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玛卡巴卡 · 2021年09月27日

系统性风险

  1. CFA III
  2. 个人IPS

NO.PZ2018091705000055

问题如下：

John C. Hill, sole owner of JCH Equipment Leasing Co. (JCH), is evaluating a future sale of his company and approaches Mary Keller, a wealth adviser, for advice.

Discussion 1:

Hill: I would like to sell JCH in three to five years and use the proceeds to fund my retirement. Up to this point. I have reinvested the majority of the profits back into the business and have not accumulated any meaningful wealth outside the business.

Keller: The first thing we need to consider is the cyclical nature of the equipment leasing industry. Although the economy is expanding today, the stage of the business cycle three years from now is uncertain.

Identify what type of investment risk is being discussed by Hill and Keller (systematic or non-systematic) . Justify the choice.

选项：

解释：

Discussion 1 best describes systematic risk.

Systematic risk is the component of risk that cannot be eliminated by holding a well-diversified portfolio. Systematic risk includes macroeconomic factors such as unexpected changes in the level of real business activity and unexpected changes in the inflation rate. Given the cyclical nature of the equipment leasing business and 3 to 5 year target horizon to sell the company, Hill's concentrated position in JCH is exposed systematic risk.

1、这两个人的对话应该是两种风险都提到了吧，第一个人已经意识到了资产过于集中的问题

2、系统性风险=市场风险，非系统性风险=流动性风险、信用风险等，可以这样理解么？

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1 个答案

王暄_品职助教 · 2021年09月27日

题中Keller说到的：“Although the economy is expending today, the stage of the business cycle three years from now is uncertain“，指的是大的宏观经济问题，也就是systematic risk。


Hill是把所有资产都集中在了他这家公司里，从Hill的这段话我们能感觉到有非系统性风险在里面。因为Hill的钱只在他自己的公司内周转。


再看Keller的话“The first thing we need to consider is the cyclical nature of the equipment leasing industry. Although the economy is expending today, the stage of the business cycle three years from now is uncertain.”这里说到的就是关于系统性风险。因为非系统风险亦称“非市场风险”、“可分散风险”。与“系统性风险”相对。与股票市场、期货市场、外汇市场等相关金融投机市场波动无关的风险。非系统风险是由特殊因素引起的，如企业的管理问题、上市公司的劳资问题等，是某一企业或行业特有的风险，只影响某些股票的收益。

所以Keller说到的经济周期啦这些，都是在阐述她担心Hill的资产exposed to systematic risk.


而系统性风险主要包括：信用风险、财务风险、流动性风险、操作风险、经营风险。这些都是和整个金融市场无关的风险。这题里提到的顾虑并没有说到这些风险，说到的依然是经济周期所给行业带来的不稳定因素，所以还是系统性风险。


所以，这段话主要涉及的讨论还是关于系统性风险的。



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2020-09-09 10:44 1 · 回答

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2020-08-01 08:18 4 · 回答

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