※ 引述《liton (欧吉桑留学生)》之铭言： 看到liton大的文章我想到最近读到的一篇文章： Confessions of a risk manager 　　读完感觉很复杂，似乎真实社会运作与想像的世界往往有很大的落差。有些 时候，并不是对错问题，而是不同价值概念的判断。而风险就在放任中逐渐扩大 ，主管渐次授权放行投资一些本来不该通过的金融商品。造成可能的损害上限不 断的增加却缺乏足够的准备应付流动性问题。 　　而公平价值会计恰好有起了推波助澜的作用：公平价值会计本身是中性的， 企图使金融商品的评价能够更反应其真实价值。但是许多金融商品本身对於市场 变动的敏感性很高（如衍生性金融商品），一有风摧草动就会引起钜额的价值变 化。而不巧的，市场有可能因此引发信心危机造成市场崩塌，出现流动性风险。 　　有些批评公平价值会计的人认为：天下本无事，大家只要「有信心」，就能 够支撑金融商品的价值到足够高的水准。因此会计处理适时的反应其价格变化是 不必要的，反而会增加市场的恐慌。*1 　　我却不认为这样，资讯自有其价值存在，会计处理是一个资讯传递的反应 过程，延後处理（如：除非处分，否则不认列损益）其实只是「不是不爆，时 候未到。」 *1 这个假设是建立在市场上有可分别的两种投资人，一种是法人，本身以有足够 能力（私有资讯）去评价金融商品，不需要会计资讯提供公开资讯。 　　而另一类[小额]投资人需要公开资讯，但是却没办法评估商品目前价格未来走势， 只有盲从市场变化追涨追跌。（而金融风爆发生时，往往发现是本来应该是为专业机 构设计的商品，却是这种人占市场的多数部份，因此市场价值决定於此类投资人的进 场与退场。） 　　在这种情况下，公平价值会计对於提供金融商品的「正确」评价，并没有帮助， 只会造成市场的不稳定。在有价格变动时，市场会趋於发散体系。　 *2 关於「信心」问题我印象最深的，就是大二修总经时，老师最喜欢问的问题： 同样是政府发行的纸制品，两者同样是政府信用的指标。为什麽财政部发行的「公债」 价值较低（要附加利息吸引投资人），而央行发行的「新台币」却不用？　　 　 还有投资学举的：只要投资人非风险中立者，你就有发行一种证券，左口袋进，右 口袋出，发行者却可以赚得现金流量的机会。（这里说的是现金流量完全match的情形， 因为足额准备所以Default free，如单期的互保，彩券） 　　更进一步的，只要投资人「相信」发行者永远「不会倒」，发行者就可使用部份准 备或是不提任何准备（当然实务上必须要有一小块比例的自有资本），提高财务杠杆， 做起投机的生意。（最显着的部份准备例子是银行，其经营成败存款户「信心」占很大 比例；） 令人讶异的是，现在的金融商品似乎不只是转移风险而已，发行者往往自己撩落去 并提高杠杆（现金流量未完全配合，流动性准备不足，部份准备……），看对时大赚一 票，看错时「退场」：红利，退休金打包回家，债务交给政府（代表市场投资人？）处 理。 　　反正too big too fail，先创造「信心」假象，在顺风时可以赚更多，在逆风时「 信心崩溃」经常会造成市场系统性风险（特别是流动性问题），在出现系统性风险时， 正是大有为政府出面「保障投资人」利益的时候：若政府不出面处理，明天会更糟，而 且对很多人来说太阳就不会升起了.（如自杀等社会问题） 　 以上是一个会计学徒的管窥面。还在学校读书，仅仅就阅读文章提出感想，如果有 错误之处，还请各位大大指正…… _________________________________________ Confessions of a risk manager 中译文可以在 http://www.accounting.org.tw/5.asp 找到 Economics原文则在 http://www.economist.com/finance/displaystory.cfm?story_id=11897037 转录如下： __________________________________________ http://www.accounting.org.tw/5.asp 专栏-金融观点 一位风控长的告白 会计研究月刊 274期 2008/09/01 ■ 陈伯松 会计研究发展基金会秘书长 当前这场源头在美国房产质押贷款市场，衍生发展到美国证券金融市场，更蔓延至 全世界的世纪金融风暴，堪称百年一见，目前尚在扩展中，甚至无人敢说：「最坏的情 况已过去」。 让人惊讶的是，在风暴中受重创的不乏赫赫有名的大银行：花旗、美林、高盛、李曼 、AIG、BOA、UBS、汇丰、二房…等。大家要问：在银行内部，到底发生了什麽事？ Hyman P. Minsky说过，金融体系内存有内生性的不稳定现象，每隔一段时间就会产生大 型的金融危机。 「Minsky现象」是解释金融泡沫危机的学说之一，着眼在一般的投机者和赌徒型的 投机者(Ponzi borrowers)的现金流量安排失衡，造成了金融资产市场价格崩溃。然而， 银行是创造货币信用的机器，上述投机者对受信的需求若无银行供给授信，也不会成事。 在银行内部中，风控机制一旦失衡，Minsky所说的内生性不稳定条件就成立了。 日前，笔者阅读经济学人一篇”Confessions of a risk manager”（一位风控长的 告白），感慨甚深，从该报导里，读者可以见到上述内生性不稳定现象的因子：失灵的 风控机制、绩效诱因的扭曲、过度金融发达…。在一窝蜂狂热的钱潮追逐中，船上其他 人享受着涨潮时的狂飈和狂喜，风控长则必须思考退潮时船如何全身而退？是时候了， 以下，让我们听听这位风控长的喃喃自语，也希望唤起国内金融机构对於风险管理的重 视。 「2007年初的金融世界看起来毫无风险迹象，元月时，我和我的风险小组开了一次 会，检讨未来12个月内，银行可能碰到的五项风险。我们这一小组的功能在随时思考银 行可能遭受不利(downside)的各种情况。过去四年来，利率低，信用差(credit spread) 一直缩小，银行贷款无倒帐违约，金融市场震荡性很小，一切的一切都显示，这是二十 年来所仅见的风平浪静的风险环境。 风控小组的职能在审核银行端(bankers)和交易端(traders)移送案件的授信和交易 风险，并决定是否同意放行。此外，风控小组也全面监看、报告银行的风险水位，并对 超出警戒水准者施以限制。风控小组永远会担心市场流动性突然乾枯的可能，可是，我 们所看到的是流动性绵绵不绝地流入市场，在过去几年，机构投资者、避险基金、私募 基金和主权基金等不断涌入市场，寻找投资机会，这正是信用差不断缩小的原因所在， 尤其是新兴市场更明显，而在私募基金市场，债对盈余(debt-to-earnings)比也放大了 。在会议上有人提问：「市场流动性危机可能发生於何处？」没人能够回答。 如今回想起来，我们应该对危机的第一个讯号付予更多注意才对，危机来临前都有 前兆，如果你能正确解读通常就能化险为夷。2005年五月的结构债市场出现了一个微小 风波，却是如今这场风暴即将发生的预警，在那个月份，通用汽车的公司债被评等机构 降等，从投资等级降为垃圾等级，因为通用的公司债广被持有，降级马上引来一阵换手 的市场重组。跟其他银行一样，我们也持有大量的CDOs（证券化的质押债权），各种不 同的级次(tranches)均有，我们收购金融资产（大部份是债券），予以重组、分类包装 ，加以证券化、结构化成CDOs，然後售给全世界投资者。在这中间，我们会留住最好级 次的CDOs在手上，而尽量卖清所有低级次的CDOs，因为在CDOs中债权若发生倒帐，吸收 损失的顺位从最低级次开始算起，最好级次的排在最後，几乎没有风险。 在2005年五月中，如上述原则我们持有AAA或超高(super-senior)级次的CDOs，并 卖空低级次的CDOs，以风险管理的观点言，此举十分正确，高级次的CDOs价值将升高， 低级次者将跌价。可是，2005年五月的市场情况正好相反，高级次的价跌，低级次的价 升，让我们遭致损失。 这真让人始料未及，高低级次之间市场有了微妙的变化，因为大家追逐高利率（译 注：轻忽了风险），所以低级次的CDOs很抢手而缺货，价格反而上涨，相对地，高级次 的CDOs没人要（译注：利息太低），价格下跌。 2005年五月的市场骚动在2007年夏天又重演一次，不同的是，这回的规模大多了， 而且，我们也没下对判断。以风控角度言，我们应出清所有级次的 CDOs，而非只有低级 次的CDOs ，然而，我们无法相信AAA级的CDOs竟然价格下跌了1%，而让我们的无倒帐风 险的资产组合价值贬损了20%，很显然，我们对流动性风险的评价不准确，而可容错的空 间又非常有限。 我们在市场上建立如此巨大的交易部位，如何一步一步陷入了险境之中？问题的答 案牵涉到许多因素，而每一项都是逐日累积而不易预先察觉风险。 终极大战 风险聚焦在贷款的传统业务风险这块。贷款这项业务的市场变现性不佳，而且，在 银行帐上，会计采权责基础，有别於在交易帐上采每日洗价基础。贷款的授信风险都经 过严谨分析和控管，以有效降低倒帐损失，至於股权、公债、外滙和衍生性的交易，则 以逐日洗价基础管控风险。 银行的风险管理缺口，随着多年来交易CDOs和其他的资产质押证券(ABS)而逐渐扩 大，也引起市场部门和信用部门间的不愉快。市场部门认为CDOs和 ABS等都是信用风险 的工具，管控徵信风险不是他们的事，信用部门则认为市场风险与他们无关，而且，这 类商品也列在交易帐上。 结构债市场爆炸性成长和高获利则让上述问题更趋严重。我们的风险管理做不澈底 ，既对部位依评等别设限又让交易桌以产品别交易。此外，我们所建立的两项假设则让 我们付出了代价。首先，我们认为，所有以每日洗价为基础的交易商品若发生损失，必 能引起我们的关注，因为损益均有每日报表可看。其次，我们认为交易商品若有麻烦， 应该很容易可以处理掉，尤其是一些评为AAA或AA级的商品，更没问题才对。我们的注意 力永远放在不良等级的商品上，尤其注意新兴市场的货币工具，以前发生过俄国和拉丁 美洲国家的债市危机让我们深以为戒，然而，在这回的信贷危机中，新兴市场的表现却 比欧美市场好。我们也信任评等机构，很难想像我们竟然不敢挑战它，然而事实就是如 此。外面的评等机构权威性如此高，以致於银行内部判断若有所降级，必招来自己人的 质疑，我们假设评等机构懂得比我们多。 我们因而对所持庞大规模的优良等级商品觉得放心，以致於太慢出清它们。我们只 需一点点支援的资金，不必加流动性贴水，很少违约险，只图一点点正利差──持有它 所生孳息和银行拆放息或附买回(repo)市场利息间的息差。逐渐地，我们的资产组合变 得愈来愈复杂了，因为它们都列在交易帐上，许多逃避了徵信审核，而暴露了我们的弱 点。风险管理部门的审核和核准交易的压力很大，心理因素占重要地位。为维护它的独 立性，风管部门单独向董事会提报告，或许主管者认为为落实风险分析与评估而有必要 如此安排，但是，这种安排却伤了银行部门和交易部门的关系。 变调的比赛 在业务部门（银行和交易）人员眼中，我们不是赚钱单位，更糟的是我们握有权力 阻止他们赚钱。交易单位的业务人员总认为我们挡了他们的财路，妨碍他们获取更高利 润。他们不会认为我们系从另一个角度帮他们忙，结果双方面常在会议上争吵。我的主 管常提醒我：许多交易员已经要我为他们少做的交易负责，通常是，业务人员不接受风 管人员的「不」的答案，尤其对利得大的案件更是如此。可是，在我们看来，利差愈大 表示风险愈高。对我们的评语如「没有商业脑筋」、「无建设性」、「顽固不通」等也 就家常便饭了。必须公允的说，风管人员常常不是一个良好的沟通者和说服者，虽然有 优异的分析技巧，却不善於把「不」的理由说清楚，因而，业务人员既被我们对他所否 定的内容，也被我们给他的理由所激怒。 症结出在长久以来根深蒂固的内部文化，在决策过程中一直存在这样的裂缝，在银 行内部，决策会议不可能不偏不倚公正客观地裁判，总会向一方倾斜。业务端渴望交易 被核准通过，更甚於其中的风险确认，风险因素在简报中会被提到，但不成比例地轻微 ，并且带着缓和、安抚的语气，这使得要反对该项交易变得师出无名，此时，风管人员 如果开口说不，马上就成为业务人员联合攻击的目标，风险的思维因而向甘冒风险端倾 斜。所以，在会议上很难寄望集思广益的效果能发挥出来。常常是风管人员鼓起勇气来 扮黑脸，却敌不过随之而来的反击，无力阻止该项交易，尤其是，业务人员花好几周准 备简报资料，而风管人员常常在会议前一个小时才拿到它。结果，为了部门盈余，也为 了和谐气氛，我们常常屈服而同意交易。 经常地，银行在资产负债表上金融资产项目累积许多微差、微误的风险评价，这里 一点那里一点，积沙成塔堆成了很高的风险。几十亿美元的金融资产的一点点价格微差 ，结果成为每日洗价的巨额损失。在我们持有较少而风险较高的商品上，我们反而会斤 斤计较，但对我们持有多数而认为安全的商品，我们常常大而化之，结果是，20%的不 良品所遭致的损失远低於80%的优良等级商品。 射门和守门员 整个银行业和风管人员究竟从这场危机中学到了什麽？有许多心得值得分享： 其一是回归基本面，在从事风险交易之前和之後，随时分析、检讨资产负债表上各种 部位的型态、规模和复杂性。不要假设评等都是对的，即便他们对，他们也会很迅速 改变。 其二，流动性风险应由下述两方面予以评量：一、对交易帐上的部位，应该同时用内 部资金成本和外部资金成本计费，与银行帐的部位相较，其关联性太低而须重新对正 水准。二、提列流动性准备金，目前业界还没普遍注意到此点。公平价值会计实施也 不允许此项作法，他们会认为这样做是为让盈余平缓化。然而，在银行资产负债表上 供交易目的的资产愈来愈重的市场环境里，提列流动性准备较能因应标的资产的各种 可能变化，这样做总比某些银行根本反对公平价值会计的原则好。 最後，但非仅止於此，银行应更重视风险管理部门，给予更多尊重，最好的方法 是鼓励交易人员转调风控人员。不幸的是，实务上刚好相反，风控熟练人员随时想上 交易线，而成功的交易人员很少考虑要转行。风管人员就像足球赛的守门员，他一直 在球场上，少数关键时刻他才是球赛的焦点，罚射球门时便是。 风管这职能吃力不讨好，有如选择权的卖方－报酬有限(limited upside)而风险 无穷(unlimited downside)。风控长深知无论如何必须防止危险发生，聪明的企业在 选用优秀人才担任此项职务时，则必须谨记此点。」 ─────────────────────────────────────── http://www.economist.com/finance/displaystory.cfm?story_id=11897037 Finance and economics A personal view of the crisis Confessions of a risk manager Aug 7th 2008 From The Economist print edition Why did banks become so overexposed in the run-up to the credit crunch? A risk manager at a large global bank—someone whose job it was to make sure that the firm did not take unnecessary risks—explains in his own words Gary Neil IN JANUARY 2007 the world looked almost riskless. At the beginning of that year I gathered my team for an off-site meeting to identify our top five risks for the coming 12 months. We were paid to think about the downsides but it was hard to see where the problems would come from. Four years of falling credit spreads, low interest rates, virtually no defaults in our loan portfolio and historically low volatility levels: it was the most benign risk As risk managers we were responsible for approving credit requests and transactions submitted to us by the bankers and traders in the front-line. We also monitored and reported the level of risk across the bank’s portfolio and set limits for overall credit and market-risk positions. The possibility that liquidity could suddenly dry up was always a topic high on our list but we could only see more liquidity coming into the market—not going out of it. Institutional investors, hedge funds, private-equity firms and sovereign-wealth funds were all looking to invest in assets. This was why credit spreads were narrowing, especially in emerging markets, and debt-to-earnings ratios on private-equity financings were increasing. “Where is the liquidity crisis supposed to come from?” somebody asked in the meeting. No one could give a good answer. Looking back on it now we should of course have paid more attention to the first signs of trouble. No crisis comes completely out of the blue; there are always clues and advance warnings if you can only interpret them correctly. It was the hiccup in the structured-credit market in May 2005 which gave the strongest indication of what was to come. In that month bonds of General Motors were marked down by the rating agencies from investment grade to non-investment grade, or “junk”. Because the American carmaker’s bonds were widely held in structured-credit portfolios, the downgrades caused a big dislocation in the market. Like most banks we owned a portfolio of different tranches of collateralised-debt obligations (CDOs), which are packages of asset-backed securities. Our business and risk strategy was to buy pools of assets, mainly bonds; warehouse them on our own balance-sheet and structure them into CDOs; and finally distribute them to end investors. We were most eager to sell the non-investment-grade tranches, and our risk approvals were conditional on reducing these to zero. We would allow positions of the top-rated AAA and super-senior (even better than AAA) tranches to be held on our own balance-sheet as the default risk was deemed to be well protected by all the lower tranches, which would have to absorb any prior losses. In May 2005 we held AAA tranches, expecting them to rise in value, and sold non-investment-grade tranches, expecting them to go down. From a risk-management point of view, this was perfect: have a long position in the low-risk asset, and a short one in the higher-risk one. But the reverse happened of what we had expected: AAA tranches went down in price and non-investment-grade tranches went up, resulting in losses as we marked the positions to market. This was entirely counter-intuitive. Explanations of why this had happened were confusing and focused on complicated cross-correlations between tranches. In essence it turned out that there had been a short squeeze in non-investment-grade tranches, driving their prices up, and a general selling of all more senior structured tranches, even the very best AAA ones. That mini-liquidity crisis was to be replayed on a very big scale in the summer of 2007. But we had failed to draw the correct conclusions. As risk managers we should have insisted that all structured tranches, not just the non-investment-grade ones, be sold. But we did not believe that prices on AAA assets could fall by more than about 1% in price. A 20% drop on assets with virtually no default risk seemed inconceivable—though this did eventually occur. Liquidity risk was in effect not priced well enough; the market always allowed for it, but at only very small margins prior to the credit crisis. So how did we get ourselves into a situation where we built up such large trading positions? There were a number of factors. As is often the case, it happened so gradually that it was barely perceptible. Fighting the last war The focus of our risk management was on the loan portfolio and classic market risk. Loans were illiquid and accounted for on an accrual basis in the “ banking book” rather than on a mark-to-market basis in the “trading book”. Rigorous credit analysis to ensure minimum loan-loss provisions was important. Loan risks and classic market risks were generally well understood and regularly reviewed. Equities, government bonds and foreign exchange, and their derivatives, were well managed in the trading book and monitored on a daily basis. The gap in our risk management only opened up gradually over the years with the growth of traded credit products such as CDO tranches and other asset-backed securities. These sat uncomfortably between market and credit risk. The market-risk department never really took ownership of them, believing them to be primarily credit-risk instruments, and the credit-risk department thought of them as market risk as they sat in the trading book. The explosive growth and profitability of the structured-credit market made this an ever greater problem. Our risk-management response was half-hearted. We set portfolio limits on each rating category but otherwise left the trading desks to their own devices. We made two assumptions which would cost us dearly. First, we thought that all mark-to-market positions in the trading book would receive immediate attention when losses occurred, because their profits and losses were published daily. Second, we assumed that, if the market ran into difficulties, we could easily adjust and liquidate our positions, especially on securities rated AAA and AA. Our focus was always on the non-investment-grade part of the portfolio, especially the emerging-markets paper. The previous crises in Russia and Latin America had left a deeply ingrained fear of sudden liquidity shocks and widening credit spreads. Ironically, of course, in the credit crunch the emerging-market bonds have outperformed the Western credit assets. We also trusted the rating agencies. It is hard to imagine now but the reputation of outside bond ratings was so high that if the risk department had ever assigned a lower rating, our judgment would have been immediately questioned. It was assumed that the rating agencies simply knew best. We were thus comfortable with investment-grade assets and were struggling with the huge volume of business. We were too slow to sell these better-rated assets. We needed little capital to support them; there was no liquidity charge, very little default risk and a small positive margin, or “carry”, between holding the assets and their financing in the liquid interbank and repo markets. Gradually the structures became more complicated. Since they were held in the trading book, many avoided the rigorous credit process applied to the banking-book assets which might have identified some of the weaknesses. The pressure on the risk department to keep up and approve transactions was immense. Psychology played a big part. The risk department had a separate reporting line to the board to preserve its independence. This had been reinforced by the regulators who believed it was essential for objective risk analysis and assessment. However, this separation hurt our relationship with the bankers and traders we were supposed to monitor. Spoilsports In their eyes, we were not earning money for the bank. Worse, we had the power to say no and therefore prevent business from being done. Traders saw us as obstructive and a hindrance to their ability to earn higher bonuses. They did not take kindly to this. Sometimes the relationship between the risk department and the business lines ended in arguments. I often had calls from my own risk managers forewarning me that a senior trader was about to call me to complain about a declined transaction. Most of the time the business line would simply not take no for an answer, especially if the profits were big enough. We, of course, were suspicious, because bigger margins usually meant higher risk. Criticisms that we were being “non-commercial”, “ unconstructive” and “obstinate” were not uncommon. It has to be said that the risk department did not always help its cause. Our risk managers, although they had strong analytical skills, were not necessarily good communicators and salesmen. Tactfully explaining why we said no was not our forte. Traders were often exasperated as much by how they were told as by what they were told. At the root of it all, however, was—and still is—a deeply ingrained flaw in the decision-making process. In contrast to the law, where two sides make an equal-and-opposite argument that is fairly judged, in banks there is always a bias towards one side of the argument. The business line was more focused on getting a transaction approved than on identifying the risks in what it was proposing. The risk factors were a small part of the presentation and always “mitigated”. This made it hard to discourage transactions. If a risk manager said no, he was immediately on a collision course with the business line. The risk thinking therefore leaned towards giving the benefit of the doubt to the risk-takers. Gary Neil Collective common sense suffered as a result. Often in meetings, our gut reactions as risk managers were negative. But it was difficult to come up with hard-and-fast arguments for why you should decline a transaction, especially when you were sitting opposite a team that had worked for weeks on a proposal, which you had received an hour before the meeting started. In the end, with pressure for earnings and a calm market environment, we reluctantly agreed to marginal transactions. Over time we accumulated a balance-sheet of traded assets which allowed for very little margin of error. We owned a large portfolio of “very low-risk” assets which turned out to be high-risk. A small price movement on billions of dollars’ worth of securities would translate into large mark-to-market losses. We thought that we had focused correctly on the non-investment-grade paper, of which we held little. We had not paid enough attention to the ever-growing mountain of highly rated but potentially illiquid assets. We had not fully appreciated that 20% of a very large number can inflict far greater losses than 80% of a small number. Goals and goalkeepers What have we, both as risk managers and as an industry, to learn from this crisis? A number of thoughts come to mind. One lesson is to go back to basics, to analyse your balance-sheet positions by type, size and complexity both before and after you have hedged them. Do not assume that ratings are always correct and if they are, remember that they can change quickly. Another lesson is to account properly for liquidity risk in two ways. One is to increase internal and external capital charges for trading-book positions. These are too low relative to banking-book positions and need to be recalibrated. The other is to bring back liquidity reserves. This has received little attention in the industry so far. Over time fair-value accounting practices have disallowed liquidity reserves, as they were deemed to allow for smoothing of earnings. However, in an environment in which an ever-increasing part of the balance-sheet is taken up by trading assets, it would be more sensible to allow liquidity reserves whose size is set in scale to the complexity of the underlying asset. That would be better than questioning the whole principle of mark-to-market accounting, as some banks are doing. Last but not least, change the perception and standing of risk departments by giving them more prominence. The best way would be to encourage more traders to become risk managers. Unfortunately the trend has been in reverse; good risk managers end up in the front-line and good traders and bankers, once in the front-line, very rarely go the other way. Risk managers need to be perceived like good goalkeepers: always in the game and occasionally absolutely at the heart of it, like in a penalty shoot-out. This is hard to achieve because the job we do has the risk profile of a short option position with unlimited downside and limited upside. This is the one position that every good risk manager knows he must avoid at all costs. A wise firm will need to bear this in mind when it tries to persuade its best staff to take on such a crucial task. --

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