金融学基础课件模块五第一部分投资中的风险管理

Analytical“Pillars”toFinanceOptimizationovertimeAssetvaluationRiskmanagementFinanceModule4Module3Module5Riskallocation(redistribution)isafundamentalfunctionofthefinancialsystem.WhatisRisk?MeasureofRisk:StandardDeviationRiskpreferenceTheRiskManagementProcessTheThreeDimensionsofRiskTransferDiversificationHedgingInsuranceRiskTransferandEconomicEfficiencyModule5:ContentsWhatisRisk?Howdoyoumanagetheriskyouface?UncertaintyandriskUncertaintyisanobjectfact:Nooneknowsforsurewhatwilloccurinthefuture.Howtointerpret‘theuncertaintywithlosses’?Doesriskmeansmerelyloss?Outofexpectation;Beyondexpectation.Riskisrelatedtopreference:subjectivelikes/dislikes;tradingcounterpartiesTheConceptofRiskRisksFacing:FirmsProductionriskandR&DriskPriceriskofoutputsPriceriskofinputs…核心业务风险与价格风险企业或投资者的业绩都在一定程度上受一种或多种金融价格变动的影响。浮动利率融资设置养老基金的企业涉及进出口的企业电子工业：贵金属原材料价格波动（贵金属期货交易价格）既无负债也无利率敏感资产的汽车零售商、房地产商面对外国竞争者的本地制造商成功企业不仅要善于处理其核心业务的风险（技术选择、研究与开发、商业模式、服务方式……），还必须很好地管理价格风险（环境风险）。本模块主要关注金融价格风险。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?风险的度量价格风险定义为未来价格偏离其预期（期望）值的可能性，价格风险表现为价格的波动性（volatility）。

对预期价格的偏离可能有利也可能不利（风险就是不确定损失与机遇的相伴相生）。价格风险测度有多种方式，最常用的方式是同时测度有利和无利方向波动程度的方差或标准差（波动单位）。采用收益率序列的标准差度量风险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

今年发放奖学金的方式改革，有两种方案供你选择：方案A：直接拿1000元；方案B：掷硬币，猜对了可拿2000元，猜错了拿0元。方案C：无所谓你会怎么选？ABC风险偏好：测定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上证50成份股的分散效果

数据来源：国泰安（CSMAR）数据库数据说明以2010年7月1日调整的上证50指数中的50只成份股为样本；数据区间为2010年7月1日-2010年12月31日的日收益率数据（已考虑复权）；每只股票124个交易日。证券组合构建

从50只股票中随机抽取1只股票，计算其收益率的标准差；从剩余49只股票中随机抽取第2只股票，分别以等权和加权（以2010年7月1日各股票的流通市值为权重）方式构造投资组合，并计算组合收益率的标准差；从剩余48只股票中随机抽取第3只股票，分别以等权和加权方式构造投资组合，并计算组合收益率的标准差；以此类推，直到组合规模为50只股票为止；为降低随机误差，使曲线更加平滑，重复上述随机抽样步骤100次，这样得到规模i（i=1,…,50）下的100个组合收益率标准差，取这100个标准差的平均值作为规模i下的组合收益率标准差。投资组合规模与风险分散化效果

系统风险当组合规模达到50只股票时，等权组合的标准差相对组合规模为1只股票时下降了31.2%，表明样本股票的总风险中系统风险占68.8%；即使考虑基金的分散效果，系统风险也占50.6%；一些成熟证券市场系统风险占总风险的比例相当低，如香港和日本证券市场的这一比例仅为15.0%和23.4%；中国A股市场高达50%

-60%以上的系统风险主要来源于政策风险，以及跟风投机行为造成的股票价格变化的高度相关，不利于风险的分散。TeamWork：检验组合的分散效果

数据来源：国泰安（CSMAR）数据库上证50指数数据说明以该指数50只成份股为样本；数据区间为201