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1、CHAPTER51EVALUATINGARISK-MANAGEMENTPROGRAM∗ChristopherJ.Campisano,CFATraditionalriskmeasuresmaybeinadequateinamarketplacewithverycomplexsecurities.Tocapturehigherreturns,investorsarewillingtotakeonmorerisktodaythantheywereafewyearsago.Manysponsors,however,manageriskbysimplyeliminatingriskyi
2、nvestmentsinsteadofdesigningstructurestomeasure,monitor,andcontroltherisks.Suchstrategiescanbecostly.Althoughalotofnewapproachestoriskmanagementexist,manyofthemhavenotbeenembracedorfullyimplementedbytheplansponsorcommunity.InarecentsurveyinInstitutionalInvestor,1corporateandpublicplansponso
3、rswereasked,Howdoyouassessriskinyourfund?About43percentoftherespondentssaidtheyusevolatilitytoassessriskintheirfunds,about25percentsaidtheyusebeta,about11percentuseworstloss,about8percentusevariationfromapeergroup,andabout6percentusedownsiderisk.Whatwasalittlesurprisingwasthatabout7percento
4、ftherespondentssaidtheydonotmeasureport-folioriskatall.Theysimplydonotlookatthatsideoftheinvestmentpicture.Moreover,themajorityoffundmanagersarenotusinganythingmoresophisticatedthantraditionalriskmeasures,suchasbetaorvolatilitymeasuresthathavebeeninplaceforabout30years.Inamarketplacefilledwi
5、thverycomplexsecurities,thoseriskmeasuresmightbeinadequate.Afollow-upquestioninthesamesurveyasked,Doyouoryourmanagersusequantita-tivemodelsoroptimizerstoassesstheriskrewardratioortheriskreturncharacteristicsoftheplanportfolio?Approximately28percentrespondedthattheydonotusequantitativemod-el
6、ingoroptimizerstoassessriskintheirportfolios.Thereasonsgivenwerethatthesedevicesareineffectiveortoocomplicatedorthatplansponsorssimplydonotlookatreturnsinarisk-adjustedway.Thisresponsewasinteresting,giventhecomplexityofmanysecuritiesinthemarketplacetoday:securitieswithanasymmetricreturndist
7、ribution,securitiesthat∗ReprintedfromAIMRConferenceProceedings:RiskManagement(April1996):41–47.745CH051.indd7458/28/108:53:08PM746PartIII:ManagingRisk—PensionRiskneedtobereverseengineered,andsecuritiesforwhichthetrueimpactorriskinaportfoliocanonlybeunder
