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时间:2018-02-10
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1、CHAPTER33RISK-MANAGEMENTPROGRAMS∗MaartenNederlofThepanicaboutderivativeshasledtoacallforincreasedregulation,butanyregu-lationshouldbeconsistentacrossdifferentinstrumentsandshouldnotsingleoutderivatives.Changesindomesticandinternationalfinancialmarketshaveintro-ducedmanynewrisks,andmanagers
2、needtodevelopeffectivestrategiestomanagethem.Thefiveaxiomsofaneffectiverisk-managementprogramare:(1)donotrelysolelyonquantitativemodels;(2)ask“WhatifIamwrong?”(3)ensurethataccountabilityandauthoritymatch;(4)revisestrategiesandpoliciesconstantly;and(5)addresstheleastlikelyevents,whichoftenc
3、ausethemostdamage.Risk,inandofitself,isnotbad.Investmentmanagershavetotakesomerisktoobtainreturnsinexcessofabenchmark.Whatisbadisriskthatismispriced,mismanaged,ormisunderstood.Particularlyfrighteningistheunknownrisktheriskthatsomethingmighthappenthathasneverhappenedbeforeandthepotentiallo
4、ssassociatedwiththatuncer-tainty.Recentwell-publicizedlosseshaveputstrongpressureoninvestmentmanagerstocontrolrisk.Thepressureshavecomefromcustomers,boards,shareholders,andseniorman-agersofinvestmentfirms.Aninterestingsideeffectofthispressureistheincreasingconcernfortherisksassociatedwithd
5、erivatives.Althoughthevisiblebulkofthemoneyhasbeenlostbypublicfunds,hedgefunds,orbroker/dealers,investmentmanagementfirmshavesufferedlossesaswell.Althoughseveraldealershavedefendedtheirsaleofcomplexinstrumentstocustomersandhaveevengonetocourtontheissue,manyinvestmentmanagementfirmshavedecid
6、edtosettlequietlywiththeircustomers,withtheresultthattheirlosseshavenotreceivedthesameattentionasthelossesofbroker/dealers.Thepanicaboutderivativeshasledtoacallforincreasedregulationofriskmanagement.Althoughmostfundsbeginwithderivatives,theinvestorsfocusshouldnotbeonderivatives∗Reprintedf
7、romAIMRConferenceProceedings:RiskManagement(April1996):1524.487CH033.indd4878/28/108:41:17PM488PartIII:ManagingRiskDerivativesriskalone.Manyfirmshaveupdatedtheirpolicieswithregardtoderivatives,butfewhaveupdatedpolicieswithregardtotheirentireuniverseofinvestments.They
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