The main general measurement indicators include:
defined variable
Expected shortage
PVBP
Interest rate category
duration
convexity
Option category
Greek
Question 2: What is market risk? Market risk is also one of the most common risks in the financial system. It refers to the risk of negative changes in the market value of the transaction portfolio within the time required for transaction liquidation. The return of market portfolio is the sum of the gains and losses generated by various transactions. Any decline in value will lead to market losses in the corresponding period.
It is not suitable to use the holding time of financial instruments as an index to measure market risk, because banks can realize them at any time during this period, or use hedging to avoid possible losses caused by future price changes. In fact, its risk refers to the fluctuation of market value in the shortest time required for clearing market transactions. This is why market risk only exists in the liquidation period. Although the liquidation period is short, the currency value will fluctuate greatly under the condition of unstable market. If it happens that these market instruments are illiquid, then they need to make substantial concessions before they can be sold. The longer the liquidation period, the greater the possibility of significant changes in market value. Generally speaking, the length of the liquidation period varies with the type of bill. Generally speaking, foreign exchange transactions have a short term (one day), while some derivatives have poor liquidity and generally have a long liquidation period. In either case, the regulatory authorities will formulate rules and set the length of the liquidation period.
Market risk is reflected by the volatility of a series of market parameters, including interest rate, stock index and exchange rate. This instability is measured by market fluctuation. In order to reflect the change of market value of market tools, it is necessary to combine volatility with sensitivity. Sensitivity reflects the influence of changing market parameters on the market value of tools. The fluctuation of market value can be quantified by both the fluctuation of market parameters and the sensitivity of market tools. Controlling market risk refers to controlling the value fluctuation of a given asset-liability portfolio within a specified range. This range can be expressed by the combined sensitivity or value. If the scope is set, risk management can be achieved by frequently adjusting the sensitivity of asset-liability portfolio.
Market risk mainly includes liquidity risk and foreign exchange risk.
Question 3: What is the classification of market risk? Classification of futures market risks
According to the different risk impacts, it can be divided into systematic risk and non-systematic risk; According to the controllability of risk, it can be divided into controllable risk and uncontrollable risk; According to the main body of risk, it can be divided into * * * management risk, exchange management risk, futures brokerage company service risk and customer transaction risk.
The average selling price per share is:, and the average buying price is similarly defined.
Among them, the number of constituent stocks of the index, that is, the actual number of transactions required by the stock portfolio that constitutes the ETF.
Pot is the average price per share of ETF calculated at the current transaction price.
The impact cost of index portfolio trading relative to pot is:
The impact cost of ETF trading can be defined by the first three pending quotations of ETF and the previous transaction price instead of and pot.
Waiting cost: Estimating the waiting cost is to measure the risk of the arbitrageur during holding the stock (or ETF) and compensate the risk. One of the most direct ideas is to extract certain risk reserves for index positions with different holding periods. The specific figure depends on the possible decline of the index during this period under certain probability guarantee conditions. Here, we can learn from the definition of VAR index to get the possible loss value of an asset under a certain probability guarantee, so as to reasonably estimate the waiting cost.
The calculation formula of waiting cost, that is, possible loss, is defined as follows:
Waiting cost (possible loss value) =
Among them, the average return of the position, the standard deviation of the rate of return, and the set standard deviation ratio.
This paper takes 0. 15, and the corresponding probability guarantee is 56%, which can basically meet the full compensation for risks in a long time.
Under the instantaneous trading mode, the constituent stocks of the variable-cost ETF are allocated according to a fixed weight ratio, so the instantaneous trading volume of the ETF will depend on the trading volume of the constituent stocks with the smallest ratio of the number of pending orders to the number to be purchased. First, we calculate the price according to the first price, and then expand the smaller proportion of constituent stocks from the first price to the second and third prices, so that the instantaneous trading volume of ETF stock portfolio can be reasonably enlarged, and obviously the impact cost of arbitrageurs will also increase accordingly.
The trading data of index stocks are easy to get, but the trading data of ETF is impossible, because there is no ETF trading in China stock market. Considering the good liquidity of ETF, this paper chooses China Unicom (600050. SH) as a simulation of ETF. China Unicom has 5 billion tradable shares, and 3 yuan Duo's share price is somewhat similar to the expected ETF. What's more, we estimate that the liquidity of China ETF after listing and trading is much better than that of China Unicom.
As can be seen from Table 4, in an equilibrium market, when arbitrageurs sell or buy at one price, the average impact cost of ETF components traded in real time is 8.5BP and 7.4BP, but the realized trading volume is very small, and the average trading volume is only 10.58 million yuan and1/0.73 million yuan. In extreme cases, some stocks are too few to trade. Assuming that the minimum conversion unit of SSE 180 ETF is 2 million fund shares, and the price of each share is 3 yuan, the minimum conversion amount of arbitrageurs is 6 million shares at a time. Even if the arbitrageur trades at the third price, the trading volume is only about 1, 0 1 000 and 2.75 million yuan, and the impact cost has reached 36BP and 38BP. Obviously, the impact cost of real-time trading mode is very small, but the amount that can be traded is not large. Such a small trading volume obviously does not meet the scale requirements of arbitrage.
As can be seen from Table 5, the impact cost of selling at a price is about 18BP, while the impact cost of buying Unicom at a price is also between 13- 15bp. Together with the impact cost of constructing index portfolio, the comprehensive impact cost of the two will reach about 25BP, which is unbearable for arbitrageurs. Therefore, it is not feasible to arbitrage through instantaneous trading, no matter from the impact cost or volume.
Variable cost under reserved stock model This paper calculates the amount of index portfolio that can be built immediately after reserving the 10, 20 and 30 stocks with the worst liquidity. See Table 6- Table 8 for specific data.
From Table 6 to Table 8, it can be seen that the instantaneous transaction amount of the index portfolio has been greatly improved after retaining a part of the index constituent stocks. Before the constituent stocks were reserved, the instantaneous turnover of the first price was only about 654.38+million, but 30 constituent stocks were reserved. & gt
Question 4: What are the financial risks faced by commercial banks and what are the indicators to measure these risks? Commercial bank risk refers to the possibility that the actual income of the bank deviates from the expected income due to the influence of uncertain factors, thus leading to the possibility of losing or gaining additional income.
At present, the most important and commonly used classification method is to classify commercial banks into credit risk, market risk, liquidity risk and operational risk according to the risks they face in the course of operation. Below we will introduce the definitions and measurement methods of these risks respectively.
credit risk
1. The meaning of credit risk
Credit risk refers to the possibility that a bank will suffer losses due to the uncertainty in credit activities. Specifically, it refers to the risk caused by the default of all imprisoned customers. For example, in asset business, the quality of assets deteriorates due to the borrower's inability to repay debts; In the debt business, depositors withdraw money from their shoes to form a run and so on.
2. Credit risk mitigation
(1) Traditional credit risk measurement models include expert system model and Z-score model.
(2) Modern quantitative measurement and management models of credit risk mainly include: KMV model of KMV Company, credit measurement model of JPMorgan Chase, credit risk plus and macro simulation model (CPV model).
(2) Market risk
1. The meaning of market risk
Market risk is one of the most common risks in the financial system, which is usually caused by the price changes of financial assets. Market risk can generally be divided into interest rate risk and exchange rate risk.
(1) The interest rate risk of commercial banks refers to the risk that changes in the market interest rate level will affect the market value of banks. The interest rate of China's commercial banks has been in the fire environment of interest rate control for a long time, but with the continuous strengthening of interest rate marketization in China, the impact of interest rate risk on commercial banks will also be highlighted.
(2) The exchange rate risk of commercial banks refers to the uncertainty of the increase or decrease of the value of foreign exchange assets or liabilities held by banks due to the sharp fluctuation of exchange rates in the course of international business. With the internationalization of banking business, the proportion of overseas assets and liabilities of commercial banks has increased, and the exchange rate risks faced by commercial banks will continue to increase.
2. Measurement of market risk
As early as 1970s and 1980s, western financial institutions generally felt that the traditional financial risk management tools could no longer meet the needs of financial market development, and began to study how to measure the market risk faced by the whole financial institution with a single model. Among them, the risk model Risk Metrics developed by JP. Morgan is the most successful. The risk measurement index used in this risk model is VaR, that is, value at risk.
liquidity risk
1. The meaning of liquidity risk
In a narrow sense, liquidity risk refers to the payment risk caused by commercial banks not having enough cash to make up for customers' deposit withdrawal; Liquidity risk in a broad sense includes not only liquidity risk in a narrow sense, but also the risk caused by commercial banks' lack of funds to meet customers' reasonable credit demand or other immediate cash demand. Take the recent subprime mortgage crisis in America as an example. On the surface, this crisis is caused by insufficient liquidity of banks, but its fundamental reason is the wrong asset allocation of commercial banks and the indiscriminate issuance of loans with low credit rating and poor quality.
The biggest harm of liquidity risk lies in its conductivity. Due to the complex creditor-debtor relationship between the assets of different financial institutions, once the assets of a financial institution have liquidity problems and cannot maintain their normal positions, the financial problems of a single financial institution will evolve into global financial turmoil. The financial crisis we are experiencing is a crisis from the liquidity crisis of American commercial banks to all areas of American finance, and then to the financial fields of all countries in the world.
2. Measurement of liquidity risk
(1) static analysis method
① loan-to-deposit ratio ratio: a traditional indicator reflecting the liquidity risk of commercial banks, which is equal to the loan-to-deposit ratio. This indicator largely reflects the degree of deposit funds occupation. The higher the ratio, the lower the liquidity and the greater the risk.
② Current assets ratio: it is divided into two levels: the ratio of current assets to total assets and the ratio of current assets to current liabilities. The higher the ratio, the smaller the liquidity risk of commercial banks.
(2) Dynamic analysis method
① Liquidity gap method
Liquidity gap balances the difference between assets and liabilities. At present, the liquidity gap caused by assets and liabilities is static, and assets and liabilities are constantly changing. & gt
Question 5: Standard method for calculating market risk capital Standard method for calculating market risk capital requirements 1. Interest rate risk Interest rate risk includes the risk of bonds (fixed interest rate and floating interest rate traded according to bond trading rules, bonds, negotiable certificates of deposit, non-convertible preferred stocks and convertible bonds), interest rates and bond derivatives positions in trading accounts. The capital requirement of interest rate risk includes two parts: specific risk and general market risk. 1. The capital requirements for specific risks are gradually increased according to the following five levels: * * Securities: 0.00% qualified securities: (1) Remaining period is no more than 6 months: 0.25%(2) Remaining period is 6 months to 24 months: 1.00%(3) Remaining period. (2) The horizontal capital requirements corresponding to the hedgeable parts of weighted long and short positions in different time periods; (3) The capital requirements corresponding to the weighted net long position or net short position of the trading account. The maturity method is used to calculate the risk capital requirements of the general market. See table 1 for the division of time periods and the risk weights of each time period, and table 2 for the division and matching of time zones. First, multiply the position of each period by the corresponding risk weight to calculate the weighted position of each period; Second, the weighted part of multiple short positions that can be hedged with each other in each period is multiplied by 10% to get the vertical capital requirement; Third, the weighted long position and the weighted short position of each period are offset to obtain the weighted net position of each period; Multiply the hedgeable part between the weighted net positions in each time zone by the first set of weights listed in Table 2 to obtain the horizontal capital requirements in each time zone; Fourth, offset the weighted net position of each time zone to get the weighted net position of each time zone; The hedgeable part between the weighted net positions of every two time zones is multiplied by the second set of weights listed in Table 2 to obtain the horizontal capital requirements of that time zone. Fifth, offset the weighted net positions in each period to get the capital demand corresponding to the weighted net long or short positions in the whole trading account.
Question 6: What are the indicators of the risk assessment system of commercial banks? The core indicators of risk supervision of commercial banks are divided into three levels, namely, risk level, risk migration and risk offset:
(1) Risk level indicators include liquidity risk indicators, credit risk indicators, market risk indicators and operational risk indicators, which are static indicators based on time data.
1. Liquidity risk indicators measure the liquidity status and volatility of commercial banks, including liquidity ratio, core debt ratio and liquidity gap ratio, which are calculated in local currency and foreign currency respectively.
2. Credit risk indicators include the ratio of non-performing assets, the credit concentration of a single group customer and the total correlation.
3. Market risk indicators measure the risks faced by commercial banks due to changes in exchange rates and interest rates, including the proportion of accumulated foreign exchange exposure positions and interest rate risk sensitivity.
4. Operational risk indicators measure risks caused by imperfect internal procedures, operator errors or frauds, and external events, and are expressed as operational risk loss rate, that is, the ratio of losses caused by operations to the average of net interest income plus non-interest income in the first three periods.
(2) Risk migration index measures the degree of risk change of commercial banks, which is characterized by the ratio of asset quality change in the previous period and the current period, and belongs to dynamic indicators. Risk migration indicators include normal loan mobility and non-performing loan mobility:
1. The mobility of normal loans is the ratio of the amount of non-performing loans to normal loans, including normal loans and interest-related loans. This indicator is a first-level indicator, including two second-level indicators: normal loan mobility and concerned loan mobility. The mobility of normal loans is the ratio of the amount that becomes the last four in normal loans to normal loans, and the mobility of concern loans is the ratio of the amount that becomes non-performing loans to concern loans. 2. The mobility of non-performing loans includes the mobility of subprime loans and the mobility of doubtful loans. The mobility of subprime loans is the ratio of the amount converted into suspicious loans and loss loans to subprime loans, and the mobility of suspicious loans is the ratio of loans converted into loss loans to suspicious loans.
(3) Risk compensation indicators measure the ability of commercial banks to compensate for risk losses, including profitability, reserve adequacy and capital adequacy.
1. Profitability indicators include cost-income ratio, asset profit rate and capital profit rate. The cost-income ratio is the ratio of operating expenses plus depreciation to operating income, which should not be higher than 45%; The profit rate of assets is the ratio of after-tax net profit to average total assets, which should not be less than 0.6%; Capital profit rate is the ratio of after-tax net profit to average net assets, which should not be less than 1 1%.
2. Reserve adequacy ratio indicators include asset loss reserve adequacy ratio and loan loss reserve adequacy ratio. The asset loss reserve adequacy ratio is the first-class indicator, and the ratio of actual provision to provision of credit risk assets shall not be less than100%; The loan loss reserve adequacy ratio is the ratio of actual loan provision to required loan provision, which should not be less than 100%, and is a secondary indicator.
3. Capital adequacy ratio indicators include core capital adequacy ratio and capital adequacy ratio, which is the ratio of core capital to risk-weighted assets and should not be less than 4%; Capital adequacy ratio is the ratio of core capital plus secondary capital to risk-weighted assets, which should not be less than 8%.
Question 7: Indicators for measuring risk are: Choosing dVaR model provides a measure of market risk and credit risk, which is not only beneficial to the risk management of financial institutions, but also to the effective supervision of regulatory authorities.
Question 8: According to the Guidelines for Risk Management of Personal Financial Services of Commercial Banks, () is an indicator that must be included in the market risk limit. The answer is C. Article 41 of the Guidelines for Risk Management of Personal Financial Services of Commercial Banks stipulates that commercial banks should adopt multiple indicators to manage market risk limits. The limits of market risk can be trading limit, stop loss limit, mismatch limit, option limit and value-at-risk limit. However, in the risk limit indicators adopted, at least the value-at-risk limit should be included.
Article 42 of the Guidelines for Risk Management of Personal Financial Services of Commercial Banks stipulates that commercial banks should not only set the market risk limits that the bank as a whole can bear, but also set the risk limits of different trading departments and traders according to the risk management authority, and determine the risk limits of each financial plan or product.
Question 9: What are the main indicators to measure financial security? From the perspective of supervision, we should focus on capital adequacy ratio, liquidity and asset quality. From the perspective of risk management and control, it focuses on testing operational risk, credit risk and market risk in business environment through internal control.
Question 10: What are the market risks of commercial banks? Market risk refers to the risk that the bank's on-balance sheet and off-balance sheet business will suffer losses due to adverse changes in market prices (interest rate, exchange rate, stock price and commodity price). Market risk exists in the trading and non-trading business of banks.
Market panic risk can be divided into interest rate risk, exchange rate risk (including gold), stock price risk and commodity price risk, which refer to the risks caused by adverse changes in interest rate, exchange rate, stock price and commodity price respectively. According to different sources, interest rate risk can be divided into repricing risk, yield curve risk, benchmark risk and option risk.