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1、IntroductiontoRiskAnalysisGianlucaFusaiCassBusinessSchoolMScMathematicalTradingandFinanceRiskAnalysisandModelingAcademicYear2012-13Thesenotescanbefreelydistributedunderthesolelyrequirementthattheauthors'snameisexplicitlycited.cGianlucaFusai(CassBusinessS
2、chool)IntroductiontoRiskAnalysisSMM609RiskAnalysis1/18IntroductiontoRiskAnalysisWewillintroducethecoursebysettingthescenefor:What nancialriskanalysisdealswith,Whereitisused,Themaindi erenttypesof nancialrisk,Riskincontext:somehistoricallandmarks,andWhatm
3、akesriskanalysisdicult.Iwilldescribethestructureofthecourse.Wewillalsoconsider:SomeoftherelevanthistoryandA
avorofrecentexperiences.cGianlucaFusai(CassBusinessSchool)IntroductiontoRiskAnalysisSMM609RiskAnalysis2/18StructureofthecourseTwomaintopics1Marke
4、tRisk:ValueatRiskasmeasureofrisk;EstimatingVaR:parametricandnonparametricapproaches;EstimatingVaRforportfolios:bottomupandtopdown;MonteCarloSimulation;BacktestingVAR;Derivativepositions.2CreditRisk:CreditDerivativesandmodels;CommercialModels;Counterparty
5、exposure.cGianlucaFusai(CassBusinessSchool)IntroductiontoRiskAnalysisSMM609RiskAnalysis3/18ReadingListTherearemanytextsthatcoverrisktopicsbutthemostusefulresourcesare:MainReferences1Jorion,P.(2007).ValueatRisk,McGraw-Hill,3rdEdition.2Christo ersen,P,(200
6、3).ElementsofFinancialRiskManagement,AcademicPress.3RiskMetricsTechnicalDocument,availableontheMoodlesystem4CreditMetricsTechnicalDocument,availableontheMoodlesystemAdditionalUsefulReferences1Alexander,C.(2008).MarketRiskAnalysis,VolumeIV,Wiley.2Dowd,K,(
7、2005).MeasuringMarketRisk+CD-ROM,2ndEdition,Wiley.cGianlucaFusai(CassBusinessSchool)IntroductiontoRiskAnalysisSMM609RiskAnalysis4/18WhatisRiskAnalysis?De nitionRiskAnalysisseekstomeasure nancialriskssothattheymaybecontrolled.Itquanti es:Theexposurestovar
8、iousriskfactors(suchasinterestratesandequityindexes),andtheprospectivedistributionofgainsorlossesataspeci chorizon.Oncemeasured,theriskcanbecontrolled:byconstructinghedgesagainstthemajorexposures,andbyimposinglimitsonthere
