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RiskMeasuresandRiskManagement.风险衡量基准与风险管理.JeremyPorter,FIA博杰明英国精算师June/July2005（2005年6月／7月）风险衡量基准与风险管理2©2005DeloitteActuarialandInsuranceSolutions(HK)Ltd.Agenda目录•ALMRisksfacedbyLifeInsurers寿险公司面临的ALM风险•EssentialFeaturesofRiskMeasures风险衡量基准的基本特征•AHolisticApproachtoRiskMeasurement风险衡量的综合方法•TrapsandPitfalls陷阱与缺陷•CommunicatingResultsusingRiskMeasures传达采用风险衡量基准得出的结果•Examples实例©2004DeloitteActuarialandInsuranceSolutions风险衡量基准与风险管理3ALMRisks.ALM风险.风险衡量基准与风险管理4©2005DeloitteActuarialandInsuranceSolutions(HK)Ltd.ALMRisksALM风险StatutoryRisks法定风险Economic(real)Risks经济（实际）风险TwoMainCategories两大类风险衡量基准与风险管理5©2005DeloitteActuarialandInsuranceSolutions(HK)Ltd.MostEconomicRisksarealsoStatutoryRisks大多数经济风险亦是法定风险Interestratesfall利率下跌Time时间Statutoryinsolvency法定偿还能力Companiescan(accurately)predictwhentheywillhaveastatutoryproblem公司可以（准确）预测在法定基础上将发生问题的时间ForexampleinJapan:例如，在日本：风险衡量基准与风险管理6©2005DeloitteActuarialandInsuranceSolutions(HK)Ltd.StatutoryRisksmaynotbeReal法定风险未必是实际风险IncreaseinEquityprices股价上涨Reductionindividendyield股息率下跌IncreaseinReserves储备金增加IncreaseinAssets资产增加ExtraCapital额外资金Forexample,inHongKong:例如，在香港：ReductioninHKvaluationinterestrate香港准备金计算利率下跌ReduceEquityholding减少持股InjectCapital注入资金or或风险衡量基准与风险管理7©2005DeloitteActuarialandInsuranceSolutions(HK)Ltd.StatutoryRisks法定风险Verydifferentindifferentstatutoryreportingregimes不同的法定报告架构大相径庭风险衡量基准与风险管理8©2005DeloitteActuarialandInsuranceSolutions(HK)Ltd.EconomicRisksandStatutoryRisks经济风险与法定风险•Therelationshipbetweeneconomicandstatutoryrisksisveryspecifictothelocalvaluationregulations经济风险与法定风险之间的关系有赖于当地的准备金法规•InHongKong,thefirstexamplewouldimmediatelyimpacttheinsurancecompany’sstatutorysolvency在香港，第一个实例会立即影响到寿险公司的法定偿付能力–Becauseoftheuseofmarketbasedvaluationinterestrates因为采用基于市场的估值利率•NotethatinJapan,thesecondexamplewouldnothaveanyimpactonthecompaniesstatutoryliabilities(policyreserves)在日本，第二个实例不会对公司的法定负债（保单储备金）产生任何影响风险衡量基准与风险管理9©2005DeloitteActuarialandInsuranceSolutions(HK)Ltd.EconomicRisks经济风险•Fallinginvestmentreturnscausedby由于以下原因，致使投资回报减少–prolongedlowinterestrates,or长期低利率，或–poorequitymarketperformance,or股市表现欠佳，或–fallingrealestatevalues,or房地产价值下跌，或–assetdefaults,etc.资产违约等•Fallingassetvaluesatabadtime资产价值下跌时机不当–highinterestratesorfallingequitymarketsatatimeofsignificantsurrenderormaturitypayments在大量解约或到期偿付时，利率高企或股市下滑•Un-hedgedcurrencymovementsactagainsttheinsurer保险公司对货币兑换率未进行对冲–Unexpectedremoval(orfailure)ofacurrencypeg意外取消货币挂钩风险衡量基准与风险管理10©2005DeloitteActuarialandInsuranceSolutions(HK)Ltd.ValuationBasis估值基准•ALMproblemsthatmaterializearequitedifferentunderthefollowingtypesofvaluationbasis:根据以下各类估值基准具体化的ALM问题相当不同：“slowdeath”“逐渐死亡”Lessurgencytoresolvetheproblem,unlessthereisstrongregulationthereisanaturalpressureforthemarkettofollowtheleastresponsiblemarketplayer不必紧急解决问题，除非制订严格的法规，整个市场有自然压力跟随昀不负责任的市场参与者Time时间Passive(Fixed)ValuationBasis被动（固定）的估值基准ActiveValuationBasis主动的估值基准“suddendeath”“突然死亡”Strongincentivetomanageoptions/guaranteesandrisks强烈鼓励管理期权／保证及风险风险衡量基准与风险管理11©2005DeloitteActuarialandInsuranceSolutions(HK)Ltd.PassiveValuationBasis被动的估值基准•Extremelyimportantforcompaniesworkingpassivebasistobeawareof采用被动基准的公司必须知悉–theeconomicbasissolvency经济基准偿债力–theeconomicrisks,aswellas经济风险，以及–thestatutorybasissolvency法定基准偿债力•Extremelyimportantforregulatorsinmarketswithapassivebasistobeawareof采用被动基准的市场监管机构必须知悉–thelikelyeconomicbasissolvency实际的以经济基准评估的偿还力–theeconomicrisks,and经济风险，及–theshortcomingsofapurelypassivevaluationbasis纯粹被动估值基准的不足之处©2004DeloitteActuarialandInsuranceSolutions风险衡量基准与风险管理12EssentialFeaturesofRiskMeasures.风险衡量基准的基本特征.风险衡量基准与风险管理13©2005DeloitteActuarialandInsuranceSolutions(HK)Ltd.EssentialFeaturesofRiskMeasures风险衡量基准的基本特征•Manydifferentriskmeasuresareusedinpractice实际工作中采用许多不同的风险衡量基准•Onlyoneruleforriskmeasures:风险衡量基准的唯一规则是：Theyneedtomeansomethingtothetargetaudience它们需要向目标受众提供信息•StronglysuggestwhenworkingonanALMproject,thatriskmeasuresarenotdecidedbytheprojectteam强烈建议在开展ALM项目时，不要由项目团队决定风险衡量基准ALMCommitteeALM委员会ProjectTeam项目团队Relyonriskmeasurestomakestrategicdecisions依据风险衡量基准，做出策略性决策1)Presentvarietyofcommonlyusedriskmeasures展示各种常用风险衡量基准2)Abletomakerequireddecisionsusingtheseriskmeasures?可以采用这些风险衡量基准，做出所需决策吗？风险衡量基准与风险管理14©2005DeloitteActuarialandInsuranceSolutions(HK)Ltd.EssentialFeaturesofRiskMeasures风险衡量基准的基本特征•EssentialFeatures基本特征–Understandablebythetargetaudience目标受众可以理解–Takeaccountofessentialfeaturesofbothasstsandliabilitiesandallowfortheirinteraction考虑到资产与负债的基本特征，并兼顾它们之间的相互作用–Relevanttothekeyquestionsthatneedaddressing涉及需要解决的关键问题–Consistentandseentobeconsistentwiththeoverallcorporateobjectives符合且看似符合企业整体目标Simple,ConciseandTargeted简单、简洁且具有针对性©2004DeloitteActuarialandInsuranceSolutions风险衡量基准与风险管理15TrapsandPitfalls陷阱与缺陷风险衡量基准与风险管理16©2005DeloitteActuarialandInsuranceSolutions(HK)Ltd.TrapsandPitfalls陷阱与缺陷•Manypeople,includingfinanciallyawareprofessionals,arenotgoodatunderstandingandmakingdecisionsobjectivelyusingstochasticinformationpresentedtothem.许多人，包括金融界专业人士都不善于理解展现在他们面前的随机计算结果，且不会利用这些信息客观地做出决策。PotentialProblems潜在问题•Isinformationunderstood?信息可被理解吗？•Issuesthathandicapprofessional