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FRM®一级风险管理基础备考公式（7）
文章来源：网络
发布时间：2022-01-04 10:52
阅读：543次
本文继续为大家介绍FRM®一级风险管理基础的备考公式，以下是定量分析备考公式（7），一起来看吧。
Risk Data Aggregation
Involves defining, gathering, and processing risk data for measuring performance against risk tolerance/appetite. Benefits include:
Increases ability to anticipate problems
Identifies routes to financial health.
Improves resolvability in event of bank stress
Increases efficiency, reduces chance of loss, and increases profitability
Enterprise Risk Management (ERM)
Integrated and centralized framework for managing firm risks in order to meet business objectives, minimize unexpected earnings volatility, and maximize firm value. Benefits include (1) increased organizational effectiveness, (2) better risk reporting, and (3) improved business performance.
Risk Factors for Financial Disasters
Interest rate risk: results from fluctuations in interest rate levels (measured using duration). Case study: the savings and loan (S&L) crisis in the 1980s. Liquidity risk: potential for loss that results from short-term funding issues. Case studies: Lehman Brothers, Continental Illinois, and Northern Rock. Hedging strategies: a firm must choose between a static hedge and a dynamic (rolling) hedge. Case study on dynamic hedge challenges: Metallgesellschaft Refining and Marketing (MGRM).【点击免费下载>>>更多FRM学习相关资料】
Model risk: can include making improper assumptions, measuring relationships the wrong way, and deploying the wrong model overall. Case studies: the Niederhoffer case and Long-Term Capital Management (LTCM).
Rogue trader: misleading reporting can cause the collapse of an entire organization. Case study: Barings Bank (Nick Leeson).
Financial engineering: involves the use of forwards, futures, swaps, options, and securitized products to hedge risk. Case studies on understanding the risks of these hedging tools: Bankers Trust, Orange County, and Sachsen Landesbank.
Reputational risk: the way in which the general public perceives the firm. Case study: Volkswagen. Corporate governance: system of policies and procedures that direct how a firm is operated. Case study: Enron.
Cyber risk: risk of financial or reputational loss due to cyberattack on internal technology infrastructure. Case study: the SWIFT system.
Financial Crisis 2007–2009
Contributing factors: (1) banks relaxed their lending standards with move to originate-todistribute model (increased subprime lending), (2) institutions increasingly funded themselves using short-term facilities (increased liquidity risk), and (3) the Lehman Brothers default caused a loss of confidence with banks refusing to lend to each other, and ultimately requiring central banks to provide liquidity support.
GARP Code of Conduct
Sets forth principles related to ethical behavior within the risk management profession.
It stresses ethical behavior in the following areas: Principles
Professional integrity and ethical conduct
Conflicts of interest
Confidentiality
Professional Standards
Fundamental responsibilities
Adherence to best practices
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.
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