Python金融風險管理FRM（實戰篇）

金融風險管理已經成為各個金融機構必備的職能部門。特別是隨著全球金融一體化不斷地深入發展，金融風險管理越發重要，也日趨復雜。金融風險管理師(FRM)就是在這個大背景下推出的認證考試，FRM現在已經是金融風險管理領域****的國際認證考試。本叢書以FRM考試第一、二級考綱內容為中心，並且突出介紹實際工作所需的金融建模風險管理知識。本叢書將金融風險建模知識和Python編程有機地結合在一起，配合豐富的彩色圖表，由淺入深地將各種金融概念和計算結果可視化，幫助讀者理解金融風險建模核心知識，提高數學和編程水平。 《Python金融風險管理FRM（實戰篇）》是本系列圖書的第二冊，共分12章。《Python金融風險管理FRM（實戰篇）》的第1章講解金融數據波動率計算，其中主要包括MA、ARCH、GARCH等模型。第2章介紹隨機過程，比如馬爾可夫過程、馬丁格爾策略、維納過程、伊藤引理和幾何布朗運動等內容。第3章探討蒙特卡羅模擬，特別是股價模擬和期權定價內容。第4章介紹常見的幾種回歸分析，比如線性回歸、邏輯回歸、多項式回歸、嶺回歸和套索回歸。第5、6和7章內容探討期權定價和分析，第5章以二叉樹為主，第6章介紹BSM模型條件下的期權定價，第7章介紹希臘字母。第8、9和10章內容介紹風險管理，分別是市場風險、信用風險和交易對手信用風險。第11和12章探討投資組合相關內容。 《Python金融風險管理FRM（實戰篇）》適合所有金融從業者閱讀，特別適合金融編程零基礎讀者參考學習。《Python金融風險管理FRM（實戰篇）》適合FRM考生備考參考學習，可以幫助FRM持證者實踐金融建模，另外，《Python金融風險管理FRM（實戰篇）》也是鞏固金融知識、應對金融筆試和麵試的利器。

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目錄

第1章波動率 ···························································································· 1 

1.1 回報率 ···············································································································2 

1.2 歷史波動率 ······································································································· 10 

1.3 移動平均(MA)計算波動率···················································································· 13 

1.4 自回歸條件異方差模型ARCH ················································································ 21 

1.5 廣義自回歸條件異方差模型GARCH ········································································ 25 

1.6 波動率估計 ······································································································· 29 

1.7 隱含波動率 ······································································································· 31 

第2章隨機過程 ························································································38 

2.1 隨機變量與隨機過程 ··························································································· 40 

2.2 馬爾可夫過程 ···································································································· 43 

2.3 馬丁格爾 ·········································································································· 46 

2.4 隨機漫步 ·········································································································· 49 

2.5 維納過程 ·········································································································· 54 

2.6 伊藤引理 ·········································································································· 56 

2.7 幾何布朗運動 ···································································································· 60 

第3章蒙特卡羅模擬 ··················································································65 

3.1 蒙特卡羅模擬的基本思想 ····················································································· 66 

3.2 定積分 ············································································································· 66 

3.3 估算圓周率 ······································································································· 75 

3.4 股價模擬 ·········································································································· 78 

3.5 具有相關性的股價模擬 ························································································ 81 

3.6 歐式期權的定價 ································································································· 85 

3.7 亞式期權的定價 ································································································· 87 

3.8 馬爾可夫鏈蒙特卡羅 ··························································································· 90 

第4章回歸分析 ························································································97 

4.1 回歸分析概述 ···································································································· 99 

4.2 回歸模型的建模與評估 ·······················································································102 

4.3 線性回歸 ·········································································································105 

4.4 邏輯回歸 ·········································································································113 

4.5 多項式回歸 ······································································································118 

4.6 嶺回歸 ············································································································121 

4.7 套索回歸 ·········································································································128 

第5章期權二叉樹···················································································133 

5.1 期權市場 ·········································································································134 

5.2 標的物二叉樹 ···································································································140 

5.3 歐式期權二叉樹 ································································································145 

5.4 美式期權二叉樹 ································································································151 

5.5 二叉樹步數影響 ································································································157 

5.6 其他二叉樹 ······································································································160 

第6章BSM期權定價 ···············································································171 

6.1 BSM模型 ·········································································································172 

6.2 時間價值和內在價值 ··························································································176 

6.3 外匯期權 ·········································································································181 

6.4 期貨期權和債券期權 ··························································································184 

6.5 數字期權 ·········································································································185 

第7章希臘字母······················································································199 

7.1 希臘字母 ·········································································································200 

7.2 Delta ···············································································································201 

7.3 Gamma ············································································································211 

7.4 Theta ··············································································································218 

7.5 Vega ···············································································································226 

7.6 Rho ················································································································230 

第8章市場風險······················································································235 

8.1 市場風險及其分類 ·····························································································236 

8.2 市場風險度量 ···································································································237 

8.3 風險價值 ·········································································································241 

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Python金融風險管理FRM | 實戰篇

8.4 參數法計算風險價值 ··························································································247 

8.5 歷史法計算風險價值 ··························································································253 

8.6 蒙特卡羅法計算風險價值 ····················································································256 

第9章信用風險······················································································262 

9.1 信用風險的定義和分類 ·······················································································263 

9.2 信用風險的度量 ································································································263 

9.3 信用風險數據分析與處理 ····················································································265 

9.4 信用風險評分卡模型 ··························································································275 

9.5 信用評級機構 ···································································································291 

9.6 自展法求生存率 ································································································291 

9.7 奧特曼Z分模型 ·································································································294 

第10章交易對手信用風險 ········································································297 

10.1 交易對手信用風險概念 ······················································································298 

10.2 交易對手信用風險度量 ······················································································299 

10.3 預期正敞口和最大潛在未來風險敞口 ····································································303 

10.4 遠期合同的交易對手信用風險 ·············································································306 

10.5 利率互換的交易對手信用風險 ·············································································307 

10.6 貨幣互換的交易對手信用風險 ·············································································315 

10.7 交易對手信用風險緩釋 ······················································································316 

10.8 信用估值調整 ··································································································318 

10.9 錯向風險 ········································································································323 

第11章投資組合理論Ⅰ ···········································································325 

11.1 均值方差理論 ··································································································326 

11.2 拉格朗日函數優化求解 ······················································································334 

11.3 總體最小風險資產組合 ···················································································335 

11.4 有效前沿 ·····································································································339 

11.5 有效前沿實例 ·······························································································345 

11.6 不可賣空有效前沿 ····························································································355 

第12章投資組合理論Ⅱ ···········································································366 

12.1 包含無風險產品的投資組合 ················································································367 

12.2 最佳風險投資組合及實例分析 ·············································································371 

12.3 無差別效用曲線 ·······························································································376 

12.4 最佳完全投資組合實例分析 ················································································378 

12.5 資產定價理論 ··································································································398 

備忘·······································································································403 

目錄 | Contents 

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