a framework for understanding market crisis

《a framework for understanding market crisis》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。

1、CHAPTER1AFRAMEWORKFORUNDERSTANDINGMARKETCRISIS∗RichardM.BookstaberThekeytotrulyeffectiveriskmanagementliesinthebehaviorofmarketsduringtimesofcrisis,wheninvestmentvalueismostatrisk.Observingmarketsunderstressteachesimportantlessonsabouttheroleanddynamicsofmarketsandthe

2、implicationsforriskmanagement.Noareaofeconomicshasthewealthofdatathatweenjoyinthefieldoffinance.Thenormalprocedureweapplywhenusingthesedataistothrowawaytheoutliersandfocusonthebulkofthedatathatweassumewillhavethekeyinformationandrelationshipsthatwewanttoanalyze.Thatis,i

3、fwehave10yearsofdailydata2,500datapointswemightthrowout10or20datapointsthataretotallyoutofline(e.g.,thecrashof1987,theproblemsinmid-January1991duringtheGulfWar)andusetheresttotestourhypothesesaboutthemarkets.Iftheobjectiveistounderstandthetypicalday-to-dayworkingsofth

4、emarket,thisapproachmaybereasonable.Butiftheobjectiveistounderstandtherisks,wewouldbemakingagravemistake.Althoughwewouldgetsomegoodriskmanagementinformationfromthe2,490datapoints,unfortunately,thatinformationwouldresultinariskmanage-mentapproachthatworksalmostalltheti

5、mebutdoesnotworkwhenitmattersmost.Thissituationhashappenedmanytimesinthepast:Correlationsthatlookedgoodonadailybasissuddenlywentwrongatexactlythetimethemarketwasinturmoil;valueatrisk(VAR)numbersthattrackedfairlywelldaybydaysuddenlyhadnorelationshiptowhatwasgoingoninth

6、emarket.Inthecontextofeffectiveriskmanagement,whatwereallyshoulddoisthrowoutthe2,490datapointsandfocusontheremaining10becausetheyholdthekeytothebehaviorofmarketswheninvestmentsaremostatrisk.∗ReprintedfromAIMRConferenceProceedings:RiskManagement:PrinciplesandPractices(

7、August1999):719.7CH001.indd78/28/108:14:25PM8PartI:Overview19901999Thispresentationconsidersthenatureofthemarketthatsurroundsthoseoutlierpoints,thepointsofmarketcrisis.Itcoversthesourcesofmarketcrisisandusesthreecasestudiestheequitymarketcrashof1987,theproblemswiththe

8、junkbondmarketintheearly1990s,andtherecentproblemswithLong-TermCapitalManagement(LTCM)toillustratethenatureofcrisisandtheles