Applied Study On Model, Technique And Methodology Of Measurements And Managements Of Finiancial Risk

Based on a large sum of theoretical literatures about measurement and management of western financial risks, the paper focuses on the model, technique and method of market and credit risks, and compares advantage and disadvantage of such models and methods, into which beneficial exploration is made combined with national conditions.Chapter 1 Introduction into fundamental conceptions such as risk varieties, management and general procedure.Chapter 2: Deeply analyze the concrete conditions and problems on risk measurement and management.Chapter 3 and 4:Compare methods of measuring market risks and credit risks. Measuring of market risks was generalized into Beta coefficient, duration and convexity of bond risks, delta and VaR approach. Methods of measuring credit risks were classified into classic models and modern credit measuring model. KMV model and CreditMetrics model are the two most popular models in western countries. The author introduces and analyses the operation principles of the two models, and comparatively studies the two models. KMV model is a default prediction model, which is based on modern option-theoretic approach. CreditMetrics model is a milestone and a remarkable representative as the model of modern credit risk measurement and management, which is based on VaR approach.Chapter 5: Analyze several different techniques and methods of risk management, such as insurance, diversification, debt-asset management and hedging technique, especially make a deep investigation into hedging with options.Chapter 6: The idea of comprehensive risk management was presented combined with fruits and experiences about risk measurement and management in western developed countries and deep exploration into models, techniques and methods of risk measurement and management.