【视频】经济学：金融市场 02 风险管理 (The Risk Management).pdf

Lecture2-TheUniversalPrincipleofRiskManagement:PoolingandtheHedgingofRisks

Overview:

Statisticsandmathematicsunderliethetheoriesoffinance.ProbabilityTheoryandvarious

distributiontypesareimportanttounderstandingfinance.Riskmanagement,forinstance,depends

ontoolssuchasvariance,standarddeviation,correlation,andregressionanalysis.Financial

analysismethodssuchaspresentvaluesandvaluingstreamsofpaymentsarefundamentalto

understandingthetimevalueofmoneyandhavebeeninpracticeforcenturies.

Readingassignment:

JeremySiegel,StocksfortheLongRun,chapter1andAppendix2,p.12

FinancialMarkets:Lecture2Transcript

January16,2008

ProfessorRobertShiller:TodayIwanttospend--Thetitleoftodayslectureis:TheUniversal

PrincipleofRiskManagement,PoolingandtheHedgingofRisk.WhatImreallyreferringtois

whatIthinkistheveryoriginal,thedeepconceptthatunderliestheoreticalfinance--Iwantedto

getthatfirst.Itreallyisprobabilitytheoryandtheideaofspreadingriskthroughriskpooling.So,

thisideaisanintellectualconstructthatappearedatacertainpointinhistoryandithashadan

amazingnumberofapplicationsandfinanceisoneofthese.Someofyou--Thisincidentallywill

beamoretechnicalofmylecturesanditsalittlebitunfortunatethatitcomesearlyinthe

semester.Forthoseofyouwhohavehadacourseinprobabilityandstatistics,therewillbe

nothingnewhere.Well,nothingintermsofthemath.Theprobabilitytheoryisnew.Others

though,Iwanttotellyouthatitdoesnt--ifyoureshopping--Ihadastudentcomebyyesterday

andask--hesalittlerustyinhismathskills--ifheshouldtakethiscourse.Isaid,Wellifyou