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1、Enterprise Risk Management企业风险管理,http:/,What is ERM?,ERM is the application of basic risk management principles to all risks facing an organizationERM 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,http:/,Basic Risk Management Principles基本风险管理原
2、则,Identifying loss exposures 风险损失认定Measuring loss exposures 损失衡量Evaluating the different 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,http:/,Where Did ERM Come From?ERM 起源,Traditional risk management 传
3、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“pure”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,http:/,New Elements of Risk 1970s70年代风险中的新元素,Foreign exchange risk 外汇风险End of Bretton Woods agr
4、eement 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 fluctuations 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,http:/,Failure to Manage Financial Risk 管理金融风险的失败例子,Foreig
5、n exchange risk 外汇风险Laker Airlines 1970s 湖人航空公司Borrowing in dollars 以美元借款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 doubl
6、ed with Gulf War 海湾战争石油价格加倍,http:/,The“New”Risk Management-1980s“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,http:/,Financial
7、Risk Management Toolbox 金融风险管理工具,Forwards 远期Futures 期货Swaps 掉期交易Options 期权,http:/,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
8、payment is made until maturity 交割日前不需付款The buyer has a gain if the asset value increases 如果资产增值，买方获利,http:/,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
9、 are standardized contracts traded on organized exchanges 期货是标准合约，并在专门的期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,http:/,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 ea
10、ch payment date,only the net value of cash flows is exchanged 只在每个交割日交易净现金流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,http:/,Option Contracts 期权合约,Options provide the right,but not the
11、 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
12、 option ceases to exist 过期日是期权失效之日,http:/,New Elements of Risk 1990s90年代风险中的新元素,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,http:/,Mismanagement of Financial Risk金融风险的不妥当管理,Mismanagement of derivatives 衍生物
13、的不善管理Gibson Greetings Barings Bank 巴林银行Orange County,California 橙县，加州Model failure 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,http:/,The“New”Risk Management-1990s and beyond90年代以后的“新式”风险管理,Enterprise Risk Management 企业风险管理Initial focus on a
14、voiding derivative disasters 最初致力于避免衍生工具带来的灾难Developing into optimizing firm 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,http:/,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O
15、perational risk 运营风险Strategic risk 战略风险Bank view New Basel Accord Credit 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,http:/,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
16、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,http:/,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 tran
17、sfer 使用对冲,再保险或风险转移Securitization 证券化,http:/,Operational Risk 运营风险,Causes of operational risk 起因Internal processes 内部流程People 人Systems 制度Examples 例子Product recall 回收产品Customer satisfaction 顾客满意度Information technology 信息技术Labor dispute 劳工争执Management fraud管理层舞弊,http:/,Strategic Risk 战略风险,ExamplesCompe
18、tition 竞争Regulation 法规Technological innovation 技术创新Political impediments 政治障碍,http:/,ERM Approach 方法与措施,http:/,Evolution of ERM 步骤,Control function 风险控制How much can we lose?可以承受多少损失Risk adjusted returns 风险调整后的收益Capital allocation 资金分配Compensation 补偿基金Bonuses 奖励基金Optimization 最优化Maximize shareholder
19、value 股东价值最大化 Vision of the future 预测将来,http:/,Impediments to Effective ERM有效执行ERM的障碍,Risk models and technology 风险模型和技术Organization 组织Motivation 动机Operating infrastructure 操作设施Data problems 数据问题Regional fiefdoms 地域限制问题High failure rate of IT projects IT项目的高失败率,http:/,Increased Use of Risk Models风险模
20、型使用率的增加,Technological advances 技术提高Theoretical advances 理论发展Allocation of economic capital 经济资本的分配Used for divisional profitability 部门利润Impacts bonuses 影响奖金Dueling models 众多模型中优胜劣汰,http:/,Chief Risk Officer 首席风险执行官,Reports to CFO,CEO or Board 向首席财务官、首席执行官或董事会报告Responsible for managing all aspects of
21、 risk 负责管理公司所有方面的风险Understand technology 理解技术Communication skills 交流技巧,http:/,How ERM Can Increase Firm Value ERM怎样增加公司价值,Process can focus on protecting Value 价值Cash flows 现金流Earnings 利润Cannot protect all three at once 不能同时保证三项ExamplesReducing taxes is earnings based strategy 减税以保证利润是基于策略上的措施Insuri
22、ng to prevent assets from declining is value based 保险以避免资产减少是基于价值上的措施Hedging to maintain internal funding sources is cash flow based 对冲以保持内部资金正常运作是基于现金流的措施,http:/,Future of ERM 未来,ERM will continue as risk consolidation and aggregation ERM将继续作为集中、综合管理Process increases value of risk management skills
23、 实行过程中将增加风险管理技能的价值Management is concerned with risk control issues 管理与风险控制紧密结合Chief Risk Officer will be a visible figure in an organization 首席风险执行官将在公司中显示重要作用Many paths to CRO,diverse skills required 许多途径通向CRO,需要多方面技能ERMs role in optimization has a long way to go ERM再最优化中的角色还有很长的路要走Potential benefit is worth pursuing for pioneers 潜在利益值得追求,http:/,
