The New Arsenal of Risk Management.docx

The New Arsenal of Risk Management.docx

《The New Arsenal of Risk Management.docx》由会员分享，可在线阅读，更多相关《The New Arsenal of Risk Management.docx（11页珍藏版）》请在冰豆网上搜索。

TheNewArsenalofRiskManagement

TheNewArsenalofRiskManagement

HarvardBusinessReview;Sep2008,Vol.86Issue9,p92-100

ByKevinBuehler;AndrewFreemanandRonHulme

Abstract:

Theglobalbankingsystemisfacingasevereliquiditycrisis:

Inthefirsthalfof2008,majorfinancialinstitutionswroteoffnearly$400billion,causingbanksaroundtheworldtoinitiateemergencymeasures.Similarcriseshaveoccurredwithinrecentmemory:

ThinkofS&Ls,thedot-combust,andEnron.Riskis,quitesimply,afactofcorporatelife--butbecauserisk-managementresearchhasincreasinglyemphasizedmathematicalmodeling,managersmayfinditincomprehensibleandthusshyawayfrompowerfultoolsandmarketsforcreatingvalue.Buehler,Freeman,andHulme,allwithMcKinsey,describetheevolutionofriskmanagementsincethe1970s,showhownewmarketshavechangedthelandscapeinbothfinancialservicesandtheenergysector,andexplainwhatittakestocompeteinthecurrentenvironment.Todemonstratehowsignificantafactorriskcanbewhenincorporatedintostrategyandorganization,theytakethecaseofGoldmanSachs--which,despiteitsrelianceonhighlyvolatiletradingrevenues,hassofaravoidedthebigwrite-offsthathaveafflicteditsleadingcompetitors.TheauthorsbelievethatthisisbecauseGoldmantakestheantithesisofthetypicalcorporateapproach--itscultureembracesratherthanavoidsrisk.And,theysay,Goldmanveryefficientlyemploysallfourofthefollowingfactors:

quantitativeprofessionals,strongoversight,partnershipinvestment,andaclearstatementofbusinessprinciples,withemphasisonpreservingthecompany'sreputation.Stayingonthesidelinesofriskmanagementmayhaveshieldedsomecompaniesfromcrisis,butithasalsopreventedthemfromgrowingasquicklyastheymighthave.Intheircompanionarticle,"OwningtheRightRisks,"theauthorsoutlineaprocessthatwillenableexecutivesinanycompanytoincorporateriskintotheirstrategicdecisionmaking.[ABSTRACTFROMAUTHOR]

Section:

TheRiskRevolution

THETOOLS

DISCUSSIONSOFRISKusuallycometotheforefrontintimesofcrisisbutthenrecedeasnormalcyreturns.Aswewrite,theglobalbankingsystemisfacingamajorcreditandliquiditycrisis.Lossesfromsubprimemortgages,structuredinvestmentvehicles,and"covenantlite"loansarecreatingacreditcrunchthatmayinturntriggeraglobalslowdown.Inthepastyearmajorfinancialinstitutionshavewrittenoffnearly$400billion,andcentralbanksaroundtheworldhaveinitiatedemergencymeasurestorestoreliquidity.Severalothercriseshaveoccurredwithinmemory:

theU.S.savings-and-loancollapseinthe1980sand1990s,BlackMondayin1987,theRussiandebtdefaultandtherelateddiveofLong-TermCapitalManagementin1998,thedot-combustof2000,andtheEnron-ledmerchant-powercollapseof2001.

Theresoundingmessageisthatriskisalwayswithus.Executivesneedtowakeuptothatfact.Unfortunately,agrowingemphasisonmathematicalmodelinghasrenderedmuchoftherisk-managementdebateandresearchincomprehensibletothoseoutsidethefinancefunctionandthefinancialservicesindustry.Asaresult,manycorporatemanagershaveshiedawayfromthepowerfulrisk-managementtoolsandmarketscreatedoverthepastthreedecades-andthushaveforgoneconsiderableopportunitiestocreatevalue.

Ouraimhereistohelpmanagersunderstandboththeadvantagesandthelimitationsofthemarketsandtoolsthatareimplicatedinthecreditandliquiditycrisis.Wewilldescribetheevolutionofriskmanagementinrecentdecades,showhownewmarketshavechangedthelandscapeinbothfinancialservicesandtheenergysector,andexplainwhatittakestocompeteinthecurrentenvironment.Theseanalyseswillhelpreadersmakesenseofthecrisisandwillillustratejusthowpowerfulalensriskcanbewhenappliedtocorporatestrategyandorganization.Inthecompanionarticlepublishedinthisissue,wedescribeaprocesswherebyexecutivesinallcompaniescanincorporateriskintotheirstrategicdecisionmaking.

TheIdeaThatChangedtheWorld

Forthefirst70yearsofthetwentiethcentury,corporateriskmanagementwaslargelyaboutbuyinginsurance.Riskmanagementinthefinancialsectorwasalsorudimentary:

Bankregulatorslackedtoolsformeasuringriskinthesystem,soconstructiveinterventionwasdifficult.Banksthemselveshadnowaytocontroltheinterest-rateriskintheirloanportfoliosortoquantifyandmanagecreditrisk-inpartbecausefewalternativestoinsuranceexisted.Tobesure,somefuturesandoptionscontractswerewrittenandsold,butreliabletoolsforpricingthemwererare,andthemarketsforthesesecuritieswerethinandcharacterizedbywidebid-askspreads.

Thelowlevelofinterestinriskmanagementwasalsotosomeextentaproductofprevailingthoughtinfinance,originatingwithFrancoModiglianiandMertonMiller's"indifferencetheory,"whicharguedthatacompany'svaluewasnot（inmostcases）affectedbycapitalstructureorhedging,andthecapitalassetpricingmodel（CAPM）,developedbyWilliamSharpeandothers,whicharguedthatriskshouldbemanagedprimarilythroughportfoliodiversificationbyinvestors.（Forasummaryofthemaintheoriesrelatingtothefield,seetheexhibit"TheEvolutionofRiskManagement."）

Allthisbegantochangein1973,withthepublicationoftheoptions-pricingmodeldevelopedbyFischerBlackandMyronScholesandexpandedonbyRobertC.Merton.Thenewmodelenabledmore-effectivepricingandmitigationofrisk.Itcouldcalculatethevalueofanoptiontobuyasecurityaslongastheusercouldsupplyfivepiecesofdata:

therisk-freerateofreturn（usuallydefinedasthereturnonathree-monthU.S.Treasurybill）,thepriceatwhichthesecuritywouldbepurchased（usuallygiven）,thecurrentpriceatwhichthesecuritywastraded（tobeobservedinthemarket）,theremainingtimeduringwhichtheoptioncouldbeexercised（given）,andthesecurity'spricevolatility（whichcouldbeestimatedfromhistoricaldataandisnowmorecommonlyinferredfromthepricesofoptionsthemselvesiftheyaretraded）.Theequationsinthemodelassumethattheunderlyingsecurity'spricemimicstherandomwayinwhichairmoleculesmoveinspace,familiartoengineersasBrownianmotion.

ThecoreideaaddressedbyBlack-Scholeswasoptionality:

Embeddedinallinstruments,capitalstructures,andbusinessportfoliosareoptionsthatcanexpire,beexercised,orbesold.Inmanycasesanoptionisbothobviousandbounded-asis,forexample,anoptiontobuyGeneralElectricstockatagivenpriceforagivenperiod.Otheroptionsaresubtler.Intheir1973paperBlackandScholespointedoutthattheholdersofequityinacompanywithdebtinitscapitalstructurehaveanoptiontobuybackthefirmfromthedebtholdersatastrikepriceequaltothecompany'sdebt.Similarly,theemergingfieldofrealoptionsidentifiedthoseimplicitinacompany'soperations-forexample,theoptiontocancelordeferaprojectbasedoninformationfromapilot.Thetheoryofrealoptionsputavalueonmanagerialflexibility-somethingoverlookedinstraightforwardNPVcalculations,whichassumeanall-or-nothingattitudetowardprojects.

Thenewmodelcouldhardlyhavecomeatamorepropitioustime,coincidingasitdidwiththespreadofthehandheldelectroniccalculator.TexasInstrumentsmarketedanearlyversiontofinancialprofessionalswiththetagline"NowyoucanfindtheBlack-Scholesvalueusingourcalculator."Thecalculator'srapidacceptancebyoptionstradersfueledthegrowthinderivativesmarketsandthebroaddevelopmentofstandardpricingmodels.Othertechnologicaladvancesquicklyfollowed:

In1975thefirstpersonalcomputerswerelaunched.In1979DanBricklinandBobFrankstonreleasedVisiCalc,thefirstspreadsheetdesignedtoworkonapersonalcomputer,givingmanagersasimpletoolwithwhichtorunwhat-ifscenarios.Thefinancialsectorrapidlydevelopednewinstrumentsformanagingdifferenttypesofriskandbegantradingthemonexchanges-notablytheChicagoBoardOptionsExchange-andinover-the-counterderivativesmarkets.

Bythe1980s,withcalculatingmuscleinexorablyincreasingonthetradingdesk,ithadbecomefareasiertoidentify,price,andtradedifferentkindsofoptions.AmongthemostinfluentialmachineswereworkstationsdevelopedbySunMicrosystemsandDigitalEquipmentandtheBloombergTerminal,whichrevolutionizedpricecalculationinderivativesandfixed-incomemarketsrespectively.CrystalBallandotherfirmsdevelopedsoftwarethatallowedtraderstorunMonteCarlosimulationsinamatterofminutesonlaptops,ratherthanovernightonmainframecomputers.Bythebeginningofthe1990sitwaspossibletobuycontractsthatcoveredawidevarietyofrisksusingderivativesofvariouskinds-options,futures,andswaps,oftenincombination.Derivativesmarketsbeganwithcurrencies,equities,andinterestratesandquicklyexpandedtoincludeenergy,metals,andothercommodities.Inasecondwaveofinnovation,instrumentsemergedthatallowedthehedgingortransferofcreditrisk,atthattimethemajorremainingcategoryoffinancialriskandasubjectofconcernamongbankregulators.Bytheendofthedecadederivativesmarketswereexploding;thenotionalvalueofthesecuritiesinvolvedrosefrom$72trillionin1998to$370trillionin2006.Bytheendof2007thetotalhadreachedalmost$600trillion.Themarketwassosophisticatedthat"syntheticCDOs"-derivativesofderivativesofderivatives-soonappearedandinfactwerethefastest-growingsectorofthemulti-trillion-dollarmarketforcollateralizeddebtobligationsun