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1、TheFinancialCrisisandtheFutureofRiskManagement PaulIngram-GlobalHeadofMarketRisk,RBSTheviewsexpressedinthispresentationaretheviewsoftheauthoranddonotnecessarilyreflecttheviewsorpoliciesofRBSGroupUniversityofEssex26March2010Whodoyoublamefortherecentmarketcrisis?TheBan
2、ks?TheRegulators?TheGovernment?RiskManagers?
3、BackgroundInthispresentationIwillhighlightsomeofthecontributoryfactorsthatledtotherecentmarketcrisis,andpromotediscussionregardingwhatcouldbedonetoreducetheseverityofanyfuturecrises.
4、SowingtheseedsAverylowinterestrateenvir
5、onmentpersistedthroughouttheearly2000s.ThiswasChairmanGreenspan’sresponsetotheburstingoftechnologybubbleand9/11
6、SowingtheseedsDuringthe2000s,Globalfinancialimbalancesincreased,Chinabecameamoresignificantexporterandamoresignificantinfluenceinglobalfinancialmarkets,asi
7、tsoughttoinvestitscurrentaccountsurplus.
8、SowingtheseedsSurplusnations(e.g.China)soughttoinvesttheirexcessfundsintoliquidmarketablesecurities.ThispermittedtheUStoissueasignificantamountofdebtathistoricallylowspreads.
9、SowingtheseedsThedemandforUSTreasuriesfromsurplusna
10、tions,thelowFederalFundsrateandlowinflationmeantthattherealyieldonhighly-ratedsecuritieswaslow.InvestorsdemandedsecuritiesthatprovidedenhancedyieldsbuthadhighexternalcreditratingsBankswerethereforekeentoprovidenewsecuritieswhichhadthesameratingsasTreasuries,butprovid
11、edanenhancedyield.
12、Sowingtheseeds-AssetBackedSecurities(ABS)Agency(FannieMae/FreddieMac)mortgagesintheUShadlongbeenstructuredintoABSinordertofacilitatethegrowthinhomeownership.PackagingmortgagesintobondswithanimplicitUSgovernmentcreditprotectionprovedverypopularwithi
13、nvestors.Astheagencieshadfairlystrictlendingcriteria,thedemandforthesesecuritieswasstrongandhenceyieldswerenotsignificantlyaboveTreasuries.
14、MotivationfornonagencyRMBSAsinvestorscontinuedtochaseyieldtherewasademandforABScollateraliseduponmortgagestoriskierborrowers.Th
15、isincreasedthesupplyofmortgagestoportionsoftheUSeconomythathadneverpreviouslybeenhomeowners(oftenatartificiallylow“teaser”rates)Ban
