applying modern risk management to equity and credit analysis

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1、CHAPTER30APPLYINGMODERNRISKMANAGEMENTTOEQUITYANDCREDITANALYSIS∗RobertC.MertonTraditionalconventionsofaccountingandactuarialsciencedistortthevaluationofcapitalriskincorporationswithpensionplansbecauseundertheseconventions,pensionassetsandliabilitiesarenotincludedinbal

2、ancesheetcalculations.Themodernriskmanagementtoolsofderivativestechnologiescanimprovebothcorpo-ratedecisionmakingandexternalanalysisofcorporations.Muchhasbeenwrittenabouttheimplicationsthatmodernenterpriseriskmanagementtoolshaveforinternalcorporatedecisionmaking.This

3、article,however,concentratesontheimplicationsofthesetoolsforexternalanalysis.Particularly,Ilookatthewaysthatcreditandequityanalystscanusesuchtoolstoevaluatetheintrinsicvaluesandriskprofilesofthecompaniestheyareanalyzing.Inadequateanalyticaltoolsandoverdependenceontrad

4、itionalaccountingandactuarialconventionshaveresultedinsystematicdistortionsintheesti-matesofcompanyvalueandeconomicrisk.Mypurpose,therefore,istoshowhowmodernenterpriseriskmanagementtoolscanbeusedbyexternalanalyststodevelopmoreaccurateestimatesofvalueandrisk.Ibeginbyd

5、iscussingsomepastdistortionsinthevaluationofpensionliabilities,refer-ringparticularlytothemeasurementofpensionfundsurplusesanddeficitsbeforeFinancialAccountingStandard(FAS)No.87(Employers’AccountingforPensions,1985),aswellasinemployeeoptionsbeforeoptionexpensing.Ithen

6、reviewthecurrentneglectofvalueandriskincorporatepensionplansandwrapupmydiscussionwithalookintoafuturewherederivativestechnologieswillfacilitateagreatlyexpandedimplementationofstrategicriskmanagement.∗Copyright©2007RobertC.Merton.ReprintedwithpermissionfromCFAInstitut

7、eConferenceProceedingsQuarterly(December2007):14–22.Thispresentationcomesfromthe2007CFAInstituteAnnualConferenceheldinNewYorkCityon29April–2May2007.447CH030.indd4478/28/108:39:46PM448PartIII:ManagingRisk—CreditRiskPASTDISTORTIONSINVALUATIONANDRISKANALYSISBefore1987,t

8、heactuarialdiscountrateusedtodeterminethepresentvalueofpensionliabil-itieswasamatterofjudgment.Thistypeofanalysistendedtodescribewh