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財務風險管理 - Coggle Diagram

- - - - value at risk(VaR)
        
        value at risk (VaR) states a certain loss amount and its probability of occurring.
        
        找報酬的95%信賴區間，左尾即是var
        
        適用時機
        
        正常經濟情況
        
        不適用時機
        
        非正常情況
    - - scenario analysis
        
        Scenario analysis takes into account potential risk factors with uncertainties that are often
        non-quantifiable
        
        ex : 設想最悲觀的情況
      - 壓力測試
  - - - when
        unfavorable events happen together
      - 產生unexpected risk
  - - - interest rate risk
        
        If market interest rates rise, the value of the bond will decrease
      - Equity price risk
        
        general market risk
        
        is the sensitivity of the price of a stock to changes in broad
        market indices
        
        specific risk
        
        is the sensitivity of the price of a stock due to
        unique factors of the entity
        
        可以被避險
      - foreign exchange risk
      - Commodity price risk
    - - default risk
      - Bankruptcy risk
      - downgrade risk
      - Settlement risk(結算風險)
        
        recovery value
        
        The portion that is expected to be recovered is called the recovery value
        
        loss given default (LGD)
        
        portion that is expected to be lost
    - - funding liquidity risk
        
        occurs when an entity is unable to pay down or refinance its debt,
        satisfy any cash obligations to counterparties, or fund any capital withdrawals
      - trading liquidity risk
        
        liquidity risk occurs when an entity is unable to buy or sell a security at the market price due to a temporary inability to find a counterparty to transact on the other side of the trade.