在21世纪度量金融风险(1)

MeasuringFinancialRiskinthe21stCenturyLESLIERAHLANDZOUBAIRESSEGHAIERTheRussian-inspiredcorrectionhasbroughtabrutalremindertofinan-cialinstitutionsthatglobalfinanceisallaboutrisktaking,andriskmanagementremainsnotasciencebutanart.Overthepastdecadeorso,themarketshaveseenonedebacleafteranother,eachofwhichhasbroughtitslessons-fromsomeofwhichthemarketshavelearnedandfrommanyofwhichthemarketsstillneedtolearn.The1987crashtaughtmarketsthedan-gersofautomatedtradingmodelsandthesec-ondandthird-ordereffectsofacreditcrisis(thatis,repomarket).In1990,WallStreetlearnedthehorrorsofholdinghugeilliquidinvestmentswhenthemeltdowninthejunkmarketleftbillionsofdollarsofhungbridgeloans.In1994’sspectacularbondmarketcol-lapse,financialexecutivessawforthefirsttimehowcorrelatedglobalmarketshadbe-comeasthefalloutfromFederalReserveBoardratehikessweptfromtheU.S.throughEurope,beforedevastatingMexicoandotheremergingmarkets.Inlate1998and1999,ev-eryonewentbacktoschool.One“bailed-out”hedgefund(orwasitreallyaprepackagedbankruptcy?),morethanadozensmolderingeconomies,andhundredsofbillionsofdollarsinpaperlosseslater,in-vestorshaverenewedtheiracquaintancewithWallStreet’sappetiteforrisk.TheRussianmeltdowninAugust1998waswidespreadandmounting.Banksandbrokeragefirmstookturnsannouncingtradinglossesfromemergingmarkets,highyield,equities,ordealingswithhedgefunds.Financehasneverbeensocompetitive,sofar-flung,andsoquantitative.Informationflowhasneverbeensofast.Spreadsinsuchmainstreambusinessesasunderwritinghavebeenshrinkingforyears,evenasfirmsbattlecommoditizationbyspendingtodevelopnewmarketsandproducts.Tokeeptheirequityreturnsup,mostareforcedintoriskierlinesofbusiness,suchastakingprincipalrisk.RISK-MANAGEMENTFRAMEWORKAnIncreasingFocusonQuantificationMeasuringandmonitoringriskatafirmwidelevelhasincreasedthefocusonquantificationandtheneedforaconsistentfirmwideapproach.Amongthekeycomponentsrequiredforeffectiveriskmeasurement,onlyaboutone-thirdofacomprehensiverisk-managementpro-gramisquantitative:Policies,guidelines,limits,checksandbalances,etc.(Exhibit1)areavitalifnotasexycomponentofeffectiveriskmanagement.Althoughvalueatrisk(VAR)isoneofthosequantitativefactorsthatshouldbeincorporatedintoacohesiverisk-measure-mentandrisk-managementapproach-andisanextremelyimportantone-theemphasisonVARversusotherquantitativeandqualitativeapproacheshasperhapsbeentoogreat.SPRING2000BANKACCOUNTINGANDFINANCE

LESLIERAHLispresidentandZOUBAIRESSEGHAIERisanassociateatCapitalMarketRiskAdvisors,Inc.,NewYork.VARshouldbeakeypartofarisk-managementframeworkdrivenbyanexplicitstatementofphilosophyandsupportedbypolicies,guidelines,andprocedures,aswellasquantificationandcontrolofrisk.VARisnotapanaceaforallrisk-measurementand-managementissues.ManyofthefinanciallossesandmanagementissueswerecausedbyfailuresthataVARmeasurementsystemwouldnothaveprevented.VARshouldbeakeypartofarisk-managementframe-workdrivenbyanexplicitstatementofphilosophyandsupportedbypolicies,guidelines,andprocedures,aswellasquantificationandcontrolofrisk.Thejudg-mentofexperiencedtradersandriskexpertswillcon-tinuetoplayanimportantroleinthisframework.QualitativeSideAcalculationlikeVARisnecessarybutnotsuffi-cienttoassesstheriskofcomplexinstrumentsorcomplexarbitragestrategies.Qualitativeinputisjustasimportantasquantitativeanalysis.Infact,thetwomustbeusedintan-demforbesteffect.Appropriatepolicies,procedures,lim-its,controlsandstresstesting,aswellasthechecksandbalancesofanindependentriskoversight(IRO)function,areessential.RiskPhilosophiesTheexcitementoverriskquantificationisjustified.Itshouldnotberegardedasjustameasurementsystemimposedbyaregulatororbytheinstitution’sboardbutratherasawaytohelpfirmsmonitor,understand,control,andmanagetheirexposuretomarketchangesandopera-tionalmistakes.Riskitselfisnotbad,butriskthatismispriced,mis-managed,misunderstood,orunintendedisbad.Bothse-niormanagersandquantsplayavitalroleinriskmanage-ment.It’sveryunfortunatethatsomefirmsstillleavevalu-ationstotraders.Acriticalfocalpointofeffectiverisk-managementpracticeistheproperallocationofresponsi-bilitiesamongfront,mid-,andbackofficeaswellasahigh-levelriskoversightfunctions.Itisaxiomaticthatmostdi-sasterscouldhavebeenpreventedhadthesethreegroupsadequatelyperformedtheirchecksandbalancesandcom-municatedeffectivelyamongthemselvesandacrossprod-uctsandrisktypes(forexample,marketriskversuscreditrisk,etc.).Mathandmodelsarenecessarybutnotsufficienttocontrolrisk.Notansweringquestionssuchas“WhatistheMEASURINGFINANCIALRISKINTHE21STCENTURYSPRING2000EXHIBIT1QualitativeElementsAreaVitalComponentofRiskManagementSource:CapitalMarketRiskAdvisors,Inc.AdequateSystemsandProceduresBackup&DisasterRecoveryChecksandBalancesClearOrganizationalStructureComplianceMonitoringConsistentPolicyApplicationEducationandKnowledgeExceptionReportingandEscalationIndependentRiskOversightKeyRoleIdentificationReviewofNewActivitiesReviewofStrategyvs.ActivityVALUATIONPOLICIESWrittenDueDiligenceWrittenPoliciesandGuidelinesWrittenProceduresandControlsBACKTESTINGVALUEATRISKMODELREVIEWIDENTIFYKEYRISKSRISKL