Tiêu đề GARP 2023 FRM PART I-Book 1 - Foundations of Risk Management.pdf ✅

2023 Foundations of Risk Management 9780138052362_FRM23_P1_FRM_TP.indd 1 9/13/22 3:44 PM 00006613-00000001_FM_pi-xii.indd 1 22/09/22 3:23 PM
Copyright © 2023, 2022, 2021, 2020 by the Global Association of Risk Professionals All rights reserved. This copyright covers material written expressly for this volume by the editor/s as well as the compilation itself. It does not cover the individual selections herein that first appeared elsewhere. Permission to reprint these has been obtained by Pearson Education, Inc. for this edition only. Further reproduction by any means, electronic or mechanical, including photocopying and recording, or by any information storage or retrieval system, must be arranged with the individual copyright holders noted. All trademarks, service marks, registered trademarks, and registered service marks are the property of their respective owners and are used herein for identification purposes only. Pearson Education, Inc., 330 Hudson Street, New York, New York 10013 A Pearson Education Company www.pearsoned.com Printed in the United States of America ScoutAutomatedPrintCode 00022180-00000001 / A103000319318 EEB/MB ISBN 10: 0-138-05236-0 ISBN 13: 978-0-138-05236-2 00006613-00000001_FM_pi-xii.indd 2 22/09/22 3:23 PM
iii Chapter 1 The Building Blocks of Risk Management 1 1.1 Typology of Risks and Risk Interactions 2 Market Risk 4 Credit Risk 5 Liquidity Risk 5 Operational Risk 6 Business and Strategic Risk 6 Reputation Risk 7 1.2 The Risk Management Process 7 1.3 Identifying Risk: Knowns and Unknowns 8 1.4 Quantitative Risk Metrics 10 Expect the Unexpected 10 From Unexpected to Extreme 10 Risky Relationships 10 Value-at-Risk 11 Expected Shortfall 11 1.5 Risk Factor Breakdown and Interactions Between Factors 11 1.6 Structural Change: From Tail Risk to Systemic Crisis 12 1.7 Human Agency and Conflicts of Interest 12 1.8 Risk Aggregation 13 1.9 Balancing Risk and Reward 14 1.10 Enterprise Risk Management (ERM): More Than Adding Up Risk? 15 Questions 17 Answers 19 Chapter 2 How Do Firms Manage Financial Risk? 21 2.1 Background: The Modern Imperative to Manage Risk 22 Risks from Using Risk Management Instruments 23 Hedging Philosophy 23 Contents 00006613-00000001_FM_pi-xii.indd 3 22/09/22 3:23 PM
iv ■ Contents The Evolving Role of a Risk Advisory Director 50 The Special Role of the Board Risk Management Committee 50 3.5 Risk Appetite and Business Strategy: The Role of Incentives 50 The Role of the CRO 50 Limits Policies 51 Monitoring Risk 52 3.6 Incentives and Risk-Taking 52 3.7 The Interdependence of Organizational Units in Risk Governance 53 3.8 Assessing the Bank’s Audit Function 54 Questions 56 Answers 58 Chapter 4 Credit Risk Transfer Mechanisms 61 4.1 Overview of Credit Risk Transfer Mechanisms 62 4.2 How Credit Risk Transfer Can Be Useful 63 4.3 The Mechanics of Securitization 65 4.4 From Buy-and-Hold to Originate-to-Distribute 66 Questions 70 Answers 71 2.2 Risk Appetite—What Is It? 24 2.3 Risk Mapping 26 2.4 Strategy Selection: Accept, Avoid, Mitigate, Transfer 26 2.5 Rightsizing Risk Management 27 2.6 Risk Transfer Toolbox 28 Beer and Metal 29 Airline Risk Management: Turbulence Ahead 30 Interest Rate Risk and Foreign Exchange Risk Management 31 2.7 What Can Go Wrong in Corporate Hedging? 32 Summary 33 Questions 34 Answers 36 Chapter 3 The Governance of Risk Management 39 3.1 The Post-Crisis Regulatory Response 42 After the Crisis: Industry Restructuring and the Dodd-Frank Act 44 The European Regulatory Response to the GFC: SREP and EBA Stress Tests 45 3.2 Infrastructure of Risk Governance 45 The Board and Corporate Governance 45 From Corporate Governance to Best-Practice Risk Management 46 3.3 Risk Appetite Statement 47 3.4 Implementing Board-Level Risk Governance 49 The Board Audit Committee 49 00006613-00000001_FM_pi-xii.indd 4 22/09/22 3:23 PM
Contents ■ v Chapter 7 Principles for Effective Data Aggregation and Risk Reporting 93 7.1 Introduction 94 7.2 Benefits of Effective Risk Data Aggregation and Reporting 95 7.3 Key Governance Principles 95 7.4 Data Architecture and IT Infrastructure 96 7.5 Characteristics of a Strong Risk Data Aggregation Capability 97 7.6 Characteristics of Effective Risk Reporting Practices 98 Conclusion 99 Appendix 100 Compliance Levels of 30 Banks 100 Questions 101 Answers 102 Chapter 8 Enterprise Risk Management and Future Trends 103 8.1 ERM: What Is It and Why Do Firms Need It? 104 8.2 ERM—A Brief History 105 8.3 ERM: From Vision to Action 106 8.4 Why Might Enterprise Risk Demand ERM: Four Key Reasons 107 Top to Bottom—Vertical Vision 107 Are There Potentially Dangerous Concentrations of Risk within the Firm? 108 Chapter 5 Modern Portfolio Theory and Capital Asset Pricing Model 73 5.1 Modern Portfolio Theory 74 5.2 The Capital Asset Pricing Model 76 5.3 The Capital Market Line and the Security Market Line 78 5.4 Estimating Beta 79 5.5 Performance Measures 80 Sharpe Performance Index 80 Treynor Performance Index 80 Jensen’s Performance Index 80 Link Between the Treynor and Jensen’s Performance Measures 81 Sortino Ratio 81 Information Ratio 81 Questions 82 Answers 83 Chapter 6 The Arbitrage Pricing Theory and Multifactor Models of Risk and Return 85 6.1 The Arbitrage Pricing Theory 86 6.2 Different Types of Factor Models 86 Macroeconomic Factor Models 87 Fundamental Factor Models 87 Statistical Factor Models 89 6.3 Factor Analysis in Hedging Exposure 89 Questions 90 Answers 91 00006613-00000001_FM_pi-xii.indd 5 22/09/22 3:23 PM