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Framework框架

overview of risk management

风险管理概述

framework

1. Risk Management: A Helicopter View
   直升机视图
2. Corporate Risk Management: A Primer
   企业风险管理入门
3. Corporate Governance and Risk Management
   公司治理与风险管理
4. What is ERM?
   什么是ERM
5. Governance, Risk Management and Risk-Taking in Banks
   银行的治理，风险管理和风险承担
6. Principles for Effective Data Aggregation and Risk Reporting
   有效数据汇总和风险报告的原则

overview

Risk management

How firms select the type and level of risk that it is appropriate for them to assume.
企业如何选择适合他们承担的风险类型和风险级别。

Risk management’s blame

Unable to prevent market disruptions or business accounting scandals.
无法防止市场中断或商业会计丑闻。
Derivative markets make it easier to take on large amount of risk.
衍生市场可以更容易地承担大量风险。
Sophisticated financial engineering played a role in obscuring the true economic condition of financial companies, and lead to the violent implosion of firm.
复杂的金融工程在掩盖金融公司的真实经济状况方面发挥了作用，并导致了公司内部的暴力破裂。
Allow a firm to transfer risk to other counterparty in the same market.
允许公司将风险转移到同一市场的其他交易对手。

What is Risk?

Expected loss

预期损失
Accounts for all losses that are incurred in normal times; predictable;priced into the products or by charging a certain commission or a spread.
计算正常时间内发生的、可预测的所有损失，定价到产品上或者是收取一定的佣金或点差

Unexpected loss

非预期损失
Risks are lumpy; driven by risk factors that under certain circumstances can become linked together.
风险是不稳定的。由风险因素驱动，在某些情况下这些风险因素可以相互关联。

Risk management

风险管理
Don’t control and reduce EL, but manage UL;
不能控制和减少非预期损失，但可以管理预期损失
Sufficient capital to protect against UL;
充足的资本以抵抗意外损失
Set appropriate return from the risky activities;
从有风险的活动中获得一定的回报
Communicate with stakeholders about the firm’s target risk profile.
与利益相关者沟通公司的目标风险概况。

The Risk Manager’s Job

风险经理的工作
Role: uncover the sources of risk and make them visible to key decision makers and stakeholders.
角色:发现风险的来源，并暴露给关键决策者和利益相关者。
Produce a distribution estimate.
生成一个分布估计。
Balance risk and reward for the firm.
平衡公司的风险和回报。
Identify and measure a risk, and make it transparent to stakeholders.
识别和度量风险，并公开给利益相关者。
Balance the relationship between business leaders and the specialist risk management.
平衡业务大佬和专业风险管理之间的关系。

Type of Risk Exposures

1. Market Risk
   市场风险
2. Credit Risk
   信用风险
3. Liquidity Risk
   流动风险
4. Operational Risk
   操作风险
5. Legal and Regulatory Risk
   法律及规管风险
6. Business Risk
   商业风险
7. Strategic Risk
   战略风险
8. Reputation Risk
   声誉风险
9. Systemic Risk
   系统性风险

Why Not to Manage Risk in Theory?

坏处
MM: the value of a firm cannot be changed by means of financial transactions.
MM:一个公司的价值不能改变通过金融交易。
Assumptions: the capital markets are perfect, competitive, no transaction costs or taxes.
假设:资本市场是完美的,有竞争力的,没有交易成本或税收。
Self-insurance is more efficient than derivatives.
自保比衍生品更有效。
Active hedging may distract management from its core business.
活跃的对冲可能从分散其核心业务的管理。
Risk management has compliance costs.
风险管理会增加成本
Risk management that is not carefully structured can drag a firm down.
不谨慎的结构化风险管理可以拖垮一家公司。
Risk management may release information.
风险管理可能会散布一些信息。
Due to the gap between accounting earnings and cash flows, hedging may increase the firm’s earning variability.
由于会计利润和现金流之间的差距,对冲可能会增加公司的收入可变性。

Some Reasons for Managing Risk in Practice

好处
The MM assumptions are not real.
MM只是假设，不是真实情况
The high fixed costs associated with financial distress and bankruptcy.
高的固定成本与财务困境和破产有关
Manager has an interest in reducing risks to achieve the board’s objectives.
管理者对减少风险已达到董事会的目标感兴趣
Volatile earnings induce higher taxation than stable earnings.
爆发收入比稳定收入需教更多的税
Hedging reduce the cost of capital and enhance the ability to finance growth.
对冲可以减少资本成本和提高财政增长的能力

Hedging Operations vs Hedging Financial Positions

对冲操作和金融
Firms should risk-manage their operations.
公司应该控制操作风险
Firms should concentrate on business areas they have comparative edge and avoid areas where they have not.
公司应该集中在业务领域在优势的领域，避免在劣势的领域
Firms should hedge their assets and liabilities.
公司应该对冲他们的资产和负债。
Hedging its B/S can gain tax advantage.
对冲其B/S可以获得税收优势。