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1、CHAPTER43ABEHAVIORALPERSPECTIVEONRISKMANAGEMENT∗AndrewW.LoTraditionalriskmanagementapproachesemphasizestatisticalandeconomiccon-siderations.Butcomprehensivefinancialriskmanagementshouldalsoincorporatetheroleofhumanpreferencesinrationaldecisionmakingunderrisk.SincethemarketturmoilofAugustandSepte
2、mber1998,skepticismhasundoubtedlyincreasedabouttherelevanceofquantitativetechniquesforthepracticeofriskmanagement.If,asmostindustryexpertsnowacknowledge,thegeneral“flighttoquality”andsubsequentwideningofcreditspreadswasunprecedentedand,therefore,unforecastable,whatgoodareValue-at-Riskmeasurestha
3、tarebasedonthestatisticsofhistoricaldata?Theseconcernsarewell-foundedbutsomewhatmisplacedintheirfocus.Thefaultliesnotinthemethodsbut,rather,intheunreal-isticexpectationswehaveintheirapplication.Inabroadercontext,rationaldecisionmakingunderuncertaintyrequiresafocusonthreespecificcomponents,whichI
4、havepreviouslydescribedasthe“threeP’softotalriskmanagement”:prices,probabilities,andpreferences.1Althoughanycompleteriskman-agementprotocolshouldcontainelementsofallthreeP’s,todatemostriskmanagementpracticeshavefocusedprimarilyonpricesandprobabilities,withalmostnoattentiontopreferences.Inthisar
5、ticle,Iwillemphasizetheroleofpreferencesinrationaldecisionmak-ingunderriskthroughthreeillustrativeexamples:thenatureoflossaversion,thedifferencebetweenriskanduncertainty,andtheinterpretationofprobabilities.Beforelaunchingintotheseexamples,letmeemphasizethatdespitetheterm“behav-ioral”inthetitleo
6、fthisarticle,andtheincreasingpopularityof“behavioralfinance,”the∗ReprintedfromAIMRConferenceProceedings:RiskManagement:PrinciplesandPractices(August1999):32–37.657CH043.indd6578/28/108:48:18PM658PartIII:ManagingRiskNonfinancialRiskimportanceofbehavioriscertainlynotnewtomodernfinance.However,theeno
7、rmousprogressthatpsychologists,cognitivescientists,andneuroscientistshavemadeinrecentyearshascreatedarenaissanceinresearchonhumanbehavior,ofwhichoneaspectiseconomicandfinancialdecisionmaking.Thismayverywellleadtoanentirelynewfieldof
