金融風險之類型（二） 張修齊(風險管理)譯 Funding liquidity risk is affected by various factors such as the maturity of liabilities, the extent of reliance on secured sources of funding, the terms of financing, and the breadth of fund-ing sources, including the ability to access pub-lic markets such as the commercial paper market. It is also influenced by counterparty arrange-ments, including collateral trigger clauses, the existence of capital withdrawal rights, and the existence of lines of credit that the bank cannot cancel. Funding can be achieved through cash and cash equivalents, “buying power,” and avail-able credit lines. (Buying power refers to the amount a trading counterparty can borrow against assets under stressed market conditions.) Operational risk refers to potential losses re-sulting from inadequate systems, management failure, faulty controls, fraud, and human errors. As we discussed above, many of the recent large losses related to derivatives are the direct conse-quence of operational failures. Derivatives trading is more prone to operational risk than cash transactions because derivatives are, by their na-ture, leveraged transactions. This means that a trader can make very large commitments on be-half of the bank, and generate huge exposures into the future (even up to 30 years ahead), us-ing only a small amount of cash (at the time that the transaction is executed). Very tight con-trols are an absolute necessity if a bank is to avoid large losses. Legal risk arises for a whole variety of reasons. For example, a counterparty might lack the le-gal or regulatory authority to engage in a trans-action. Legal risks usually only become apparent when a counterparty, or an investor, loses money on a transaction and decides to sue the bank to avoid meeting its obligations. These financial risks can be further decom-posed into more specific categories. For example, market risk could be subdivided into equity risk, interest rate risk, currency risk, and commodity risk. Interest rate risk might be further divided into trading risk and gap risk: the latter relates to the different risk characteristics of bonds based on their maturities. As we discussed earli-er, liquidity risk can be decomposed into two interrelated dimensions: funding liquidity risk and trading-related risk. The more detailed the de-composition, the more closely the bank’s risk will be captured. （Risk management, Michel Crouhy, Dan Galai and Robert Mark） 資金的流動性風險受到許多因素影響，例如，負債的到期日、擔保資金來源的可靠性、融資期限、資金來源的廣度，包括從公開市場，例如於商業本票市場取得資金的能力。此外，也會受到與交易對手間協議的影響，包括擔保品追繳條款、撤資權利的存在，及銀行不可撤銷信用額度的存在。 至於資金取得的方式有：現金與約當現金、購買力（係指當資產處於市場不利之情況，交易對手可融資的金額），及可使用的信用額度。 作業風險是指起因於系統不良、管理疏失、控制不當、詐欺，及人員失誤所引發的潛在損失。正如以上所述，近來許多與衍生性金融商品交易有關之鉅額虧損都是作業疏失所致，由於衍生性金融商品的本質是屬於槓桿交易，因此，較現金交易更易引發作業風險。這意味著交易員只需使用少量現金（交易執行的時點），便可以銀行名義作成大量承諾，並且在未來產生極大暴險（期間甚至長達30年）。若銀行欲避免遭受重大損失，執行嚴密的控制絕對有其必要。 法律風險可能起因於相當多的因素，例如，交易對手缺乏法律或監理機關授權從事某一項交易。當交易對手或投資人因交易蒙受損失，決定控告銀行規避債務之履行時，法律風險通常才會變得較為明確。 這些金融風險可進一步區分為特定類別，例如，市場風險可區分為權益部位風險、利率風險、外匯風險，及商品價格風險。利率風險又可再分為交易風險與缺口風險，後者與債券到期日不同而具有不同的風險特性有關。正如前述，流動性風險則可被分解成兩方面：資金的流動性風險及與交易相關的流動性風險。銀行若能將各個風險類別分解得愈精細，就愈能嚴密地掌控風險。（系列完） 【2004/12/05 經濟日報】 --

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