金融風險管理的現(xiàn)狀和未來外文翻譯（可編輯）

1、<p>　　金融風險管理的現(xiàn)狀和未來外文翻譯</p><p><b>　　外文翻譯</b></p><p>　　The Present and Future Of Financial Risk Management</p><p>　　Material Source: ////0>. Author: Carol Alexande

2、r</p><p>　　The role of risk management in financial firms has evolved far beyond the simp1e insuranee of identified risks, to a discipline that centres on complex econometric and financial models of uncertai

3、nty. Financial risk management has been defined by the Basel Committee 2001 as a sequenee of four processes: the identification of events into one or more broad categories of market, credit, operational and 'other&qu

4、ot; risks and into specific sub-categories; the assessment of risks using data and a risk mod</p><p>　　Of the trends in financial markets that have had a significant impact on risk management practices today

5、, deregulation has been a main driving force. Since the 1970s the deregulation of capital flows has led to increased globalization; dcrcgulation of industries has enabled the rapid expansion of new companies such as Enro

6、n Bodily and Bruner, 2002; Bratton，2003; and with the deregulation of financial operations new risks have been acquired ? with some banks offering insurance products and insura</p><p>　　As a resuIt the super

7、vision and reguleition of banks and other financial firms has increased. In particular, capital adequacy requirements have been extended to cover more types of risks. 1 The first Basel Accord in 1988 covered only cred it

8、 risks in the banking book; the Basel 1 Amendment in 1996 extended this to market risks in the trading book; and now the new Beisel 2 Accord that will be adopted by all GIO ? and many other ? countries in 2007 refines cr

9、edit risk assessments to become more ri</p><p>　　Some financial services have become concentrated into the hands of very few firms. Primarily this has been the result of deregulation leading to greater compc

10、tition but increased rcgulation of banking activities has also played a role. Under the new Basel Accord some services such as agency and custody will for the first time attract reguleitory capital charges and consequent

11、ly the best economic solution may be to out-source the service. On the other hand all types of financial services ? insura</p><p>　　Disintermediation in the traditional banking industry has played an imporia

12、nt role in changing the structure of financial institutions. Rather than relying on a bank for bonds or loans, many large companies now favour the direct insurance of debt by issuing bonds and equity through the capital

13、markets Bhattacharya, Boot wind Thakor, 1998. As a resuIt brinks are now relying more on flow business for their income, especially from fees and commissions on services in corporate finance. The decline o</p><

14、;p>　　Set against this background, this paper envisions how financial econometric research might best lead the financi al risk management industry in the futurc> Its outline is as follows: section I examines how mar

15、ket, credit, operational, business and systemic risks have been changing in response to the global trends in financial markets discussed above; section II reviews the recent academic literature on risk assessment and hig

16、hlights the most important sources of error in risk capital models; sec</p><p>　　I The Risk Management Impact of Recent Trends in Financial Markcts Increased capital flows, rapid dissemination of information

17、 and faster transfers of funds have all served to increase market risks. For example Figure 1 shows that the 5-year average volatility of the SP500 equity index is now above 20%, an all time high, and the index short-ter

18、m volatility has been in excess of 15% for several years. Even more noticeable them index volat訂ity is that individueil stock volat訂ity has increased dram</p><p>　　intra-day frequency. Figure 1 also shows th

19、at the 5-year average volatility of the IBM stock has almost doubled since the beginning of 1990. The fact that stock index volati 1 ity has not increased apace is due to a decrease in correlation between returns to stoc

20、ks within a domestic index. On the other hand, the correlation of stock returns within international industrial sectors has increased Diermeier and Solnik, 2001.</p><p>　　Deregulation of capital flows in the

21、 worlds emerg ing eco no mi es has been the main catalyst for globalization in regions such as Eastern Europe and Asia, where the un-checked growth of capitalism, poor accounting standards and inefficient financial inter

22、medicition precipitated some major credit crises during the 1980s Bisignano 1999. Figure 2 shows that Baa credit spreads in lhe US recently rose again to the high levels of the early 1980s, precipitated first by the Russ

23、ian debt crisis and then</p><p>　　the lcirge number of company defaults in the US communiccitions</p><p>　　sector. The increasing pace of technological advance was the catalyst behind unpreceden

24、ted price increases in technology stocks in the late 1990s. This enabled some communications companies to pay the ludicrous sums that governments demanded for their licences by mounting huge debts on the promise of consu

25、mer demand, but this demand never materialized. With greater disintermediation of the debt than in the previous crises, banks suffered less but economic growth in the US and Europe has been dep</p><p>　　[Fig

26、ures 1 and 2 here]</p><p>　　Recent global trends in financial markets have increased many types of opereitional risks: the rapid growth of some new companies adopting dubious accountanc)^ and management prac

27、tices followed the deregulation of industries and subsequently there has been a marked increase in company fraud for example, Enron formed after deregulation of the US energy market in US in the early 1990s; systems risk

28、s have risen with our increasing reliance on technology; the concentration of key financial</p><p>　　services into a single geographical location increases operational risks arising from damage to physical a

29、ssets. Financial instit utions now offer highly st rue tu red products having access to a wide range of asset classes across the world and the complexity of these financial instruments highlights several types of operati

30、onal risks: with</p><p>　　less transparency in the trading and new and complex systems systems risk have increased; products and business practice risks increase because of the deinger of mis-pricing and mis

31、-selling these products; andhuman1</p><p>　　risks in general increase because now only a few experienced people understand the systems and the products.</p><p>　　In preparation for the impositi

32、on of operational risk capital charges under the new Basel Accord, the risk management group of the Basel Commi ttee prepared two quantitative impact studies QTS on operational risks in large banking conglomerates. QIS2,

33、 the first of these two studies Basel Committee, 2002 examined operational losses from 30 large banks over the period 1998-2000. TheresuIts are reproduced in table 1. 2 The highest frequency risks were in retail banking

34、services, particularly from s</p><p>　　[Table 1 here]</p><p>　　Business risk ? the risk of insolvency due to inappropriate mem agement decisions ? has grown as the structure of financial institu

35、tions continues to change. As the demand for banking loans declines but the need for corporate finance increases, this has the effect of reducing markct and credit risk for banks but they now face more business risks. A

36、case in point is Abbey National, now the 6th largest British bank, but originally just a building society. Having obtdined a license for retail banki</p><p>　　international accounting firms have developed ne

37、w audit models to account for the growing importance of business risks when valuing the firm Morgan and Stocke n, 1998. Systemic risk is the risk of a sys temic eve nt leading to mass insolvencies in the banking and othe

38、r sectors. It arises from the 'domino effect" emanating from a limited idiosyncratic shock when agents， behciviour is homogenous- 3 The similarity of risk management practices can increase systemic risk through

39、increased ^herding" b</p><p>　　strategics that arc popular with pension funds Rubinstcin and Leland, 1981. If the price of some risky assets fall the funds that have not performed well as ci resuIt must

40、 maintain their solvency ratio. They may be forced to sell risky assets and, assuming they sell the assets that are under-performing, the price of these will be depressed even further. But now the ncxt level of funds, th

41、ough not originally concerned by their solvency ratio, may be forced into selling assets. The vicious circle </p><p>　　From this perspective, the trend towards increasing regulation of the financial industry

42、 could in fact be counter-productive because it imposes homogeneity on risk assessments and control Kaufman, 1996. Increased integration of the financial industry has increased the contagion effect that is central to sys

43、temic risk. Systemic risk has also been enhanced by illiquidity spillover effects ? where problems in one market induce firms to liquidate positions in other markets ? and the concentration of</p><p>　　Final

44、ly, the convergence of the industry towards large complex global organizations highlights the need for a firm-wide risk management function that can take proper advantage of new diversification opportunities. Senior mana

45、gers require consolidated risk reports that cover al 1 activities and al 1 risks in al 1 locations. With the need to net many types of risks across the whole enterprise a new type of risk model risk has emerged: 'agg

46、regation risk" may be defined as the</p><p>　　model risk resulting from ineippropricite assumptions about risk</p><p>　　factor dependencies.</p><p><b>　　譯文</b></

47、p><p>　　金融風險管理的現(xiàn)狀和未來</p><p>　　資料來源：////.作者:卡羅亞歷山大</p><p>　　在一門集中復(fù)雜經(jīng)濟和金融的不確定模型的學(xué)科中，金融公詞在風險管 理中的作用己經(jīng)演變，遠遠超出了簡單確認的風險保險，巴塞爾委員會（2001年） 把財務(wù)風險管理定義為四個過程的順序:參加一個或多個市場，信貸大類事件識 別，業(yè)務(wù)和其他風險,具體的子類別，評

48、估使用數(shù)據(jù)的風險和風險模型，監(jiān)測和及 時完成風險評估報告，以及控制高級管理的風險。</p><p>　　當今金融市場已對風險管理實踐產(chǎn)生重大影響趨勢，放松管制已經(jīng)成為 主要驅(qū)動力量。自20世紀70年代開始逐步放寬，使得資本流動口益全球化，使行</p><p>　　業(yè)放松管制,如安然，新公司的迅速擴張和新風險已經(jīng)獲得金融業(yè)務(wù)的放松管制， 如一些提供保險產(chǎn)品和保險公司書而市場和信貸衍生工具的銀

49、行。過度的場外衍 生工具市場迅速克服了除了資木化的一些現(xiàn)象,在全球范圍內(nèi)，在此期間這種現(xiàn) 象減少了很多，到了 20世紀80年代初，除了個別銀行，如國家銀行等行業(yè)，別的己 變得非常脆弱。</p><p>　　因此銀行和其他金融公罰的監(jiān)管有所增加。特別是,資木充足率要求已擴 大到涵蓋更多類型的風險。1988年最早的巴塞爾協(xié)議的中涵蓋了銀行信貸風 險,1996年的巴塞爾1號修訂擴展到圖書市場屮的交易風險，而現(xiàn)在新巴塞爾

50、協(xié) 議2將所有的十國集團通過了和許多其他,2007年細化信貸風險評估風險的國家 變得更加敏感和擴大了風險資本的計算，包括操作風險。另外，在巴塞爾2,最低 償付能力比率將現(xiàn)在被應(yīng)用到資產(chǎn)管理和經(jīng)紀了公司，以及傳統(tǒng)的銀行業(yè)務(wù)。</p><p>　　一些金融服務(wù)己集中在極少數(shù)公司手中，這主要是放松管制導(dǎo)致更大的 競爭，但增加銀行活動的監(jiān)管也發(fā)揮了作用。在新巴塞爾協(xié)議屮，代理服務(wù)并保管 將會首次吸引自有資本費用，因此最好

51、的經(jīng)濟的解決方案可能是外源的服務(wù)。另 一方面所有類型的金融服務(wù)，保險，資產(chǎn)管理和銀行,都被合并成一個大型復(fù)朵 銀行組織。這種服務(wù)合并凸顯了公司范圍的風險管理職能的重要性，它能夠檢查 整個組織的總風險。因此，銀行活動的監(jiān)管監(jiān)督的變化包括一個擺脫產(chǎn)品為基礎(chǔ) 的資本要求，以規(guī)則為基礎(chǔ)的資本，可能是統(tǒng)一的適用于大型復(fù)雜的集團的所有 子公司的耍求，使所有活動的風險和收益在可比的基礎(chǔ)上進行評估，妥善匯總。</p><p>　

52、　在傳統(tǒng)銀行業(yè)小小介對金融機構(gòu)的結(jié)構(gòu)改變起到了重要作用。而不是依 賴債券或是銀行貸款，許多大公司現(xiàn)在都贊成通過發(fā)行債券和股票資木市場的債 務(wù)直接保險。因此銀行現(xiàn)在依靠更多的業(yè)務(wù)來提高收入，尤其是收費和企業(yè)融資 服務(wù)傭金。傳統(tǒng)銀行右所下降，但伴隨著金融屮介，包括養(yǎng)老基金和共同基金和菲 銀行金融公司其他類型的上升。多層次的屮介實例現(xiàn)在頻繁,跨不同代理商Z間 的關(guān)系，在金融部門的結(jié)構(gòu)已變得越來越復(fù)雜。因此，新的技術(shù)進步提供了便利的 新類型的中

53、介機構(gòu)，互聯(lián)網(wǎng)和現(xiàn)在基于Intranet技術(shù)提供金融服務(wù)改善通訊，安 全，數(shù)據(jù)庫和秩序的管理。</p><p>　　在這種背景下，木文設(shè)想如何讓金融計量經(jīng)濟學(xué)的研究最好地引導(dǎo)未來 的金融風險管理行業(yè)。它的輪廓如下:第一節(jié)探討市場，信用，運營，業(yè)務(wù)和系統(tǒng)性 風險一直在發(fā)生變化如何來應(yīng)對金融市場的討論;第二節(jié)回顧了最近的關(guān)于風險 評估的學(xué)術(shù)文獻，并強調(diào)最重耍的是風險資本模型誤差來源;第三節(jié)從風險控制 需要的關(guān)鍵來看，

54、他認為口前的激勵機制可能會失敗,減少市場和信貸風險，并可 能增加系統(tǒng)性風險;第四節(jié)檢查有可能成為今后研究問題的重點，并概述了新的 風險模型要素的框架;第五節(jié)結(jié)論。</p><p>　　近期趨勢對金融市場風險管理的影響,增加資本流動，信息的快速傳播和 資金快速轉(zhuǎn)移，都有助于增加市場的風險。例如圖1顯示，在5年的標準普爾500 股票平均指數(shù)的波動現(xiàn)在是20%以上，歷史最高點，而短期的波動在15%以上，已 有數(shù)年的索引

55、。更引人注目的是比指數(shù)的波動,個別股票的波動性有所增加，在過 去幾年里急劇増加-尤其是在測量時的即□頻率。圖1還顯示,5年的IBM股票 的平均波動兒乎從1990年初翻了一番。該股票指數(shù)的波動性并沒有迅速增加, 其實是FtT丁國內(nèi)指數(shù)的股票回報之間的相關(guān)性降低。另一方面，國際產(chǎn)業(yè)相關(guān)行 業(yè)的股票收益率上升。</p><p>　　放松管制的資木流動在新興經(jīng)濟體在枇界上已如東歐和亞洲，那里的資 本主義未檢查的増長，會計

56、標準差和低效率的金融中介沉淀在20世紀80年代一 些主要的信貸危機區(qū)域?qū)θ蚧闹饕呋瘎?。圖2顯示，在最近美國Baa級信 用利差再次上升到80年代初的水平高,沉淀首先由俄羅斯債務(wù)危機，然后在美國 通訊業(yè)公司大量拖欠。技術(shù)進步的速度加快是前所未有的價格背后的催化劑科技 股升幅在90年代末。這使一些通信公司支付其牌照,各國政府所要求的安裝在了 消費需求的承諾巨額債務(wù)可笑的款項,但這一要求從未實現(xiàn)。隨著川介更大的債 務(wù)比前危機,銀行遭受較少

57、，但在美國和歐洲的經(jīng)濟增長一直壓抑，如Z間的枇 通和壞球電訊技術(shù)公司的高違約率。</p><p>　　在最近的全球金融市場的趨勢有所增加多種經(jīng)營風險:采取可疑的會計 和管理做法的一些新公司的快速增長之后的產(chǎn)業(yè)放松管制和隨后出現(xiàn)了，例如在 公司欺詐顯著增加（安然后形成美國放松管制的美國能源市場在90年代初），系 統(tǒng)的風險有不斷增加的對技術(shù)的依賴增加;主要金融濃度。</p><p>　　成一個

58、單一的地理定位服務(wù)的増加所產(chǎn)生的有形資產(chǎn)損害的經(jīng)營風險?，F(xiàn)在 金融機構(gòu)提供高度結(jié)構(gòu)性產(chǎn)品有獲得了世界各地的資產(chǎn)類別，以及這些金融工具 的復(fù)朵性廣泛的經(jīng)營風險凸顯幾種類型：以較少的交易和新的復(fù)雜系統(tǒng)的系統(tǒng)風 險的透明度增加了；產(chǎn)品和商業(yè)實踐風險增加，因為對錯謀定價和不當銷售這些 產(chǎn)品的危險性，而且在普遍增加人的風險，因為現(xiàn)在只有少數(shù)有經(jīng)驗的人了解系 統(tǒng)和產(chǎn)品。</p><p>　　在為操作風險資本費用根據(jù)新的巴塞爾

59、協(xié)議實施的準備，巴塞爾委員會 風險管理小組準備了兩個數(shù)量上的影響在人銀行集I才I的經(jīng)營風險研究部（QTS） o QIS2,這兩項研究的第一（巴塞爾委員會,2002）分析了來自30家大型銀行在 1998-2000年期間的經(jīng)營虧損。Theresults最高的風險是在零售銀行業(yè)務(wù)，特別 是從信用卡作騙這樣的事，并檢查到風箏的外部欺詐類下降，并在執(zhí)行，交付和管 理的一般過程。雖然總損失在這些類別也最高，這些高頻率低影響的風險相對較 小的影響監(jiān)管

60、資本要求，因為他們的預(yù)期損失通常由一般規(guī)定的業(yè)務(wù)范圍。每股 虧損事件的嚴重性是在貿(mào)易和銷售，商業(yè)銀行和資產(chǎn)管理的內(nèi)部欺詐最大，為客 戶，產(chǎn)品和企業(yè)融資業(yè)務(wù)執(zhí)業(yè)風險。復(fù)雜結(jié)構(gòu)性產(chǎn)品的增長已經(jīng)明顯增加定價模 式的風險。模型風險是不高的頻率低嚴重性操作風險。它可能會影響業(yè)務(wù)操作風 險監(jiān)管資木要求明顯，因此應(yīng)為操作風險控制的主要焦點。</p><p>　　商業(yè)風險，由于不適當?shù)钠飘a(chǎn)管理決策風險，已經(jīng)作為金融機構(gòu)的結(jié)構(gòu)增

61、長繼續(xù)發(fā)生變化。由于對銀行貸款需求下降，但對企業(yè)融資的需求增加，這右市場, 降低銀行信貸風險的影響，但他們現(xiàn)在面臨更多的業(yè)務(wù).風險。一個典型的例子 是阿比國家，現(xiàn)在的英國第六大銀行，但原來只是一個建筑商協(xié)會。在獲得牌照的 零售銀行業(yè)務(wù)，迅速擴大了國庫業(yè)務(wù)和服務(wù)，企業(yè)融資。這僅持續(xù)了兒年,直到最 近發(fā)現(xiàn)巨大的損失如何管理已過度擴展，這些特定的決定本身。商業(yè)風險也增加 了兼并和已伴隨金融業(yè)（科尼特和Tehranian, 1992年）合并收購

62、。從歷史上看銀 行，保險及資產(chǎn)管理有非常不同的風險管理文化，可很難合并。出現(xiàn)不可調(diào)和的分 歧甚至可以投資和商業(yè)銀行Z間：例如，所有的大企業(yè)集團后形成的嚨彩在英國 上世紀80年代 包扌舌BZW和CountyNatWest,現(xiàn)在已經(jīng)失敗了。因此 國際會計公 司己經(jīng)制定了業(yè)務(wù)時估價公司（摩根和Stocken, 1998年）的風險日益重要的新的 審計模式，以考慮。系統(tǒng)性風險是一個系統(tǒng)性事件的風險，從而能夠在銀行破產(chǎn)和 質(zhì)量其他部門。它出現(xiàn)吋，代

63、理人的行為是homogenous. 3風險管理的做法相</p><p>　　不佳，這些價格將被壓抑了下去。但現(xiàn)在下一級的資金，雖然不是原先的償付能力 比率而言，可能被迫出售資產(chǎn)。這種惡性循環(huán)，價格繼續(xù)向下螺旋是煽動起來的。</p><p>　　這個角度來看，提高金融業(yè)監(jiān)管的趨勢可能會適得其反，因為它規(guī)定了風 險評估和控制(考夫曼,1996),增加了金融行業(yè)的整合同質(zhì)性，增加了核心系統(tǒng)性 風

64、險的傳染效應(yīng)。系統(tǒng)性風險也得到加強流動性溢出效應(yīng)，如果在一個市場的問 題引起清算事務(wù)所等市場地位，重點服務(wù)于極少數(shù)公司手中的濃度:在危機事件, 如恐怖主義，攻擊或主要的計算機病毒，其中一個重要的活動可能會嚴重影響和 災(zāi)難性后果。有一個人型的理論模型的發(fā)展和安裝的系統(tǒng)性風險在金融業(yè)的實證 證據(jù)學(xué)術(shù)文獻:長和有用的調(diào)查文件由德Bandt和哈特曼(2000)給岀。</p><p>　　最后，該行業(yè)對大型復(fù)雜的全球性組織