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1、AbstractRiskisabasiccharacteristicoffinancialsystemandfinancialactivity.Andtheanalysisandmanagementofriskisthecoreofallbusinessandmanagementactivitiesofeveryfinancialinstitution.Therefore,wemustunderstandthetheoriesandtechniquesofriskanditsmanagementi
2、fwewanttounderstandthemostessentialpartofmodernmarketeconomy.Atthesametime,thetheoryaboutriskanalysis,pricingandmanagementplaysanimportantroleinmodernfinancialtheories.Mr.RobertMerton,whowonNobelPrizeforEconomicsin1997,pointsoutthatmodernfinancialtheo
3、ryhasthreecollars----thetimevalueofcapital,assetpricing,andriskmanagement.Modernfinancialriskmanagementistotallybrand-new.Ithasonlyahistoryofthirtyyears.In1970s,theriskenvironmentoffinancialinstitutionsbecamemoreandmorecomplicated.Andsomebigcompaniesb
4、egantostudytheriskfactorsanddorelevantresearchsothattheycouldavoidlargelossorbankruptcy,keepthemselvesgoingandrealizetheirprofitobject.Thetheoryfoundationofthissubjectisalsothemodernfinancialtheoriesdevelopedin1950s,whichincludedmanyriskanalysesandpri
5、cingmethodsuchasH.Markowitz'sportfoliotheory,SharpeandRoss'assetpricingtheoryandBlack---Scholesoptionpricingtheory.Accordingtothesetheories,riskmanagersinventedalotoffinancialderivativetoolstendedtoarbitrageandmanagerisks,ontheotherhand,theyalsodevelo
6、pedvariousriskmeasurementmodelsthatcouldrecognizeandcalculatefinancialrisks.VaRisjustoneofthem.Inaddition,financialsupervisoryauthorities,suchasBaselCommitee,begantocombinetheiroutsidesupervisionwithinternalriskmanagementofcommercialbanks.Thus,theycou
7、ldmanageandcontrolthemarketriskandcreditriskthatfinancialorgansareexposed.Thisapproachbecamethesafeguardforvariousfinancialinstitutionsinthecomplicateandfiercecompetingmarket.Asfarasbanksareconcerned,thetraditiondefinitionofcreditriskrefertotherisktha
8、tdebtorlosesitssolvency,breaktheagreement,andcouldnotrepayitsloanorbond.Itisalsocalleddefaultrisk.Marketriskandcreditriskarethemostimportanttwoingredientsoffinancialrisk.Sincecreditriskcouldbeeasilyandrapidlypervadedandmagnified,andcouldleadto
