CFA考试仿真模拟：Risk Management

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Karin Larsson is a new employee in the risk management group at Baltic Investment Management, Inc. Her co-worker, Sten Reinfeldt, is good resource for any risk management information she may require or questions she may have.
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3 t% `3 Y) i- J+ E4 v, dLarsson and Reinfeldt discuss the importance of risk management for increasingly complex investment management firms and investment portfolios. During this discussion, Larsson makes the following comments about risk management.

5 N4 ]3 {9 z: n$ q& IComment1: Risk governance is a business process system that puts risk management into practice.
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Comment2: Risk management is a process that identifies and continuously measures exposures to risk.
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6 R2 h# m% g& Z' vComment3: Enterprise risk management is based on the consideration of each risk factor within the corporate governance structure.

Baltic has a number of portfolios under management that use derivative instruments. Reinfeldt tells Larsson that derivatives can expose the firm to both financial and nonfinancial risks. Larsson mentions that she has a good understanding of the financial risks associated with derivatives, but not the nonfinancial ones. Reinfeldt responds by listing several nonfinancial risks and suggests that Larsson review them carefully.
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4 ^" w( e! b4 x8 }7 A& OOne of Baltic's portfolios, the PGP Fund, holds only derivative instruments and has a monthly value at risk (VAR) of SEK 10 million at a probability of 0.05. Larsson asks Reinfeldt to explain the VAR of the PGP Fund to her.

8 ^! g. E4 o1 s# `" N2 J4 UBaltic has a fixed-income trading desk and an equity trading desk. The two trading desks are allocated specific levels of risk and engage in activities that have low correlations with each other. Both desks are permitted a daily VAR of SEK 10 million. The fixed income desk is allocated capital of SEK 100 million and makes an average monthly profit of SEK 15 million. The equity desk is allocated capital of SEK 200 million and makes an average monthly profit of SEK 25 million.

Reinfeldt comments that the risk management group has adopted stress testing to make up for some of the limitations of VAR analysis. He lists some of these limitations for Larsson:

Limitation 1: Different VAR estimation methods can produce substantially different values.

Limitation 2: VAR for individual positions does not generally aggregate in a simple way to portfolio VAR.

Limitation 3: VAR incorporates positive outcomes into risk profile, reducing the impact of negative outcomes.
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Larsson focuses on a derivative portfolio, the KP Fund, that contains a number of over-the-counter (OTC) derivative contracts. She asks Reinfeldt how Baltic manages its counterparty credit risk. Reinfeldt responds, “There are a number of ways we manage counterparty credit risk. We periodically mark to market all OTC derivatives contracts. In addition, we use credit default swaps to reduce credit risk."

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