SAP物资管理及战略采购解决方案(pdf 76).pdf
《SAP物资管理及战略采购解决方案(pdf 76).pdf》由会员分享,可在线阅读,更多相关《SAP物资管理及战略采购解决方案(pdf 76).pdf(76页珍藏版)》请在文库网上搜索。
1、ce fixes the problem that outliers pose to the expected shortfall by squaring the distance from each observation below the benchmark return. Hence, observations that are farther below the benchmark return are penalized more by this system. Using the semi-variance in lieu of the standard deviation re
2、sults in more appealing asset allocation decisions since only downside risk is considered 3. DISCUSS tracking error and how its computation is related to other measures of risk ( and ) Tracking Error is defined as the standard deviation of the difference in return between the investment and a specif
3、ied benchmark or target position. It measures how closely the investment performs relative to the benchmark. However, tacking error relies on a normal distribution. As a result, tracking error does not distinguish between deviations above and below the benchmark. Assuming that the deviations on the
4、downside are more serious, tracking error does not give a complete picture of the risk involved in a particular investment. The variance of the total return is a special case of the tracking error when the benchmark return and the expected return of the investment are equal. The formula for the trac
5、king error for stocks looks much like the measurement of total risk. If the is close to 1, the tracking error is primarily a of Unsystematic Risk. Similarly, if the duration of the bond is similar to that of the market index and the yield beta is equal to 1, then the tracking error will equal the du
6、ration-adjusted residual yield volatility risk management CFA Level III Page 3 of 6 Gillsie VAR for the Asset Manager flashcard concepts The Variance/Covariance VAR method uses a process where complex portfolio risks are MAPPED to individual risk factors and then the portfolio is computed using the
7、individual standard deviations of these risk factors and their relative portfolio weights. Once the standard deviation is computed, VAR can be computed by finding the Maximum dollar (or return) loss for a given probability level and time period The Strengths of Variance/Covariance VAR are that: ? It
8、 is Relatively Straight-forward ? Market Data Used to Compute VAR is Readily Available ? the RiskMetrics system can even model some non-linear positions Weaknesses of Variance/Covariance VAR: ? Assume Stable Variance/Covariance matrix through time (may not be true) ? Assume Normally Distributed Retu
9、rns (may not be true) ? Variance/Covariance Matrix becomes larger and more complex as the number of risk factors grows With HISTORICAL VAR, you simply line up returns from low to high and pick the return level that corresponds to the probability level you are interested in. Strengths of Historical V
10、AR are: ? Easy to Use and Understand ? Makes no assumptions re: return normality or linearity ? Variance/Covariance matrices are not necessary Weaknesses of Historical VAR are: ? Large Data Requirements ? Assuming that the future will be like the past ? Valuation models may be necessary for assets w
11、ithout frequent return statistics MONTE CARLO Simulation utilizes asset pricing models to generate many future portfolio price paths. The distribution of asset returns is then generated from the results of this path determination process. Once the distribution of asset returns is determined, VAR is
12、easily derived by looking at the appropriate probability level. The strengths of Monte Carlo VAR are that ? it is more flexible relative to parametric or historical VAR ? no assumptions re: linearity or normality of returns are required Weaknesses of Monte Carlo VAR include ? Portfolio complexity an
13、d the number of scenarios needed ? the path generation process requires asset pricing models which may or may not be reflective or reality STRESS TESTING is “what if” analysis applied to a particular VAR computation. Stress testing allows you to determine the validity and reliability of a VAR estima
14、te The practical applications of VAR for portfolio managers are ? Comparable risk evaluation across asset classes ? Identification of Key Portfolio risks ? Portfolio construction ? Setting portfolio risk limits risk management CFA Level III Page 4 of 6 Gillsie Absolute performance evaluation using V
15、AR should be performed with the problems of VAR in mind Peer group risk evaluation using VAR is not a good idea due to the fact that VAR differs significantly depending on the methodology and assumptions employed Relative risk evaluation v. a benchmark portfolio is more effective than relative peer
16、evaluation because the same methodologies and assumptions can be applied to both the portfolio under evaluation and the benchmark. Hence, comparability problems are minimized. Problem Set: VAR for the Asset Manager by Stocks & Ito 1. DISCUSS the strengths and weaknesses of using variance/covariance
17、VAR computation Strengths: - Using RiskMetrics, the computation of VAR is relatively easy - In most cases, the market data necessary to compute VAR is available - The RiskMetrics system can even model the risk of some non-linear positions Weaknesses: - System assumes that the variance/covariance mat
18、rix is Stable through time. We know now from the Clarke article that the and Correlations may not be stable through time - Some assets may have non-normal return distributions. Variance/Covariance VAR has limited success in handling non-normal distributions - The VAR computation becomes more difficu
19、lt as the complexity of the portfolio increases. As portfolio complexity increases, the number of required risk factors grows, and the variance/covariance matrix rises proportionately 2. CONTRAST the use of VAR for relative risk evaluation v. a competitors portfolio relative to a similar evaluation
20、relative to a benchmark portfolio. Relative evaluation v. a Market Index is more Viable than Peer Group Evaluation because a particular individual will be making the VAR computation for both the underlying portfolio and the market index. Hence, you dont have the large comparability problems that are
21、 inherent in peer comparisons. Also, the characteristics of the market index are better known than the characteristics of the competitors portfolio. 3. Briefly OUTLINE the uses of VAR for portfolio managers Uses of VAR for portfolio managers include: - Comparability - VAR measures risk comparably ac
22、ross asset classes. The result is that with VAR, the risk of a bond portfolio can be compared against the risk of an equity portfolio - Risk Identification - Recall that the key to the parametric VAR computation is the dis- aggregation of complex risks into isolated risk factors. A portfolio manager
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- SAP物资管理及战略采购解决方案pdf 76 SAP 物资 管理 战略 采购 解决方案 pdf 76