets 银行使用创造和分发模式(资産证券化)，中间赚中介费，证券卖给机构客户，其他金融机构
            • It relied much more heavily on wholesale makets and less on retail deposits for funding it comparison to many of its U.K. peers 与许多英国同业相比，该公司对批发市场的依赖程度更高，对零售存款的依赖程度更低
        • Lessons learned
          • Liquidity stress testing programs for the largest banks are aimed at ensuring that banks have liquidity and funding strategies that will survive system-wide stress scenarios 流动性压力测试，对于大银行来说相当重要，能够确保银行有流动性，融资策略在压力情况下可以存活，建立极端场景，
          • Like most complicated decisions, Asset / liability management (ALM) decisions are driven by trade-offs 像大部分复杂的决策一样，资産和负债的匹配有一些权衡关系
            • E.g., trade-off between funding liquidity and interest rate risk,cost and risk mitigation Asset往往是长期的，liquidity往往是短期的，短期若产生挤兑，手上没那么多资産可以卖，造成大量抛售也没办法卖掉，导致破产 所以要做到资産和负债的匹配，办法一增加流动性短期资産，办法二负债拉长，跟储户借钱，给的利息高，融资成本高
          • Banks many also mitigate funding liquidity risk by reducing the maturity of their assets(e.g., commercial loans) but this is not always possible because asset maturity is often driven by borrower demand, the nature of a bank's business, and it's competitive environment 许多银行还通过降低其资产（例如商业贷款）的期限来减轻资金流动性风险，但这并不总是可能的，因为资产的期限通常是由借款人的需求，银行业务的性质以及竞争环境驱动的
          • As it is not possible to perfectly coordinate liquidity,firms also need emergency liquidity cushions流动性缓冲垫 to ensure they can meet their commitments 由于不可能完美地协调流动性，公司还需要紧急流动性缓冲以确保他们能够履行其承诺
          • Bank must consider the significant tradeoff between pursuing a risky funding liquidity strategy and the coast of that strategy compared with less risky strategies and liquidity reserves. 权衡高或低风险策略，高风险策略跟wholesale借（批发商），低风险策略跟流动性産品(国债央票)作为安全垫，未来增值少，赚不到钱
          • It follows that all the components of an ALM policy are linked
            • E.g., Interest rate risk management, funding liquidity risk management, profit planning, product Pricing, capital management, and fundamental business strategies.
  • Implementing Hedging Strategies对冲策略
    • Hedging strategies 担心什么事情会发生就签订这件事情发生会给你带来好处的合约
      • Static strategy静态对冲(简单，无法完全对冲掉风险)
        • Involves the purchase of a hedging instrument that very closely matches the position to be hedged and is typically held for as long as the underlying position is kept (or at least for a set period of time)
      • Dynamic strategy动态对冲(精准，人力成本，交易成本高)
        • Involves adjusted the hedge through a series of ongoing trades to continuously (or frequently) calibrate校准 the hedge position to the (changeing) underlying exposure
          • A static strategy has the advantage of being relatively easy to implement and monitor
          • A dynamic strategy typically involves greater managerial effort to implement and monitor, and may involve higher transaction costs. (e.g., Metallgesellschaft)例子德国金属公司
            • Case brief of Metallgesellschaft(对冲策略错误导致出现大量交易费用，过程出现巨额亏损)
              • Metallgesellschaft offered customers contracts to buy fixed amounts of heating oil and gasoline at a fixed price over b-year or 10 year period. This contracts gave the firm a short position in long-term forward contracts. Metallgesellschaft had to use short-term long position futures to hedge long-term contracts. (Stack and roll strategy滚动对冲策略, this hedge exposes the basis risk) because long term futures contracts were highly illiquid非流动性. Metallgesellschaft向客户提供了在b年或10年内以固定价格购买固定数量的取暖用油和汽油的合同。 该合同使该公司在长期远期合同中拥有空头头寸。 Metallgesellschaft必须使用短期多头头寸期货对冲长期合约（基差风险，现货价格走势和期货价格走势的不一致），因为长期期货合约的流动性极低
              • Problem during the hedge
                • Cash flow mismatch: Futures need margin, while swaps don't 现金流不匹配，期货要保证金，现货赚钱，期货端逐日盯市每天支付
                • Price dropping makes long Futures a huge Loss → cashflowout
                • （买长期远期空头头寸，对冲短期多头期货头寸） Backwardation现货大于期货，越下跌越赚钱 → Contango期货小于现货，越下跌越亏钱 → Long futures more cashflow out
                • German account standards didn't allow confirming profits from outstanding swaps 德国会计准则只记录浮亏不记录浮盈(报表难看)
                • Credit downgrade made MGRM hard to borrow
              • Lessons to be learned
                • Many experts believed MGRM is OK for the overall hedging strategy, but lacked the consideration of liquidity 很多专家认为此公司对冲策略是可以的，但他们没有确保流动性充足
                • Liquidity designing and monitoring is important
                • Uncertainty of rollover cost is a key risk when use short-term tools to hedge long-term contracts
                • Trade off between risk and reward, which means not necessarily choosing the best hedge ratio
  • Model risk模型风险(三个事件）
    • Models can be theoretical or they can be statistically based 模型可以是理论，也可以基于统计学假设
    • Model risk can stem from using an incorrect model, incorrectly specifying a model, and / or using insufficient data and incorrect estimators 使用不正确的模型，错误地指定模型和/或使用不足的数据和错误的估算器可能会导致模型风险
    • One way a model can be problematic is if its underlying assumption are flawed 模型存在问题的一种方法是，其基本假设是否有缺陷
      • Niederhoffer尼德霍夫
        • FRM(金融灾难事件—niederhoffer） 事件经过及主要策略（case briefing） 1、主要策略（naked position）：实施一种单边策略，做大量的无担保（naked position）深度价外（out the money）的看跌期权的空头（short put），还需要缴纳保证金。期权标的是标普500股指。 2、niederhoffer如此的投资策略，堵的是标的标普500指数不会跌超过5%，大盘指数一般情况下跌幅不会很大（即假设小概率事件不会发生，损失分布呈正态分布），只要在深度价外时多头方（long position）不行权，空头方（short position）是可以赚取期权费而不会亏损。 3、 在1997年，出现股市巨震，跌幅达到7%。从而跌穿了保证金，导致市场流动性枯竭，无法满足50亿的保证金漏洞，只能将被迫对债券平仓。
        • Case briefing (wrong assumption错误假设)
          • One strategy of the fund involved writing large quantities of uncovered (i.e.,"naked") deep out-of-the-money put options on the S&P 500 Index and collecting the option premiums 深度虚价外卖出卖权，股价高，价值较低，付期权费少，大概率赚小钱(稳定)
          • An assumption underlying this strategy was that a one-day market decline of more than 5% would be very rare 该策略所基于的一个假设是，当日市场跌幅超过5％的情况非常罕见(假设有问题！)
            • In fact, if market returns were normally distributed, a fall of this magnitude would be virtually impossible 如果市场是正态分布，那么这种幅度的下降几乎是不可能的
        • Failure factors
          • The strategy was undone, however, when the stock market fell by over 7% in one day in October 1997.
          • On the back of this shock, liquidity in the markets dried up, Unable to meet over USD 50 million in margin calls, the funds brokers liquidate Neiderhoffer's positions for pennies on the dollar and effectively wiped out the fund's Equity. 卖出期权要缴保证金
        • Lessons learned
          • The lesson from this case is that one can construct a strategy with options that will produce a small profit over an extended period.
          • Nevertheless, in such strategies there is a small probability for a major Loss. In other words, competitive financial markets are rarely offer a "free lunch". 小概率出现大损失
      • Long Term Capital Management (LTCM)长期资本管理公司
        • Case briefing
          • LTCM, A hedge fund founded in 1994, generated extraordinary returns in its first few years of operation. Highly secretive about the particulars of their investment portfolio and make decision by all partners acting together, which eliminates排除 the possibility of the rogue trader流氓交易员. The investors were locked into investments for long periods of time in order to prevent liquidation issues since the fund was focused on long-term investment strategist which favored sharing information openly.
        • LTCMs main strategies.
          • 主要做的事债券套利，买低卖高 三项定价不合理 On the run bond 今天刚发行的债券/ Off the run bond 已经发行的债券 →持续套利直到平衡 Italian bond义大利国债(便宜) 利率高风险高 / Germany bond德国国债（贵）利率低风险低 →世界发展变好，两国债劵趋向一致 T-bond 国债价格高风险小/ Corporate bond公司债价格低风险大
          • Bets on related value.( e.g., Some bonds are overvalued, while some are undervalued.) 相对价格，买低估卖高估
          • Bets on credit spread.(e.g., if economic is expected to be better, credit spread between Treasury and corporate bond will decrease.) 经济变好，信用差变小，公司债收益率降低，价格变高跟国债收益率上升，价格变低。 低买高卖
          • Bets on stock volatilities.(e.g.，If we expect there is fewer big news in the future, volatility of stock will decrease.) 押注股票的波动性。（例如，如果我们预计未来的重大新闻较少，则股票的波动性将会降低。）
        • Events caused LTCM losing money
          • Russia default on debt: Economic shock caused credit spread to increased, which LTCM shorted. 俄罗斯违约
          • Brazil devalued its currency, increasing interest, credit spread and volatilities 巴西货币巨幅贬值
        • Why LTCM Failed？
          • 1. LTCMs model severely underestimated risk.(e.g., ignored heavy tail.) 模型还是低估了风险，未考虑到重大尾部风险，低频高损
          • 2. Assumption of correlation and diversification failed (Ignored relationship could change, especially in crisis.) 假设的相关性跟分散化失败，忽略了彼此之间相关的变化，特别是在危机中
          • 3. Leverage too high.( More than 30, LTCM lost 44% of its capital in just one month.) 杠杆太高
          • 4. Liquidity squeeze deteriorate恶化 LTCM's position. (e.g.,Positions are too big, which make LTCM price dealer, not price-taker ; got more margin calls)
          • 5. Transparency is not enough,which caused panic恐慌 in the market, make things worse. 透明度不足
        • What lessons can we learn from LTCM
          • 1. Control of leverage 控制杠杆
          • 2. Require initial margin for counterparties whose main business is investing and trading. 要有保证金要求
          • 3. Incorporate potential liquidation costs into prices in the event of a adverse market condition 市场不利时能否承担流动性成本
          • 4. Push for greater disclosure by counterparties of their trading strategies and positions. 推动对方增加交易策略和头寸的披露。
          • 5. Better use of stress tests in assessing credit risk. 在评估信用风险中更好地使用压力测试。
      • London whale伦敦鲸(起因，知道怎样用错模型的，结果，学到)
        • Case briefing
          • During the first half of 2012, J.P. Morgan Chase lost billions of dollars from an exposure to a massive credit derivative大量信用衍生品CDs portfolio in its London office.
            • The bank's Chief Investment Office (CIO), which is charged with managing $350 billion in excess deposits, placed a massive bet.( Trades so large in size that they roiled world credit market)on a complex set of synthetic credit derivatives that, in 2012,lost as least $6.2 billion. 该银行的首席投资交易部门（CIO）负责管理3500亿美元的超额存款，押注巨额赌注（交易规模如此之大，以至于扰乱了世界信贷市场）在2012年的一组复杂的合成信贷衍生品上 ，损失了至少62亿美元。
        • Failure factors
          • Operational Risk操作风险
            • Instead of marketing near the midpoint price in the daily range of the of prices. ( bid-ask spread 买卖价差), the CIO began to assign more favorable prices within the daily price range to its credit derivatives.
            • One result of the CIO's using more favourable valuations was that two different lines within JP Morgan Chase and the Investment Bank, assigned different values to identical credit derivatives holdings. 对于同样CDs産品，两个部门给不同价格
          • Corporate governance : poor risk culture
            • Risk matrics were frequently criticized or downplayed, and risk evolution models were targeted by bank personnel seeking to produce artificially人工地 lower capital requirements. 风险矩阵经常受到批评或轻描淡写，而风险演变模型则是银行人员寻求人为降低资本要求的目标。 估值模型要跟风险及资本相匹配，往往风险高，留存资本低，领导纵容高风险产生。
            • The SCP's many breaches were routinely reported to JP Morgan chase and CIO management,risk of personnel, and traders. But the breaches were largely ignored or ended by raising the relevant risk limit. 定期向JP Morgan大通和CIO管理层报告SCP的许多违规行为，人员风险和交易员。 但是这些违反行为在很大程度上被忽略了，或者通过提高相关的风险限制而结束了。
          • Model risk : fudging VaR models
            • In the case of the CIO VaR, after analysts concluded the existing model was too conservative and overstated risk, an alternative CIO model was hurriedly adopted in late January 2012, while the CIO was in breach of its own and the bank wide VaR limit. 一开始做出来的头寸已经超过VaR limit限额，但故意做新的模型降低VaR, 使其符合规定，
            • The bank did not obtain OCC approval as it should have to use the model for the SCP. 银行未获得OCC批准，因为它必须将模型用于SCP。
  • Rogue Trading and Misleading Reporting 流氓交易和误导性报告
    • Case brief of Barings巴林银行
      • 巴林银行毁在一个赌徒的手里 1995年2月27日（星期一），全球各大媒体的头版头条都报出了一个震惊世界的消息，英国最古老的银行之一巴林银行濒临破产，在经过了国家中央银行——苏格兰银行先前一个周末的拯救失败后，这家有着200多年历史的金融翘楚最终消逝在历史的长河中。 1762年创立的巴林银行（Barings Bank）是英国历史最为悠久的银行之一，其创始人为弗朗西斯•巴林爵士（Sir Francis Baring），总部设在伦敦。后来，在家族人员的共同努力下，巴林银行渐渐从一家默默无闻的小机构，逐步发展成为一个业务全面、经营完善、富于创新的银行集团。经过多年的努力，巴林银行的业务范围得到了极大的扩展，无论是到刚果提炼铜矿，在澳大利亚贩运羊毛，还是开掘巴拿马运河，它都曾为客户提供过贷款。然而，巴林银行还有与普通银行不同的地方，它不开展普通客户存款业务，所以其经营的都是大项目。由于资金来源比较有限，巴林银行总是靠着自身的能力寻求突破和发展。巴林银行在金融历史上堪称登峰造极之作莫过于资助刚刚诞生的美国从法国手中购买到路易斯安那地区。 路易斯安那位于落基山脉和密西西比河之间，北连加拿大，南到墨西哥湾，面积约有214万平方公里。当时，路易斯安那还是法国的殖民地，属于气焰嚣张的拿破仑皇帝。美国联邦政府一心想要拔掉这颗家门口的毒刺，于是时任总统的托马斯•杰斐逊派特使出访巴黎与拿破仑皇帝谈判。出人意料的是，拿破仑竟然同意将路易斯安那地区卖给美国。 事实上，拿破仑皇帝同意这笔赔本生意是有他的苦衷的。当时，法国军队在海地吃了败仗，急需资金来重整旗鼓。此外，如果拿破仑不同意这笔买卖，那么美国肯定会与英国成立联军，攻夺路易斯安那州。综合以上考虑，拿破仑皇帝被迫同意了美国的购买要求。1803年4月30，美法两国在巴黎签订了《路易斯安那购地条约》，双方以1500万美元（相当于8000万法郎）的价格成交。而美国购买路易斯安那的资金就是由巴林家族筹集的。 在19世纪下半叶以后，巴林银行在事业上遇到了一个强劲对手，它就是由犹太人罗斯柴尔德开办的家族银行，但巴林在与其多次交手后未落下风。1886年，巴林银行推出“吉尼士”证券，那时银行内部的景象可真是蔚为壮观，疯狂的投资者如潮水一样涌入银行大厅，后来银行不得不借用警力来维持秩序。这些人不惜排几个小时的队伍来抢购股票，然后再伺机抛出赚取差额。在20世纪初，巴林银行荣幸地获得了一个特殊客户——英国皇室。由于巴林银行在金融业务中的卓越成就，该家族先后获得了5个世袭的爵位，从而奠定了巴林银行显赫的政治地位。虽然巴林银行的主人们并不太在意这些与金钱无关的事情，但他们还总是强调自己的光荣历史。 随着时代的进步，巴林银行也在不断地探索和创新。到20世纪90年代，它的业务主要转向企业融资和投资管理，并积极地扩展海外市场和培育新兴市场。仅1994年一年时间，它就在中国、印度、巴基斯坦、南非等地开办多家分支机构，业务网点已遍及世界大多数国家和地区。据统计，截至1993年底，巴林银行总资产达到59亿美元，而1994年税前利润高达15亿美元。 令人意想不到的是，就是这样一家有着233年历史、在全球范围内掌控270多亿英镑的金融巨头，竟毁于一个年仅28岁的毛头小伙子手中，而坏了这锅汤的“臭肉”就是尼克•里森（Nick Leeson）。 里森，何许人也？ 里森出身于英国伦敦一个工人家庭，父亲是位泥水匠，母亲在他14岁时就过世了，也许正是母亲的过早离世造成他性格的乖僻，学习成绩也是时好时坏。缺乏理想和抱负的里森中学毕业后就参加了工作。1985年，他加入了伦敦当时最为高档的私人银行——库特斯公司，并在那里工作两年。之后，里森转到伦敦的摩根士丹利公司清算部工作，在那里他学到了金融买卖的基本知识，获益匪浅。 1989年7月10日，尼克•里森正式加入历史悠久的巴林银行。由于工作能力强、精通期权和期货的结算，年轻的里森很快就得到了伦敦总部对他的信任。1992年，巴林银行为了扩大新加坡的业务规模而创建新加坡期货与期权交易部，里森因其良好的表现而被选派到这个部门工作。同事们眼中的里森是那种“拼命工作，尽情玩乐”的人，善于处理人际关系使其在新加坡分行倍受欢迎，随和、可爱而又有一点点粗鲁也是大家对他的一致评价。但是，工作外的里森经常干出一些荒唐的事来，打架斗殴时有发生，甚至还因在公共场所“行为不检”而被处以性骚扰的罪名，这些都表明里森并不是一个安分守己的人，他将自己凶恶的獠牙藏在了虚伪的外表下，也最终使自己走上了一条不归路。 来到新加坡以后，里森在这里主要从事两种不同的工作，其中一项就是买卖日经225指数期货，而另一项就是通过市场间的价差从事套利操作。在银行的风险投资部门，为了控制交易风险，往往给予其交易员一定额度的风险投资许可，并且所有的交易员都要受到公司监管部门的监督和检查。然而，尼克•里森却是个例外。丑闻败露前，尼克•里森已升为巴林银行新加坡期货交易部及清算部经理，这时他将决策和监督两项权利牢牢把握在自己的手中。当时，里森一直根据总部的指示在大阪交易所、东京股票交易所和新加坡国际货币交易所中买卖日经225和日本政府债券的期货合约而赚取不同交易所之间的价差。由于这种价差都是很有限的，所以交易量通常都很大。然而悲剧就在此时发生了。古有云：“蚍蜉撼大树，可笑不自量。”那这个小小的里森是怎样毁掉巴林这棵参天大树的呢？ 无论做什么事情，都难免发生大大小小的错误，而在金融领域尤其如此。在期货交易中，有些交易员会看错“买进”、“卖出”的手势，有人可能会在买入错误交割日期的合同，还有人会在错误的价位买入亏损的期货合约。这些都是很正常的，一旦发生这样的失误，交易员就会给银行造成或大或小的损失。投资银行通常情况下都会成立一个“错误账户”，来记录和统计下属交易员因疏忽而发生的损失。 当里森初到新加坡的时候，巴林银行当时设立了一个账号为“99905”的“错误账户”。1992年夏天，巴林银行伦敦总部更换电脑系统，总部负责清算工作的哥顿•鲍塞打电话给里森，要求其在新加坡单独设立一个“错误账号”，并自行处理小额损失。于是后来震惊世界的“88888”账号便诞生了。 不久之后，完成系统更新工作的巴林银行总部又打来电话，要求新加坡分行按照老规矩，将所有的错误记录由“99905”账号向伦敦报告。此时，“88888”账号原本应该按照规定被撤销，但狡猾的里森却将其保留下来，这个被人忽视的“错误账户”为里森提供了制造假账的机会。 俗话说：“成也萧何，败也萧何。”里森在调入巴林银行新加坡期货和期权交易部以后确实为银行赚取过丰厚的利润，这使得他成为巴林银行的交易明星。后来，里森手下一位名叫金姆•王的交易员犯了一个低级错误，本来客户富士银行要求其买入20份日经指数期货合约，但这位刚刚加入巴林银行不久的新手却误操作卖出20份合约。为了弥补客户损失，银行须买回40份合约，如果按照当日的计算价格，新加坡分部会损失2万英镑。按照规定里森应该将此事报告伦敦总部，但他并不愿意因此事而毁了自己在总部高层心中的优秀形象，于是里森决定将40份期货合约打入“88888”账号中以此来掩盖手下的失误。 数天之后，由于日经指数上升200点，损失上升到6万英镑了，而里森此时更不敢将失误向上呈报。一段时间以后，另一个交易失误又摆在里森面前，这次是他的好友乔治。当时刚刚与妻子离婚的乔治还整日沉浸在痛苦之中，糟糕的心情很快影响到工作。此前里森示意乔治卖出100份9月的期货合约，他却进行了买入操作，这些合约价值800万英镑，如果让总部知道，他们两人肯定会被炒鱿鱼。无奈之下，里森将这笔损失打入到“88888”账号避人耳目，同时想方设法来弥补。 此时，账号为“88888”的“错误账户”已经积累了相当大的损失，为了弥补这一资金缺口，里森开始挪用巴林银行的资金进行风险操作。凭借着自己的眼光和不错的运气，里森在一段时间内做得相当出色。到1993年7月，他已将“88888”账号里亏损的600万英镑转为略有盈余，并获得了近10万英镑的奖金。如果历史的车轮能停在这一刻，那巴林银行依然辉煌如旧，但这是不可能的。 里森在新加坡的主要工作是替巴林银行的客户买卖金融衍生产品，并按照银行总部的指示从事套利操作。由于代客操作，风险由客户承担，而套利基本没有风险，所以里森的工作并不会面临太大的风险。然而1993年下半年，期货合约的市场价格处于剧烈波动之中，由于电脑系统无法正常工作，致使多笔交易的入账工作都积压起来，等到里森他们发现各种错误的时候，一切都为时已晚。 后来据里森回忆道，当时一天损失的金额就高达近170万美元。在无路可走的情况下，里森只能继续利用“88888”账户来掩盖这些损失。到1994年以后，他对损失的金额都已麻木了，该“错误账户”的金额由2000万、3000万英镑到后来的5000万英镑。此时，被牵着鼻子走的里森已经成为金融市场的傀儡，他所做的交易并不是出于对市场走势的预期判断，而是认为只要哪种方向的市场变动能让他补足“错误账户”的损失，他便试着影响市场往那个方向变动。 “88888”账户已成为里森的“救命稻草”，他用这个账号隐藏着新加坡分部巨大的资金亏空，在账面上造成巨大盈利的假象，并以此吸引总部更多的资金。当时新加坡分部的经济问题已引起总部的高度关注，为了应对巴林银行总部的审查，里森伪造了其在花旗银行8000万美元的空头银行票据，并将这笔钱挪用来补偿“88888”账户的损失。 如果巴林银行真有严格的审查制度，那么里森必然会露出马脚，但可惜的是，总部在新加坡查了一个多月的账目，却没有人去审核新加坡分部在花旗银行8000万英镑存款的真实性。事实上，在资产负债方面，银行内部每天都会有记录，但巴林银行从上到下都认为该表并不能反映公司的真实信息。时任巴林银行的董事长彼得•巴林说过：“若想通过资产负债表来增加对一个公司的了解，那真是无比幼稚的。”但令彼得没有想到的是，正是对资产负债表审查的疏忽，让里森积攒出毁灭“巨人”的力量。 里森在做假方面玩得相当漂亮，他将所有的损失打入“88888”账户，反而将一切获得的盈利报告伦敦总部。于是里森在出事之前一直被认为是投资高手，而新加坡分部在账面上也是表现出良好的业绩。从1993~1994年，巴林银行在新加坡分部投入的资金已达到1亿多英镑，这超出了英格兰银行对英国银行海外资金不应超过其资产25%的规定。 此后，巴林银行总部与英格兰银行多次进行交涉，甚至派出审计人员对新加坡分部进行调查，但这一切都被里森巧妙地化解了。1994年5月，巴林银行得到了英格兰银行主管商业银行监察的高级官员的“默许”。此后，包括英格兰银行以及巴林银行伦敦总部在内的相关监管人士都对巴林在海外的过度投资“睁一只眼，闭一只眼”。 里森后来回忆道：“当时并没有人出面来制止我，伦敦方面应该知道我的数字是假造的，他们对我每天向总部索要的现金数目感到怀疑，但不可思议的是，他们仍旧支付那些钱。”尤其具有讽刺意味的是，在巴林破产的两个月前，即1994年12月在纽约举行的一个巴林金融成果会议上，250名来自世界各地的巴林银行工作者还将里森当成巴林的英雄，对其报以长时间热烈的掌声。与此同时，巴林总部已发现了其资产负债表上5000万美元的差额。 鉴于1993年和1994年新加坡期货和期权交易部账面上的良好业绩，巴林银行总部曾估计其对日本资本市场投资收益在1995年将上升15%~20%。到了1994年底，伴随着日本经济强劲的增长势头，里森预期日本股市会上扬，利率上升而导致公债价格下跌。于是，他通过新加坡国际金融交易所和日本大阪证券交易所买进日经225指数期货，并在日本东京证券交易所卖出日本政府公债期货。 在金融市场上，所有的高收益必然伴随着巨大的风险。这一次，上帝明显没有眷顾里森。1995年1月17日清晨5时46分，坐落在日本东京西部的神户市发生里氏7.2级大地震。虽然此次地震过程仅持续二十几秒钟，却夺取了5000多个生命，使得30万人流离失所。 这场地震的经济损失更为严重，据日本官方统计，约有5万多座房屋被震塌，造成财产损失约为300亿~800亿日元。神户大地震不仅震碎了日本本来就已千疮百孔的经济，也震碎了里森心中那层微薄的道德底线。在地震发生后的首个星期一，股市重挫1000多点。为了挽救损失，里森孤注一掷，他没有隔断巴林的损失，却像一个赌徒一样大批买进日经指数期货。从1995年1月下旬开始，里森每天将从伦敦总部获得的现金投入到金融衍生品市场，继续买入日经225指数期货，卖空日本政府债券。到2月10日，里森已经握有5.5万份日经期货合约以及2万份日本政府债券合约，巴林银行新加坡分部手中头寸已经达到了空前的规模。此时，里森只能期待奇迹的出现。 然而，天公不作美。随着里森交易数量的加大，日本股市不但没有出现反弹，反而一路下跌，同时日本利率不断攀升，并造成日本政府债券价格持续上升。里森像以往那样将所有的损失打入到“88888”账户，企图利用职务之便继续隐瞒亏损，但每天需要追加的巨额保证金却让他的阴谋浮出水面。 2月23日交易结束后，里森匆匆赶回家中，准备出逃。晚7时，他和他妻子在街上拦了一辆出租车直奔机场，并于当晚11时30分，乘坐飞机飞往马来西亚首都吉隆坡。在他身后，历史悠久的金融帝国已濒临崩溃的边缘。而里森留下的只是一张手写的便条，上面写着“抱歉”二字。 当巴林银行的高管于2月24日发觉巨大的财务亏空时，一切晚矣，里森的赌局已经大到令人无法想象的程度，他在日本债券期货和股指期货市场上建立了巨额头寸，致使巴林银行买入6万多份日经期货合约以及卖出约2.6万份日本政府债券期货合约。如果这些合约的价值按照2月24日的收盘价核算，那么巴林银行已经亏损了约8.6亿英镑，而当时巴林银行总资产只有3.5亿英镑，这彻底击垮了有着几百年历史的巴林银行。 1995年2月27日，英格兰银行宣布，英国著名商业投资银行——巴林银行因经营失误而倒闭。消息传出，立即在亚洲、欧洲和美洲地区的金融界引起一连串强烈的波动。东京股市英镑对马克的汇率跌至近两年最低点，伦敦股市也出现暴跌，纽约道•琼斯指数下降了29个百分点。后来巴林银行以1英镑的象征性价格被荷兰国际集团收购，这标志有着232年历史的巴林银行彻底消失在公众的视线中。 1995年3月2日，如惊弓之鸟般逃往德国的尼克•里森在法兰克福机场被警方逮捕。9月10日，在德国监狱，里森打破沉默接受英国广播电视的采访，他说道：“我没有什么好隐瞒的，我甘愿坐牢，我知道自己干了些什么……但是我并没有偷钱，只不过对人们产生了误导作用……有一群人本来可以揭穿并阻止我的把戏，但他们没有这么做，我不知道他们的疏忽与犯罪之间有何界限，也不清楚他们是否对此事负有责任，但如果在其他银行里，我不可能有这样铸成大祸的机会……” 事实上，巴林银行的监管部门对这次事件确实负有不可推卸的责任。在此后的英格兰银行以及新加坡金融当局对巴林事件的调查报告中显示，不只是巴林银行内部高层对投资缺乏有效的控制，就连英格兰银行中许多相关监管人员也没有起到应有的作用。正是他们平时的麻痹大意以及缺乏必要的沟通，才造成巴林银行如此悲惨的结局。 1995年11月22日，里森再次成为全球媒体的焦点，他从德国被引渡到新加坡。 一周以后，尼克•里森因欺诈罪被判处有期徒刑6年零6个月，从而成为新加坡塔那梅拉监狱的阶下囚。不仅如此，里森为自己的豪赌付出了更为惨痛的代价，他在服刑期间被诊断患有结肠癌，于是里森遭到了与米尔肯相似的厄运。 有些人认为如果日本当时没有发生神户大地震，日本经济复苏可能会更加快些，尼克•里森可能会成为金融衍生界的英雄。诚然，我们是无法准确地预测地震何时发生，但是我们却可以清楚地看到里森作为一个金融市场交易者的恶劣行径。如果他在震前即大量买进日经225期货，并卖出日本政府债券期货的话，这个英雄论的观点可能会令人信服。 可是，事实并非如此，这一切措施都是里森震后才开始做的，而他所下的赌注只是为了挽救之前在期货市场上造成的损失。里森的赌徒心理暴露无遗。其实金融市场本身就是一场大赌局，年轻气盛的里森有巴林这位大财主的撑腰，原本想在金融市场上大赚一把，却输得倾家荡产，最后连自己的“大靠山”——巴林银行也赔了进去。
      • Nick lesson, British Brings junior trader in Singapore,took speculative prior positions in an effort to recoup trading losses that was able to hide fraudulently. The Nikkei 225 plunged骤降 because the earthquake in Japan, then the huge losses we're created on both the Short Straddles希望波动率越小越好on the Nikkei 225 (short call +short put) and the double-Long Nikkei 225 Index future 尼克·莱森（Nick lesson）是英国的Brings在新加坡的初级交易员，他采取投机性的前期头寸，以期弥补能够以欺诈手段掩盖交易损失。 由于日本地震，日经225指数暴跌，因此我们在日经225指数的短跨线（看涨+卖空）和双长日经225指数期货上造成了巨大损失 △Short Straddles 此策略亦称顶部跨式期权或卖空跨式期权，是一个高风险的策略。如果到期日标的物接近履约价格，则有大量利润；然而一旦在任何方向有重大变动，其损失巨大。
      • The Loss of roughly $1.25 billion went undetected due to inadequate control systems. The size of the losses relative to Barings Bank's capital along with potential additional losses on outstanding trades forced Barings into bankruptcy in February 1995 由于控制系统不足，未发现大约12.5亿美元的损失。 相对于巴林银行资本的损失额，以及未完成交易的潜在额外损失，迫使巴林银行于1995年2月破产。
    • Why Brings failed to detect Lesson's deception? 为什么银行没发现欺诈行为
      • Lesson is in charge of both Trading and settlement (dual role)
      • Lesson did not take a vacation
    • Why Barings is so easily be fooled by Lesson?
      • 1. Lack of proper risk management: No doubt of Lesson's unusual request 银行不怀疑他的不合理行为
      • 2. Failed to understand Lesson's true strategy 也没发现他的真实策略
      • 3. Fail of internal control 内部系统不完善
    • Lessons from this case
      • 1. Trading must be separated from settlement 交易部门跟后台部门分离
      • 2. Block leave is mandatory 强制休假
      • 3. Be suspect of abnormal profits 怀疑利润异常
      • 4. Investigate abnormal cash flow request 调查异常现金流量请求
  • Financial Engineering and Complex Derivatives 金融工程与复杂衍生工具
    • Derivatives allow investors and institutions to break apart risks. Conversely, derivatives can be used to manage risks on a joint basis 衍生工具可以对冲风险，也可以投机
    • Financial engineering is not by itself risk management, and in the world of derivatives the line between hedging and speculation can be blurry模糊不清 衍生品是为了对冲还是投机，界线很模糊
      • Bankers Trust (BT)信浮银行
        • Case brief of Banker's Trust
          • What happened?
            • To reduce funding cost，Procter & Gamble (P&G) and Gibson Greetings hired Banker's tTrust.
            • Banker's Trust provided a very complex cerivative structure which provided a higher probability of small reduction in funding costs, but a small probability of huge loss. Banker's Trust提供了非常复杂的衍生结构，从而降低了融资成本的可能性较大，但出现巨额亏损的可能性较小。
            • P&G and Gibson though they had been misled误导 after suffered huge losses in 1994.
            • Phone call records show BT's employee boasting how they misled P&G
            • Finally, CEO had to resign and BT was acquired by Deutsche Bank.
          • Lessons can we learn
            • Trades have to match client's needs 交易要跟客户要求匹配
            • Price quotes should be independent from the front office. 价格制定要跟前台人员分离
            • Be cautious of any from internal communication, which could be eventually made public. 注意内部交流沟通泄露
      • Orange County奥兰治县
        • Case briefing
          • 向citron推荐一个叫而Repo及回购协议的金融衍生产品。由于当时较低的利率环境，它可以在较低的成本价为客户融资，筹集资金。 这一点极大地吸引了citron的注意，因为他的投资策略在他看来已经非常成熟，而且具有很高的回报率。 能筹集更多的资金就意味着能获取更大的回报。所以在美林证券的推荐一下，在1994年11月，Citron通过Repo把他管理的投资基金池的杠杠率提高到了三倍。即本金只有76亿美元，但是整个资金池却拥有206亿美元的资产。在citron逐渐增加它的杠杆投资时。等待他的却不是更大的收益率，反而是形式开始急转而下。投资基金池面临日益增加的账面亏损，在1994年2月时由于亏损。而导致Repo协议需要抵押的保证金不够。Citron不得不通过橘郡紧急发行6亿美元的债券进行弥补，但呢到了1994年12月。亏损还是进一步扩大，而其他市政投资者也开始因为亏损进行赎回。这些压力迫使迫使citron不得不宣布橘郡破产，无力还清亏损资金。当审计人员核实后惊讶的发现，整个投资基金池已经亏损高达17亿美金。至此，citron的投资神话彻底被打破，橘郡不得不通过各项财政收紧措施以及裁员减员的方式。节省资金来弥补citron留下的巨大亏损偷过。橘郡政府六年的努力才逐渐恢复到亏损前的水平。政府服务机构及学校才能保持正常运转。另外，citron因为资金不当转移以及提交虚假和误导性的财务概要等罪被罪名被判处监禁缓其五年并处1000小时的社区服务的惩罚，不过最终也没有进监狱。
          • In the early 1990s, Orange county treasurer Robert Citron borrowed USD 12.9 billion through the repo market. He used the borrowed funds to purchase complex inverse floating-rate notes 反向浮动利率债券whose coupon payments decline when interest rate rise. (As opposed to conventional floaters).
          • As interest rates rose, the market value of his positions dropped generating a loss of USD 1.5 billion to by December 1994. The fund's lenders stopped rolling over their repo agreements. Ultimately, orange country was forced to file for bankruptcy.
        • Failure factors
          • The debacle was caused by a combination of excessive leverage and a risky( And eventually wrong) interest-rate bet embedded in the securities bought by the fund. 这次倒闭是由于过度的杠杆作用和基金购买的证券中存在风险的（最终是错误的）利率赌注共同造成的。
          • Cirton later admitted he did not understand either the position he took nor the risk exposure of the fund. 自己也不清楚
        • Lessons learned
          • Firms need to understand the risks that are inherent内在的 in their business models. Management，and boards, should always ask where the risks are hiding and under what circumstance could they produce a loss 企业需要了解其业务模型固有的风险。 管理层和董事会应始终询问风险隐藏在哪里以及在什么情况下会造成损失
          • Senior management needs to deploy robust policies and risk measures tying risk management, and particularly the use of derivative, to risk appetite and overall business strategies as it has been communicated to stakeholders. 高级管理层需要部署稳健的政策和风险衡量方法，以将风险管理（尤其是衍生工具的使用）与风险偏好和整体业务战略联系起来，并已将其传达给利益相关者。
      • Sachsen Landesbank 萨克森州银行
        • Case briefing
          • Prior to the 2007-2009 financial crisis, Some of the biggest buyer of United States subprime securities were Europe banks. Among these institutions were publicly owned banks in Germany called the Landes bank.
          • Sachsen landesbank opened a unit in Dublin tasked with setting up vehicles to hold large volumes of highly rated United States mortgage-backed securities. Sachsen Landesbank在都柏林开设了一个部门，其任务是设置持有大量高评级的美国抵押贷款支持证券。
          • While this operation was highly profitable, it was simply too large when compared to the size of Sachsen's balance sheet 子公司的量太大，次贷危机的影响，打包好卖不出去，因此导致巨额亏损
          • When the subprime crisis struck in 2007, the rescue operation wipe out Sachsen's capital and the bank had to be sold to another German state bank.
  • Reputational risk声誉风险
    • A firm's reputation is based on the belief that it can and will fulfill it's promises to counterparties and creditors, and that the enterprise is a fair dealer and follows ethical practices 公司满足债权人承诺，订约合理
    • Rumors can spread quickly in the Internet and destroy reputations in a matter of hours. As a result, the reputational damage for unethical conduct不道德行为 can be very severe严重
      • Volkswagen大众尾气排放造假事件
        • Case briefing
          • A major scandal to hit the German automaker Volkswagen involved regulatory testing
            • In September 2015,the United States Environmental Protection Agency (EPA) announced that Volkswagen had programmed certain emissions controls on its diesel engines to be activated only during regulatory testing but not during real world driving
          • Numerous lawsuits we're filed. It reputation, particularly in the important US market, took a severe hit
  • Corporate Governance公司治理
    • Enron- Case briefing安然事件
      • Enron was formed in 1985, it constantly pushed for deregulation解除管制 of the energy market，which would give the firm greater flexibility to pursue its business model.
      • Enron became adept at hiding the financial losses of its operations using a variety of deceptive techniques
        • Enron used "creative" (i.e.,fradulent) accounting practices to hide flaws in its actual financial performance 安然“创造”会计惯例，以掩盖其实际财务绩效中的缺陷
        • Establish SPV to make related party transactions
    • Failure factors
      • Enron was a poster child of corporate governance failure and poor risk management 安然是公司治理失败跟极差风险管理的代表事件
      • Many in Enron's senior management acted in their own self- interest and against the interests of shareholders (this is known as agency risk) 安然公司高级管理人员中的许多人都是出于自身利益并有悖于股东利益的行为（这被称为代理风险）。
      • Enron's board also failed to fulfill its fiduciary信托 duties to the shareholders 安然董事会也未能履行对股东的信托义务
    • Consequence
      • Enron declared bankruptcy which was the largest corporate bankruptcy in U.S. history and Arthur Anderson went out business
      • After enron debacle, the Sarbanes-Oxley Act (SOX) of 2002 was key legislative reform, along with associated changes in stock exchange and accounting rules 在安然大败之后，2002年的《萨班斯-奥克斯利法案》（SOX）是主要的立法改革，同时伴随着证券交易所和会计准则的相关变化（加强内控系统）
        • SOX created the Public Company Accounting Oversight Board to promote good corporate governance and financial disclosure 法案促进好的公司治理及财务披露
  • Cyber risk网路风险
    • It has become a critically important consideration in recent years. Financial institution are spending billions of dollars every year on their systems to make them safer. These systems must be protected from the outside world as well as from internal misuse 近年来，它已成为至关重要的考虑因素。金融机构每年在其系统上花费数十亿美元，以使其更加安全。 这些系统必须受到保护，免受外界侵害和内部滥用。
    • Threats to the banking system from cyber attacks are also a major concern to international regulatory bodies 网络攻击对银行系统的威胁也是国际监管机构的主要关切
      • Swift
        • Case briefing
          • SWIFT is the world's leading system for transferring funds, electronically among banks and process billions of dollars in transactions every day.
          • In April 2016, an article published in the New York times revealed that hackers has used to use the SWIFT network to steal USD 81 million from the account of Bangladesh bank.( The central bank of Bangladesh) at the New York Fed.
          • The heist抢劫 involved malware that sent on unauthorized SWIFT messages instructing funds to be moved to an account controlled by the hackers.
          • Then the malware恶意软件 deleted the database record of the transfer and the disabled transaction confirmation messages that would have revealed the theft.
  • Summary
    • A. Interest rate risk
      • S&L Industry
    • B. Funding Liquidity Risk
      • Lehman Brothers
      • Continental illinois
      • Northern Rock
    • C. Implementing Hedging Strategies
      • Metallgesellschaft
    • D. Model Risk
      • Niederhoffer
      • Long Term Capital Management (LTCM)
      • London Whale
    • E. Rogue Trading and Misleading Reporting
      • Barings
    • F. Financial Engineering and Complex Derivatives
      • Bankers Trust (BT)
      • Orange Country
      • Sachsen Landesbank
    • G. Reputational risk & Corporate Governance & Cyber risk
      • Volkswagen
      • Enron
      • Swift
• Anatomy of the Great Financial Crisis of 2007~2009 金融危机剖析
  • The Housing Bubble & The Liquidity and Credit Crunch 房地产泡沫与流动性及信用瘫痪
    • A. Key Factors Leading to the Housing bubble
      • The U.S economy was experiencing a low Interest rate environment because: 市场低利率是房地产泡沫的罪魁祸首
        • Large capital inflows from aboard, especially from Asia countries. Asian countries bought U.S securities to: 大量的现金流流入美国，尤其是亚洲国家。 赚到钱后买美国债券，导致价格下降
          • Peg the exchange rates at an export-friendly level.
          • Hedge against depreciation of their own currencies amgainst the dollar, a lesson learned from the Southeast Asian crisis of the late 1990s. 从1990年代后期的东南亚危机中汲取的教训是，本国货币对冲的对冲措施是美元。
        • The Federal Reserve Bank had adopted a lax不严谨的 interest rate policy. 美联储实施量化宽松货币政策
          • The Federal Reserve Bank feared a deflationary period after the bursting bursting of the Internet bubble and thus did not counteract the buildup of the housing bubble. 美联储（Fed）担心互联网泡沫破裂后会出现通缩期，因此无法抵消房地产泡沫的加剧。
      • The banking system underwent an important transformation 银行系统进行大转变
        • The traditional banking model in which the issuing banks. Hold loans until they are repaid, was replaced by the "originate and distribute创造与分发" banking model, in which loans are pooled, tranched, and then resold via securitization
        • The creation of the news securities facilitated the large capital. 新证券的建立促进了大笔资金的流入。
    • B. The Housing Bubble
      • 1. Securitization process
        • 1.1. The process of pooling mortgages into a large pool, dividing the pool into small units and selling the unit as financial investment to investors. 将抵押贷款合并为一个大的池，将池分为几个小单元，然后将其作为金融投资出售给投资者的过程。
        • 1.2. By selling mortgage to investors, lending institutions (Originator) could repackage their mortgages and transfer their risk to the markets. 通过将抵押贷款出售给投资者，贷款机构（发起人bank）可以重新打包抵押贷款并将风险转移到市场。
      • 2. During securitization
        • 2.1.
      • 3. After securitization
        • 3.1. 创造与分发模式
      • 4. Reasons for repaid growth of Securitization and Structured Products 为什么资产证券化跟结构化産品发展迅速呢？
        • 4.1. Securitization can:
          • 1. Reduce financing costs 融资成本低
          • 2. Offer more choices of high-rated assets for certain institutional investors 很多机构投资者会来购买，当时没人违约，评级高，可以购买
          • 3. Provides regulatory and rating arbitrage opportunities 提供监管和评级套利机会
            • Regulatory arbitrage: less capital
            • Rating arbitrage: higher ratings
          • 4. Over-optimism from historical housing data 来自住房历史数据的过度乐观，之前没人违约，因为房地产价格一直上涨
            • Very Low default rates in the past
            • Default rates increases repaidly in stress time
      • 5. Collateralized debt obligation (CDO)抵押债务义务
        • 5.1. CDO is a security that derived from an underlying pools of assets, which includes different tranches. 将抵押贷款按风险分级，风险高收益高，风险低收益低 3 steps to form a CDO:
          • 1. Create diversified portfolio (pools) of assets
          • 2. Create tranches from the portfolio
            • Tranches: Senior(AAA), mezzanine (BBB), Equity (no rating) 档次：高级（AAA），夹层中层（BBB），权益下层（无评级） 像香槟塔一样， 来了利息，先给下层，中层，上层 来了本金，先给上层，中层，下层
          • 3. Sell tranches to investors
            • ①Senior→pension funds; 养老基金 ②mezzanine to more risky investors; (有可能违约） ③Equity maybe held by banks银行自留了（大可能我约）
      • 6. Credit default swaps (CDSs)信用违约互换
        • 6.1. Contracts that pay off when reference instrument defaults
          • 1. It's a derivative, but like insurance 是个衍生産品，更像个保险
          • 2. Buyer of CDS pays a fixed fee periodically 买方要定期支付费用，类似保费
          • 3. Receives a payment in event of a reference default 有违约就可以得到理赔
        • 6.2. Purpose and characteristics of CDS CDs 特性
          • 1. To take place of insurance contracts and relatively inexpensive 保险一般费用较少，买的人多，保费比较便宜
          • 2. Tradable 可交易的
          • 3. No need to hold reference assests 不需要有标的资産，赌风险变大，CDs价格变高，高价卖给别人
          • 4. Create more senior assets, but introduce counterparty risk 创建更多高级资产，但会带来交易对手风险
          • 5. CDS indicies
        • 6.3. Example: using an CDS to Hedge the credit risk of a loan:
    • C. The Liquidity and Credit Crunch
      • 1. Securitization
        • 1.1. The process of pooling mortgages into a large pool dividing the pool into smaller units, and selling the units as financial investments to investors 将抵押贷款合并为一个大资产池的过程，将资产池分成较小的单元，然后将这些单元作为金融投资出售给投资者
        • 1.2. By selling mortgages to investors, lending institutions (originator) could repackage their mortgages and Transfer their risk to the markets
        • 银行资産负债表，负债端：Deposit银行存款户，跟储户借钱(短期)，资産端：Loan贷款（长期），借短投长，rollover借新债还旧债，
      • 2. Assert-liability maturity mismatch
        • 2.1. Banks increasingly financed their Asset holdings with shorter maturity instruments 银行把资産抵押出去，借短期的现金流，
        • 2.2. This change left banks particularly exposed to a dry up in funding liquidity 这种变化使银行特别容易面临资金流动性枯竭的情况
      • 3. Two trends to trigger liquidity crisis两个趋势会诱发流动性风险
        • 3.1. Asset securitization Transfer risks 银行大量做资産证券化産品转移风险
          • 3.1.1. Create structured products (MBS, CDO:senior, mezzanine, equity tranches) 创建结构化产品
          • 3.1.2. Banks no longer being traditional credit intermediary 去银行借钱借不到了
        • 3.2. Mismatch of asset-liability maturity 资産和负债期限相当不匹配
          • 3.2.1. Structured investment vehicles (SIVs): banks create SIVs to investing in structured products
          • 3.2.2. SIVs enjoy high credit ratings and low financing costs SIVs喜欢投资高信评産品，有较低的融资成本
          • 3.2.3. Funding liquidity risks: Issue commercial papers to finance and invest in long-term assets 资金流动性风险：发行商业票据以融资和投资长期资产
          • 3.2.4. SIVs sell commercial papers to Money market funds
          • 3.2.5. Liquidity backstop: credit line granted to SIVs by sponsoring banks
          • 3.2.6. Frequent rollover of short-term debt: Use short-term repurchase to finance long-term asset
      • 4. Worldwide financial consequences
        • 4.1. Subprime mortgage Crisis: main trigger of worldwide financial crisis 次级抵押贷款危机：全球金融危机的主要诱因
          • 4.1.1. More delinquencies违法行为 and foreclosures抵押赎回权取消 and CDs soared CDs价格上涨
          • 4.1.2. Housing prices began to fall房价大跌→有人违约→MBS违约→价格骤降
        • 4.2. Institutions began to fall down 金融机构倒闭，手上持有大量MBS
        • 4.3. Ratings of structured products downgraded 评级机构降级信用等级
        • 4.4. SIVs hard to refinance
        • 4.5. Redemption of money market funds and reluctant of inter-bank borrowing 赎回货币市场基金，不愿银行间借贷
        • 4.6. Panic of the market and liquidity sqeezed 危机导致市场及流动性枯竭
        • 4.7. Liquidation of structured asset created huge losses 清算结构性资产造成巨大损失
      • 5. Funding Liquidity资金流动性（借钱借不到带来的风险）
        • 5.1. Funding Liquidity
          • 5.1.1. An institution's ability to settle obligations when they are due( E.g., for leverage investors, may face funding liquidity in stressed market) 机构在到期时清偿债务的能力（例如，对于杠杆投资者而言，可能在压力大的市场中面临资金流动性）
        • 5.2. Funding liquidity risk
          • 5.2.1. Possibility that an institution will not be able to settle it's obligation when due
            • Margin/haircut funding risk: addition capital requirement when decline of collateral value/ increase of margin 保证金/削减资金风险：抵押品价值下降/保证金增加追加资本要求
            • Rollover risk: not able to roll over short-term debt to refinance purchase of long-term assets 展期风险：无法将短期债务展期为长期资产的再融资
            • Redemption risk: depositors withdraw funds/ redeem shares from financial institutions 赎回风险：储户从金融机构提取资金/赎回股票
        • 5.3. Market Liquidity交易性流动性风险（想卖卖不掉）
          • 5.3.1. How easily/ much Loss to liquidate an asset in the market
            • 1. Bid-ask spread: the spread between bid and ask 买卖价差
              • The higher the spread, the lower the market liquidity 点差越高，市场流动性越低
            • 2. Market depth: how much volume can trade at the current price 市场深度：以当前价格可以交易多少数量（深流动性好）
              • More volume,more market depth, and more market liquidity 交易量更大，市场深度更大，市场流动性更高
              • At a certain volume,the less price moving, the more market depth
            • 3. Market resiliency：how much time and asset will regain it's price after price moving temporarily 市场弹性：价格暂时波动后，多少时间和资产将恢复价格(弹性高，流动性高)
      • 6. Relationship of funding liquidity and market liquidity 资金流动性与市场流动性的关系
        • 6.1. Raising money by selling assets depends on market liquidity 通过出售资产筹集资金取决于市场流动性
          • 6.1.1. Market liquidity is low when hard to sell the asset 市场流动性低在很难卖资産时
        • 6.2. Use asset as collateral to borrow depends on funding liquidity 使用资产作为抵押品取决于资金的流动性
          • 6.2.1. Funding liquidity is low when redemption happens or difficult to rollover 当赎回难以结转时，资金流动性低
        • 6.3. Interaction of funding liquidity and market liquidity
          • 6.3.1. Can trigger significant decline of price and liquidity 可能引发价格和流动性的大幅下降
          • 6.3.2. Even trigger a financial disaster 引发金融危机
      • 7. Loss spiral and margin spiral亏损漩涡及保证金漩涡
        • 7.1. For leveraged investors, when price decline, they may need to sell assets to maintain the leverage
          • 7.1.1. Loss Spiral
            • Sell assets to maintain leverage→price down→sell more assets to maintain leverage 变卖资産还债→资産价格下降→卖更多资産还债
            • The less market liquidity, the more severe严重 loss spiral 市场流动性越来越差，导致严重损失循环
          • 7.1.2. Margin spiral
            • Forced sell of assets fulfill decline of leverage→price down→forced to sell more assets 强制出售资产补充保证金→价格下跌→强迫出售更多资产
          • 7.1.3. Predatory Trading 掠夺性交易（落井下石）
            • Debatably creating situations to force a very favorable price
      • 8. Counterparty risk and Systemic risk
        • 8.1. Network risk互联网风险
          • 8.1.1. A single counterparty risk and cause a web of bilateral parties to seek additional protection and liquidity
          • 8.1.2. Network risk is large in markets without a central clearinghouse 没有中央票据交换所的市场中网络风险很大
          • 8.1.3. Can become a systemic risk
        • 8.2. Avoidance of network risk
          • 8.2.1. Introduction of clearinghouse to eliminate counterparty risk中央清算所降低交易对手风险
          • 8.2.2. But may not eliminate liquidity risk 没办法消灭流动性风险，有清算所就要交保证金，有可能付不出保证金
    • D. Content
      • 1. Key Factors Leading to the Housing bubble
      • 2. Growth of Securitization and Structures Products
      • 3. Funding Liquidity and market liquidity
      • 4. Loss spiral and margin spiral
      • 5. counterparty risk and systemic risk
  • The Crisis Build-up & The Panics and Policy Responses 危机累加和恐慌及政策反应
    • The Crisis Build-up
      • Key terms related to the financial crisis
        • 1. Asset-backed commercial paper(ABCP): A kind of short-term debt, issued by nonfinancial firms with high credit ratings 资产支持的商业票据（ABCP）：一种短期债券，由信用等级高的非金融公司发行 资産端：将次级贷款跟房屋抵押贷款，打包发行证券化难度大，所以将其抵押出去，融到现金 负债端：ABCP，一个短期负债，短期现金流来源，
          • 1.1. Used to finance long-term assets, and rolled over when ABCP reaches its maturity date 用于为长期资产提供资金，并在ABCP到期时结转
        • 2. Bank run: Depositors withdraw cash from a bank (to avoid risk from bank failing) 存款人怕银行不还钱，都去跟银行要钱，还不起产生挤兑，此现象扮演加速恶化金融危机
          • 2.1. Banking crisis play an important accelerator role in broader debt crisis
          • 2.2. There are other runs(e.g., run on a money market mutual fund, pension fund, etc)
        • 3. Shadow bank: A financial institution other than a regulated depository institution 影子银行，不是传统金融机构，但是做放贷业务，无法跟储户吸收存款，储户风险相对小，储户分散些。 只能做短期融资，集中度风险大，都跟金融机构融资，发生问题容易倒闭
          • 3.1. The source of key vulnerabilities that led to the financial crisis. The key vulnerability易受伤 was short-term debt, mostly repo and ABCP
          • 3.2. Examples: PE funds, investment banks, hedge funds, mortgage lenders,etc
        • 4. Repurchase agreements: sell long-term assets and buy back for a short-term borrow 回购协议：出售长期资产并回购短期借款
          • 4.1. The depositor(lender) puts money in the bank for a short term with bank provides collateral, and the bank promises to par the repo rate on the deposited money
        • 5. Haircut: the margin/ discount used in a repurchase agreements to protect lenders 削减：回购协议中用于保护贷方的保证金/折扣 Haircut越高，借到的钱越低
          • 5.1. Example: an investor deposits $95, received a collateral of $100, the haircut is 5%
      • Market conditions of the crisis 金融危机时刻的市场情况
        • 1. Major participants: institutional investors 主要参与者是机构投资者
        • 2. Intermediaries: Shadow bank, issuing repos and ABCP as a substitute for US Treasuries 中介机构：影子银行，发行repo跟ABCP的美国子公司
        • 3. Major contributing Factors: Bundles of subprime mortgages (in the form of ABCP) 主要贷款依据：捆绑的次级抵押贷款（以ABCP的形式）
        • 4. Major trigger of financial crisis: prospect of losses on subprime mortgages 金融危机的主要诱因：次级抵押贷款价格重挫→ABCP价值下跌→纷纷跟他要钱，借你的钱＞抵押价值→发生挤兑
        • 5. Main vulnerabilities of crisis: ABCP and repurchase agreements
          • When housing prices declined, ABCP devalued 标的资産下跌，ABCP价值也下跌
          • ABCP is hard to refinance: Liquidity crisis started 更难用ABCP再融资，
          • Run on ABCP: liquidity crisis exacerbated 许多投资者纷纷要钱，发生挤兑
          • More haircut in repo agreement: liquidity crisis exacerbated 做回购的话，産品价值折扣高
    • The Panic and Policy Responses恐慌及政策对策
      • I. Consequences of Lehman failure
        • 1. Lehman Brothers filed of bankruptcy in Sept 2008
        • 2. Reasons of downfall倒闭原因
          • 2.1. Large exposure to subprime mortgages 大量的次级贷款
          • 2.2. Underwrote the mortgages 承销抵押
        • 3. Tipping point in the financial crisis
          • 3.1. Caused a run on money market mutual funds 导致货币市场共同基金挤兑
          • 3.2. Bank held cash, instead of investment into subprime mortgage market 银行持有现金，而不是投资于次级抵押贷款市场
      • II. Researches of financial crisis金融危机研究
        • Characteristics of a bank crisis银行发生危机
          • A run on banks 银行挤兑
          • Spread to other financial institutions 传播到其他金融机构
        • Predictors of a financial crisis金融危机预测(非理性繁荣)
          • An increase in Housing price & credit in the form of bank loans 认为房价会不断上升，银行大量进行房屋贷款
          • Leverage acceleration in form of external debt & domestic government debt 杠杆上升，银行放贷款
        • Conclusion from 07-09 crisis
          • 07-08 crisis was not unique 危机不是很特殊
          • ①Increased public/ private debt ②increased credit supply ③increased Housing prices
      • III. First panic period: runs on ABCP, 2007.8-2008.10 第一阶段，投资ABCP发生挤兑现象
        • ABCP was thought to be an secure investment 原本认为投资ABCP很安全
        • Runs on ABCP extend to MMFs
      • IV. Second panic period: run on MMFs, 2008.10- 第二阶段，货币市场基金发生挤兑
        • Started when Lenman Brothers filed for bankruptcy 一开始由于雷曼兄弟倒闭
        • Caused a major shock to MMFs 货币市场基金持有雷曼兄弟发行的ABCP,价格重挫
        • Run on some major MMFs spread to other MMFs: contagion start 传染效果
      • V. Governmental Policy responses政府措施
        • 1. Central bank- monetary policy and liquidity support
          • 1.1. Reduction of interest rates
            • No evidence of effect on economic stress and limited evidence of positive effects on financial stress 没有证据证明降低利率在危机时刻有用
          • 1.2. Provide liquidity support: lower reserve requirements, longer funding terms, more auctions and/or higher credit lines 提供流动性，降低存款准备金要求，融资期限增加，多点信用额度
            • Significant positive effects on financial stress during pre-Lehman, but not reliable effects in later period 雷曼前期对财务压力的显着积极影响，但后期则不可靠
        • 2. Government- Financial Sector Stabilization Measures 政府-金融部门稳定措施
          • 2.1. Recapitulation 再融资
            • Capital injection of common stock / preferred Equity subordinated debt 政府注资
          • 2.2. Liability guarantees债务担保
            • Enhancement of depositors protecetion ; debt guarantee ; government lending to an individual institution 加强对存款人的保护; 债务担保; 政府对个人机构的贷款
          • 2.3. Asset purchases: purchases of individual assets; provisions of liquidity 资产购买：购买单个资产； 流动性增强，要卖政府买
      • VI. Real effects of the financial crisis
        • Banks cut back on credit supply, and the reduction had significant impacts on credit-constrained firms 银行减少了信贷供应，而这种减少对信贷受限的公司产生了重大影响
          • Credit-constrained firms are those that their operations are very affected or somewhat affected 信用受限公司经营收到影响
          • In a very noticeable and statistically significant way, the credit-constrained firms: 对于信用受限公司以非常明显且具有统计意义的方式：
            • 1. Cut back on expenditure and dividend payments 信用受限公司要降低开支及红利发放
            • 2. Saw their cash holdings and number of employees decline 降低现金流出，裁员
            • 3. Drew down on their credit lines to have cash in the future 要保留许多现金在帐上才能对抗未来风险
            • 4. Bypassed attractive investment 对于有吸引力的项目不能投资
    • Content
      • 1. Key vulnerabilities for the crisis危机时刻的脆弱性
      • 2. Trigger for the crisis
      • 3. Two main panic periods of the financial crisis
      • 4. Policy responses and their efficacy
      • 5. Real effects of the financial crisis金融危机真实影响
  • The Roles of institutions and the policy responses 机构在金融危机中作用及政策反应
    • A. Structured investment vehicles(SIVs) 特殊投资体属于中介
      • 1. Banks moved assets to be securitized off their balance sheets to structured investment vehicles (SIVs), also called conduits. 银行将资产证券化的资产从资产负债表转移到结构化投资工具（SIV），也称为管道。
      • 2. A SIVs is a limited-purpose, bankruptcy remote company used by banks to purchase assets, funded with short-term commercial paper as well as some medium-term notes and the capital. SIV是一家公司，被银行用来购买资产，并由短期商业票据以及一些中期票据和资本提供资金。
    • B. Problems in the OTD model 创造和分发模型的问题
      • 1. In the Theory, the OTD model would make banks less sensitive to credit crises, reduce systemic risk, and give banks additional funding sources to support their lending. 理论上，使得银行信用风险下降，系统性风险下降，给银行新的融资渠道
      • 2. The crisis, however, exposed flaws in this theory. Over the period from 2003 to 2007,banks appear to have used securitization to keep their credit exposures to AAA-rated tranches to generate extra yield without increasing their regular regulatory capital minimum under Basel II. 在危机时暴露了很多问题，在2003~2007年，银行喜欢做资産证券化，将资産故意做成资産证券化，卖不掉，银行自行买下，原本持有到到期，banking book→Trading book交易帐户并给AAA评级，风险看似很低，作为监管套利,风险低，银行存续资本准备金低，意味着可以做大量高风险而不需交大量资本金，赚的高风险高收益，资本金不会超标，继续做资産证券化
    • C. Criticism of rating agencies 对评级机构的诟病
      • 1. The assumptions used in this ranking process were based on historical data. However, this data did not reflect the changes in the assets characteristics that were taking place at the time. 评级基于历史数据，无法反应公司实时变化，无法实时调查
      • 2. Rating agencies relied on data received from the issuers and arrangers, who were bundling the mortgages and performing due diligence and did not perform any additional due diligence or monitoring of the data. 评级机构依靠从发行人和安排人那里获得的数据，他们正在捆绑抵押贷款并进行尽职调查，并且没有对数据进行任何额外的尽职调查或监视。
      • 3. Subprime mortgage loans were too new in the marketplace to offer long-term data that could inform risk analyses 资産证券化産品太新了，无法获得长期数据来分析
      • 4. Despite these analytical flaws,they were strong incentives for agencies to provide the required ratings in order to keep this profitable and continual cash Stream. 除了分析上的错误，对于评级机构来说有利益冲突，评级机构不愿意对资産公司评高级，资産公司找别家
    • D. What made structured products so problematic为什么结构化産品有问题呢
      • 1. The liability structure and cashflow waterfalls of assets-backed structured products tend to be complex and contain different types of collateral and interest rate and triggers. They are difficult to value even when there is not an ongoing crisis. 资産证券化産品的现金流走势复杂，里面可能包含不同种类的抵押品，很多利率触发条件，在危机时很难进行估值
      • 2. Modeling the cashflows to the trusts can be further complicated by the fact that they are often dependent on the future values and the credit ratings of the collateral. 由于现金流通常取决于抵押物的未来价值和信用等级，因此对现金流进行建模可能会变得更加复杂。
      • 3. These products also had transparency issue. Many investors did not understand the potential risks that may arise from the assumptions underlying the valuation and credit rating models. 这些产品还存在透明度问题。 许多投资者不了解估值和信用评级模型背后的假设可能带来的潜在风险。
      • 4. With no readily available benchmark prices, the lack of transparency made investors highly skeptical of reported prices when assessing the credit risk of a counterparty. 由于没有可用的基准价格，缺乏透明度使投资者在评估交易对手的信用风险时高度怀疑所报告的价格。
    • E. Policy responses and their efficacy 有效应对的政策
      • Central bank: monetary policy 央行货币政策
        • 1. Interest rate change改变利率
          • 1.1. Reduction of interest rate降低利率刺激经济
          • 1.2. No evidence of effect on economic stress and limited evidence of positive effects on financial stress 没有证据表明对经济压力有影响，也没有证据表明对财务压力有积极影响，无论怎么降息都没有用
        • 2. Liquidity support流动性支持
          • 2.1. Lower reserve requirements, longer funding terms, more auctions and/or higher credit lines降低银行准备金，贷款期限变长，
          • 2.2. Significant positive effects on financial stress during the first period(pre-Lehman),but not reliable effects in later初期有用，后期没有，
      • Government: financial sector stabilization measures政府如何稳定财务
        • 1. Recapitalization政府直接注资
          • 1.1. Capital injection(common stock/preferred Equity,subordinate debt) 变成国家控股的一部分，派管理人员注入经营管理，改良管理流程
          • 1.2. Particularly effective in later period 在后期特别有效
        • 2. Liability guarantees责任保证
          • 2.1. Enhancement of depositors protection, debt guarantee, government lending 加强对存款人的保护，债务担保，政府贷款
          • 2.2. Show weak result结果不好
        • 3. Asset purchases资産购买
          • 3.1. Asset purchases, provision of liquidity for bad asset purchases/removal, "ring-fencing"with toxic assets,asset guarantees 资产购买，为不良资产购买/清除提供流动性，与有毒资产“围栏”，资产担保
          • 3.2. Show weak result结果不好
    • F. Content
      • Structured investment vehicles
      • Criticism of rating agencies
      • Policy responses and their efficacy
• GARP Code of Conduct
  • 给案例分析，判断两个人对错，做题为主
  • A. Task
    • Describe the responsibility of each GARP member with respect to professional integrity, ethical conduct, conflicts of interest,confidentiality of information, and adherence to generally accepted practices in risk management.
    • Describe the potential consequences of violating侵犯 the GARP code of conduct. 描述违反GARP行为准则的潜在后果。
  • B. Introduction
    • The code of conduct stresses ethical behavior道德行为 in two areas.
      • 1. Principles. 原则性
      • 2. Professional standards. 专业性标准
    • 1. The principles section addresses: ①Professional integrity and ethical conduct. 职业操守与道德操守 ②Conflicts of interest. ③confidentiality机密性
    • 2. The professional standards section addresses： ① Fundamental responsibilities ②adherence to generally accepted practices in risk management.
  • C. Violations of the Code of Conduct 违反行为准则
    • If the code and certain laws conflict, then laws and regulations will take priority. 当地法律跟准则有冲突，以当地法律优先
    • Violations of the Code of Conduct may result in temporary suspension or permanent removal from GARP membership. In addition, violations could lead to a revocation of the right to use the FRM designation. Sanctions would be issued after a formal investigation is conducted by GARP. 违反《行为准则》可能会导致暂时暂停或永久退出GARP成员资格。 此外，违规行为可能导致撤销使用FRM名称的权利。 在GARP进行正式调查后，将发布制裁。
  • D. Professional Integrity and Ethical Conduct 专业诚信与道德操守
    • 1. Shall professionally, ethically and with integrity in all dealings with employers, existing or potential clients, the public, and other party practitioners in the financial services industry. 在与雇主，现有或潜在客户，公众以及金融服务业的其他从业人员的所有往来中，应专业，道德且诚信地对待。
    • 2. Shall exercise reasonable judgement In the provision of risk services while maintaining independence of thought and direction. GARP members must not offer, solicit索求, or accept any gift, benefit, compensation, or consideration that could be reasonably expected to compromise their own or another's independence and objectivity. 在提供风险服务时应保持合理的判断力，同时保持思想和方向的独立性。 GARP会员不得提供，征集或接受任何合理地预期会损害其本人或他人的独立性和客观性的礼物，利益，补偿或对价。
    • 3. Must take reasonable precautions to ensure that the Member's services are not used for improper, fraudulent欺诈, or illegal purposes. 必须采取合理的预防措施，以确保不会将会员服务用于不正当，欺诈或非法目的。
    • 4. Shall not knowingly misrepresent details relating to analysis, recommendations, actions or another professional activities. 不得故意歪曲与分析，建议，行动或其他专业活动有关的细节。吹牛，虚假业绩
    • 5. Shall not engage in any professional conduct involving dishonesty or deception or engage in any act that reflects negativity on there integrity,character,trustworthiness, or professional ability or on the risk management profession. 不得从事任何涉及不诚实或欺骗的专业行为，也不得从事任何反映其诚信，性格，可信赖性或专业能力或风险管理专业否定性的行为。
    • 6. Shall not engage in any conduct of commit any act that compromises the integrity of GARP,the FRM designation, or the integratity or validity of the examinations leading to the award of the right to use the FRM designation or any other credentials that may be offered by GARP. 不得从事任何损害GARP完整性，FRM指定或检查的完整性或有效性的行为，以导致授予使用FRM名称的权利或任何其他可能提供的证书 GARP。
    • 7. Shall be mindful of cultural differences regarding ethical behavior and customs, and avoid any actions that are, or may have the appearance of being unethical according to local customs. If there appears to be a conflict or overlap of standards, the GARP Members should always seek to apply the highest standard. 应当注意有关道德行为和习俗的文化差异，并避免采取任何根据当地习俗存在或可能看起来不道德的行为。 如果似乎存在标准冲突或重叠，则GARP成员应始终寻求应用最高标准。
  • E. Conflict of interest. 利益冲突
    • Act fairly in all situations and must fully disclose any actual or potential conflict to all affected parties. 在所有情况下均应公正行事，并且必须向所有受影响的各方充分披露任何实际或潜在的冲突。
    • Make full and fair disclosure of all matters that could reasonably be expected to empire independence and objectivity or interfere with respective duties or until their employers, clients, and prospective clients. 充分公平地披露所有合理预期会导致独立和客观或干扰各自职责或直至其雇主，客户和潜在客户的事项。
  • F. Confidentiality机密性
    • Shall not make use of confidential Information for inappropriate purposes and unless having received prior consent shall maintain the confidentiaity of their work,their employer or client. 不得出于不适当的目的使用机密信息，除非事先获得同意，否则应对其雇主或客户对其工作保密。
    • Must not use confidential information for personal benefit. 不得将机密信息用于个人利益。
  • G. Fundamental Responsibilities基本职责
    • 1. Comply with all applicable laws, rules, and regulations (including this Code) governing the GARP Member's professional activities and shall not knowingly participate or assist in any violation of such laws,rules,or regulations 遵守管理GARP会员专业活动的所有适用法律，法规和规章（包括本守则），并且不得有意参加或协助违反此类法律，法规或规章的任何行为
    • 2. Have ethical responsibilities and cannot outsource or delegate those responsibilities to others 有道德责任，不能将这些责任外包或委托给他人
    • 3. Understand the needs and complexity of their employer or client and should provide appropriate and suitable risk management services and advice 了解雇主或客户的需求和复杂性，并应提供适当和适当的风险管理服务和建议
    • 4. Be diligent about not overstating the accuracy or certainty of results or conclusions 勤勉尽责不夸大结果或结论的准确性或确定性
    • 5. Clearly disclose the relevant limits of their specific knowledge and expertise concerning risk assessment, industry practices, and applicable laws and regulations 明确披露他们在风险评估，行业惯例以及适用法律法规方面的特定知识和专长的相关限制
  • H. Best Practices
    • 1. Execute all services with diligence and perform all work in a manner that is independent from interested parties. GARP Members should collect, analyze and distribute risk information with the highest level of professional objectivity. 勤于执行所有服务，并以独立于相关方的方式执行所有工作。 GARP会员应以最高的专业客观性收集，分析和分发风险信息。
    • 2. Be familiar with current generally accepted risk management practices and shall clearly indicate any departure from their use.，熟悉当前普遍接受的风险管理惯例，并应明确指出任何偏离其用法的地方。
    • 3. Ensure that communications include factual data and do not contain false information. 确保通信中包含事实数据，并且不包含虚假信息。
    • 4. Make a distinction between fact and opinion in the presentation of analysis and recommendations 在陈述分析和建议时区分事实和观点
  • I. Summary
    • Content
      • 1. Introduction of GARP Code of Ethics
      • 2. Principles section: professional integrity and ethical conduct, conflicts of interest,confidentiality
      • 3. Profession Standards section
      • 4. Violations