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1、Enterprise Risk Management 企业风险管理,Steve DArcy 史蒂夫达尔希 Chairman of the Board of the Casualty Actuarial Society 财险精算协会董事会主席 Professor of Finance at the University of Illinois 伊利诺伊大学金融学教授 Presented at Shanghai University of Finance & Economics 上海财经大学 July 3, 2006,What is ERM?,ERM is the application of b
2、asic risk management principles to all risks facing an organization ERM 是针对企业面临的所有风险进行风险管理 Other names for ERM 又称 Integrated risk management 综合风险管理 Global risk management 全球风险管理,Basic Risk Management Principles 基本风险管理原则,Identifying loss exposures 风险损失认定 Measuring loss exposures 损失衡量 Evaluating the d
3、ifferent methods for handling risk 对于风险处理不同方法的评估 Risk assumption 风险设定 Risk transfer 风险转移 Risk reduction 风险减少 Selecting a method 选择一种方法 Monitoring results 监控结果,Where Did ERM Come From? ERM 起源,Traditional risk management 传统风险管理 Formally developed as a field in the 1960s 在60 年代正式发展为一个领域 Focused on “pur
4、e” risks 集中于“纯”风险 Loss/no loss situation 损失/无损失情况 Often could be insured 经常可以被保险 Developed from insurance purchasing area 发展于保险购买领域,New Elements of Risk 1970s 70年代风险中的新元素,Foreign exchange risk 外汇风险 End of Bretton Woods agreement in 1972 1972年布雷顿森林制度协定的解体 Commodity price risk 商品价格风险 Oil price fluctua
5、tions of the 1970s 70年代石油价格的波动 Equity risk 股票风险 Development of option markets - 1973 期权市场的发展 Interest rate risk 利率风险 U. S. Federal Reserve Board policy shift 1979 美联储委员会政策变动,Failure to Manage Financial Risk 管理金融风险的失败例子,Foreign exchange risk 外汇风险 Laker Airlines 1970s 湖人航空公司 Borrowing in dollars 以美元借款
6、 Revenue in pounds 以英镑收入 Interest rate risk 利率风险 U. S. Savings and Loans 1980s 美存储信贷局 Borrowing short 借款短期利率 Lending long 贷款长期利率 Commodity price risk 商品价格风险 Continental Airlines 1990 大陆航空公司 Fuel costs not hedged 没有做到燃料价格对冲 Oil price doubled with Gulf War 海湾战争石油价格加倍,The “New” Risk Management -1980s “
7、新式”风险管理,Financial risk management 金融风险管理 Dealt with financial risk 面对金融风险 Foreign exchange risk 外汇风险 Interest rate risk 利率风险 Equity risk 股票风险 Commodity price risk 商品价格风险 Use derivatives to hedge financial risk 利用金融衍生物对冲金融风险,Financial Risk Management Toolbox 金融风险管理工具,Forwards 远期 Futures 期货 Swaps 掉期交易
8、 Options 期权,Forward Contracts 远期合约,A forward contract obligates one party to sell and another party to buy an asset 远期合约是在交易双方中，规定一方必须卖出，一方必须买进资产的交易 The exchange takes place in the future 交割发生在将来 The price is fixed today 价格在交易时确定 No payment is made until maturity 交割日前不需付款 The buyer has a gain if the
9、 asset value increases 如果资产增值，买方获利,Futures Contracts 期货合约,A future obligates one party to buy and another to sell a specified asset in the future at a price agreed on today 一份期货合约规定交易双方必须在将来某一时间以双方协商约定的价格，买方购买，卖方出售一定量的资产 Futures are standardized contracts traded on organized exchanges 期货是标准合约，并在专门的期
10、货交易所进行的交易 Price changes are settled each day 根据价格变化每日结算 Margin accounts must maintained 交纳保证金并维持在一固定水平,Swap Contracts 掉期交易合约,An agreement between two parties to exchange (or swap) periodic cash flows 一份在交易双方进行周期性现金流交换的协定 At each payment date, only the net value of cash flows is exchanged 只在每个交割日交易净现
11、金流 The cash flows are based on a notional principal or notional amount 现金流基于名义本金交易量进行计算 The notional amount is only used to determine the cash flows 名义交易量只用来确定现金流,Option Contracts 期权合约,Options provide the right, but not the obligation, to buy or sell an asset at a fixed price 期权提供权利而不是义务进行一定价格的买卖资产
12、Call option is right to buy 买进期权取得买进权利 Put option is right to sell 卖出期权取得卖出权利 Options are one sided agreements 期权是单方协定 Exercising the option forces the seller to perform 出售者有义务应购买者要求履行期权合约 Expiration date is the date at which the option ceases to exist 过期日是期权失效之日,New Elements of Risk 1990s 90年代风险中的新
13、元素,Failure to manage derivatives appropriately 不恰当地管理金融衍生物 Financial model failures 金融模型失败 Improper accounting for derivatives 对于衍生物的不适当的会计记账手段,Mismanagement of Financial Risk 金融风险的不妥当管理,Mismanagement of derivatives 衍生物的不善管理 Gibson Greetings Barings Bank 巴林银行 Orange County, California 橙县，加州 Model fa
14、ilure 金融模型失败 Long Term Capital Management 长期资本管理 Accounting improprieties 不适当做账 Enron 安然公司 Arthur Andersen 安达信公司,The “New” Risk Management - 1990s and beyond 90年代以后的“新式”风险管理,Enterprise Risk Management 企业风险管理 Initial focus on avoiding derivative disasters 最初致力于避免衍生工具带来的灾难 Developing into optimizing f
15、irm value 发展到最优化公司价值 Chief Risk Officer 设立首席风险执行官 Sarbanes-Oxley Act in the U. S. 2002 SOX法案 Increased focus on risk models 对风险模型的关注不断增长,ERM Risk Categories 风险分类,Common risk allocation 风险分布 Hazard risk 灾难风险 Financial risk 金融风险 Operational risk 运营风险 Strategic risk 战略风险 Bank view New Basel Accord Cred
16、it risk 信用风险 Loan and counterparty risk 信贷风险 Market risk (financial risk) 市场(金融)风险 Operational risk 运营风险,Hazard Risk 灾难风险,“Pure” loss situations “纯”损失状况 Property 财产 Liability 责任险 Employee related 与雇员有关 Independence of separate risks 风险独立可分别对待 Risks can generally be handled by 处理方式 Insurance, including self insurance 保险，自保 Avoidance 避免 Transfer 转移,Financial Risk 金融风险,Components 组成 Foreign exchange rate 汇率 Equity 股票 Interest rate 利率 Commodity price 商品价格 Correlations among different risks 不同风险的相互作用 Use of hedges, reinsurance or risk transfer 使用对冲, 再保险或风险转移 Securitization 证券化,
