金融學(xué)基礎(chǔ)課件模塊五第一部分投資中的風(fēng)險(xiǎn)管理

Analytical“Pillars”toFinanceOptimizationovertimeAssetvaluationRiskmanagementFinanceModule4Module3Module5Riskallocation(redistribution)isafundamentalfunctionofthefinancialsystem.WhatisRisk?MeasureofRisk:StandardDeviationRiskpreferenceTheRiskManagementProcessTheThreeDimensionsofRiskTransferDiversificationHedgingInsuranceRiskTransferandEconomicEfficiencyModule5:ContentsWhatisRisk?Howdoyoumanagetheriskyouface?UncertaintyandriskUncertaintyisanobjectfact:Nooneknowsforsurewhatwilloccurinthefuture.Howtointerpret‘theuncertaintywithlosses’?Doesriskmeansmerelyloss?Outofexpectation;Beyondexpectation.Riskisrelatedtopreference:subjectivelikes/dislikes;tradingcounterpartiesTheConceptofRiskRisksFacing:FirmsProductionriskandR&DriskPriceriskofoutputsPriceriskofinputs…核心業(yè)務(wù)風(fēng)險(xiǎn)與價(jià)格風(fēng)險(xiǎn)企業(yè)或投資者的業(yè)績(jī)都在一定程度上受一種或多種金融價(jià)格變動(dòng)的影響。浮動(dòng)利率融資設(shè)置養(yǎng)老基金的企業(yè)涉及進(jìn)出口的企業(yè)電子工業(yè)：貴金屬原材料價(jià)格波動(dòng)（貴金屬期貨交易價(jià)格）既無(wú)負(fù)債也無(wú)利率敏感資產(chǎn)的汽車零售商、房地產(chǎn)商面對(duì)外國(guó)競(jìng)爭(zhēng)者的本地制造商成功企業(yè)不僅要善于處理其核心業(yè)務(wù)的風(fēng)險(xiǎn)（技術(shù)選擇、研究與開發(fā)、商業(yè)模式、服務(wù)方式……），還必須很好地管理價(jià)格風(fēng)險(xiǎn)（環(huán)境風(fēng)險(xiǎn)）。本模塊主要關(guān)注金融價(jià)格風(fēng)險(xiǎn)。RisksFacing:HouseholdsSickness,disability,anddeathUnemploymentriskConsumer-durableassetriskLiabilityriskAdjustableRateMortgagesFinancial-assetrisk…RiskExposureParticulartypesofriskonefacesduetoone’scircumstancessuchasjob,business,andpatternofconsumption,etc.Farmer:theriskofacropfailureandtheriskofadeclineinthepriceHouseowner:therisksoffire,theft,stormdamage,earthquakedamageImporter/exporter:thecurrencyriskTheStock,BondandOilIndicesDatasource：Datastream，Bloomberg，YahooFinanceWhichoneisthemostrisky?Why?Howtomeasurerisk?風(fēng)險(xiǎn)的度量?jī)r(jià)格風(fēng)險(xiǎn)定義為未來(lái)價(jià)格偏離其預(yù)期（期望）值的可能性，價(jià)格風(fēng)險(xiǎn)表現(xiàn)為價(jià)格的波動(dòng)性（volatility）。

對(duì)預(yù)期價(jià)格的偏離可能有利也可能不利（風(fēng)險(xiǎn)就是不確定損失與機(jī)遇的相伴相生）。價(jià)格風(fēng)險(xiǎn)測(cè)度有多種方式，最常用的方式是同時(shí)測(cè)度有利和無(wú)利方向波動(dòng)程度的方差或標(biāo)準(zhǔn)差（波動(dòng)單位）。采用收益率序列的標(biāo)準(zhǔn)差度量風(fēng)險(xiǎn)DistributionofReturnsonTwoStocks

0.00.51.01.52.02.53.03.5-100%-50%0%50%100%ReturnProbabilityDensityNORMCOVOLCONormalDistribution:Graph10%Whichoneistheriskier?ReturnsonGENCO&RISCOCalculatetheirExpectedReturn&Risk(StandardDeviation).ExpectedReturn:MeanRisk:StandardDeviation:

2530.0=RISCOrs()()1265.0016.0)10.010.0(2.010.010.06.010.030.02.0222==--*+-*+-*=GENCOrsCalculatetheExpectedReturns&Risks

今年發(fā)放獎(jiǎng)學(xué)金的方式改革，有兩種方案供你選擇：方案A：直接拿1000元；方案B：擲硬幣，猜對(duì)了可拿2000元，猜錯(cuò)了拿0元。方案C：無(wú)所謂你會(huì)怎么選？ABC風(fēng)險(xiǎn)偏好：測(cè)定0WealthWUtilityU(W)2000U(2000)U(0)1000

5001500U(1000)

Preference:RiskAversionIngeneral：

Riskaversion：

U(0.5*2000+0.5*0)>0.5*U(2000)+0.5*U(0)ConcaveutilityfunctionDecreasingmarginalutilityRationalbehaviorassumedtoberisk-averse.0WealthWUtilityU(W)2000U(2000)U(0)1000

5001500U(1000)

Preference:RiskSeekingIngeneral：

Riskseeking：

U(0.5*2000+0.5*0)<0.5*U(2000)+0.5*U(0)ConvexutilityfunctionIncreasingmarginalutilityHowaboutindifferencebtwA&B?TheRisk-ManagementProcessAsystematicattempttoanalyzeanddealwithrisk.FivestepsRiskidentificationRiskassessmentSelectionofrisk-managementtechniquesImplementationReview

UltimategoalsofriskmanagementTailtherisktowardone’spreferenceTheProcessofRiskManagementTheprocessofformulatingthebenefit-costtrade-offsofriskreductionanddecidingonthecourseofactiontotake.RiskidentificationRiskassessmentSelectionofrisk-managementtechniquesImplementationReviewsRiskIdentificationFiguringoutwhatthemostimportantriskexposuresarefortheunityofanalysis.Effectiveriskidentificationrequiresthatonetaketheperspectiveoftheentityasawhole:Thenetexposuretoexchange-rateriskofafirmbuyinginputsandsellingproductsabroad;Priceriskandquantityriskoffarms;Careerandstock-marketrisk.RiskAssessmentThequantificationofthecostsassociatedwiththerisksthathavebeenidentified.Health-insuranceandactuaries.Professionalinvestmentadvisors.RiskManagementTechniquesRiskavoidanceLosspreventionandcontrolRiskretentionRisktransfer(ourconcern)ImplementationThebasicprincipleistominimizethecostsofimplementation.ThelowestpremiumforhealthinsuranceThecostsofinvestinginthestockmarketthroughmutualfundorabrokerReviewRiskmanagementisadynamic“feedback”process,inwhichdecisionsareperiodicallyreviewedandrevised.ThreeDimensionsofRiskTransferDiversifyingHedgingInsuringDiversifyingDiversifyingHoldingsimilaramountsofmanyriskyassets(portfolio)insteadofconcentratingallofyourinvestmentinonlyone.Bydiversifyingacrossriskyassetspeoplecansometimesachieveareductionintheiroverallriskexposurewithnoreductionintheirexpected

return.BasicsofPortfolioTheoryAquantitativeanalysistoolforoptimalriskmanagement.Solvetheproblem:Howtochooseamongfinancialalternativessoastomaximizeinvestors’givenpreferences.Optimalchoice(laterinModule6):evaluatethetrade-offsbetweenreceivingahigherexpected

returnandtakinggreaterrisk.DiversificationwithUncorrelatedRisks

Investinginasingledrug.initialcapital:$100,000probabilityofsuccess:50%uncertainty:$400,000ornothing

Possibleoutcomesandpayoffs:failwithprobability0.5andwithnopayoffsucceedwithprobability0.5andwith$400,000ExpectedPayoff=$200,000StandardDeviation=$200,000DiversificationwithUncorrelatedRisksInvestingin

twodrugs

（diversifyingbyholdingaportfolio）initialcapital:$100,000($50,000perdrug)probabilityofsuccess:50%uncertainty:$200,000ornothingindependenceofsuccessesPossibleoutcomesandpayoffs:Nodrugssucceedwithprobability0.25andwithnopayoff;Onedrugsucceedswithprobability0.5andwith$200,000;Bothdrugssucceedwithprobability0.25andwith$400,000.ExpectedPayoff=$200,000StandardDeviation=$141,421DiversificationwithUncorrelatedRisksExpectedPayoff=$200,000StandardDeviation=$200,000StandardDeviationfallsExpectedPayoff=$200,000StandardDeviation=$141,421DiversificationwithUncorrelatedRisksGeneralizingtheargument,itiseasytoprovethatthestandarddeviationinthecaseofNdrugsis:Conclusion:Giventhefactsofthisexample,theportfolioriskmaybediversifiedasclosetozeroaswewishiftherearesufficientanduncorrelatedsecurities!Inreality,however,Nmustbefinite,andpharmaceuticalprojectshaveanon-zerocorrelations.CorrelatedHomogeneousSecuritiesPharmaceuticalprojectsdohavepositivecorrelation.Loosentheassumptionsmadeaboutthecorrelation,andsetittoρ

,andusethegeneralizationofWiththehomogeneoussecurities,wehavediversifiablerisk:firm-specificrisknondiversifiablerisk:systematicriskPerfectcorrelation(ρ=1)impliesnoriskcanbediversified!

DiversifiableSecurityRisk

NondiversifiableSecurityRisk0.000.020.040.060.0005101520253035404550PortfolioSize

StandardDeviationofPortfolioRateofReturn

DiversifiableRiskNondiversifiableRiskAllriskisdiversifiable

0.000.020.040.060.0005101520253035404550PortfolioSize

StandardDeviationofthePortfoliorateofreturnAllriskisdiversifiable!ExtensiontoMoreSecuritiesAllriskisdiversifiable!DiversifiableRiskNon-diversifiableRiskNondiversifiableRiskThepartthatremainsnomatterhowmanystocksareaddedisthenon-diversifiablerisk(marketrisk/systematicrisk).Thepartoftheportfoliovolatilitythatcanbeeliminatedbyaddingmorestocksisthediversifiablerisk(firm-specificrisk/non-systematicrisk).Diversifiable(Unique)risk051015NumberofSecuritiesPortfoliostandarddeviationTheeffectofincreasingthenumberofsecuritiesinaportfolioNondiversifiable(Market)riskApprox.20%DiversificationofRisk上證50成份股的分散效果

數(shù)據(jù)來(lái)源：國(guó)泰安（CSMAR）數(shù)據(jù)庫(kù)數(shù)據(jù)說(shuō)明以2010年7月1日調(diào)整的上證50指數(shù)中的50只成份股為樣本；數(shù)據(jù)區(qū)間為2010年7月1日-2010年12月31日的日收益率數(shù)據(jù)（已考慮復(fù)權(quán)）；每只股票124個(gè)交易日。證券組合構(gòu)建

從50只股票中隨機(jī)抽取1只股票，計(jì)算其收益率的標(biāo)準(zhǔn)差；從剩余49只股票中隨機(jī)抽取第2只股票，分別以等權(quán)和加權(quán)（以2010年7月1日各股票的流通市值為權(quán)重）方式構(gòu)造投資組合，并計(jì)算組合收益率的標(biāo)準(zhǔn)差；從剩余48只股票中隨機(jī)抽取第3只股票，分別以等權(quán)和加權(quán)方式構(gòu)造投資組合，并計(jì)算組合收益率的標(biāo)準(zhǔn)差；以此類推，直到組合規(guī)模為50只股票為止；為降低隨機(jī)誤差，使曲線更加平滑，重復(fù)上述隨機(jī)抽樣步驟100次，這樣得到規(guī)模i（i=1,…,50）下的100個(gè)組合收益率標(biāo)準(zhǔn)差，取這100個(gè)標(biāo)準(zhǔn)差的平均值作為規(guī)模i下的組合收益率標(biāo)準(zhǔn)差。投資組合規(guī)模與風(fēng)險(xiǎn)分散化效果

系統(tǒng)風(fēng)險(xiǎn)當(dāng)組合規(guī)模達(dá)到50只股票時(shí)，等權(quán)組合的標(biāo)準(zhǔn)差相對(duì)組合規(guī)模為1只股票時(shí)下降了31.2%，表明樣本股票的總風(fēng)險(xiǎn)中系統(tǒng)風(fēng)險(xiǎn)占68.8%；即使考慮基金的分散效果，系統(tǒng)風(fēng)險(xiǎn)也占50.6%；一些成熟證券市場(chǎng)系統(tǒng)風(fēng)險(xiǎn)占總風(fēng)險(xiǎn)的比例相當(dāng)?shù)?，如香港和日本證券市場(chǎng)的這一比例僅為15.0%和23.4%；中國(guó)A股市場(chǎng)高達(dá)50%

-60%以上的系統(tǒng)風(fēng)險(xiǎn)主要來(lái)源于政策風(fēng)險(xiǎn)，以及跟風(fēng)投機(jī)行為造成的股票價(jià)格變化的高度相關(guān)，不利于風(fēng)險(xiǎn)的分散。TeamWork：檢驗(yàn)組合的分散效果

數(shù)據(jù)來(lái)源：國(guó)泰安（CSMAR）數(shù)據(jù)庫(kù)上證50指數(shù)數(shù)據(jù)說(shuō)明以該指數(shù)50只成份股為樣本；數(shù)據(jù)區(qū)間為201