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1、CHAPTER32EFFECTIVERISKMANAGEMENTINTHEINVESTMENTFIRM∗MarkC.BrickellRecentdisasterswithderivativeproductshaveintensifiedthefocusonriskmanage-ment.Althoughderivativeproductshavebeensingledout,therisksassociatedwithderivativesarethesameasthosewithotherinstrumen
2、ts:It’snotwhatyouuse;it’showyouuseit.ThispresentationhighlightsstrategiesforriskmanagementandthespecificrecommendationsoftheGroupofThirtyreport.RiskmanagementhasbeeninthenewsagreatdealsincethereleaseoftheGroupofThirtyreportonderivativesin1993.Myperspectiveo
3、nthistopiccomesbothfromtheworkdoneatJ.P.Morganandthroughmyparticipationintheworkinggroupthatpreparedthereport.WHYRISKMANAGEMENTNOW?Sinceearly1994,astringofeventshasexposedflawedrisk-managementpoliciesandunex-pectedinvestmentresults:•GibsonGreetingsandProcte
4、r&Gambleengagedincomplicatedspeculativeinvestmentsthatwentsour.•OrangeCounty,California,declaredbankruptcyasaresultoflossesfromaggressive,highlyleveredbondinvestments.Also,theWisconsinStateInvestmentBoardreportedsubstantiallossesfromthepurchaseofsecurities
5、linkedtotheMexicanpesoandothercurrencies.∗ReprintedfromAIMRConferenceProceedings:RiskManagement(April1996):48–55.475CH032.indd4758/28/108:56:55PM476PartIII:ManagingRisk—Derivatives•BaringsfailedattheendofFebruary1944becauseofanaggressiveinvestmentstrategya
6、ndweakmanagementcontrols.•Mostrecently,DaiwaBankadmittedtoastringoflossesonbondtradesthatextendedback11years.Whataretheimplicationsofeventslikethese?GibsonGreetingssueditsdealer,allegingithadbeendefrauded.TheFederalReserve,theCommodityFuturesTradingCommiss
7、ion,andtheSecuritiesandExchangeCommission—allimposedpenaltiesonthatdealer.Procter&Gambleissuingitsdealer,althoughtheregulatorsarelesslikelytotakeactioninthiscase.InCalifornia,Texas,andOhio,statelegislatorshaveintroducedbillsrestrictingorpossiblybanningtheu
8、seofsomederivativetransactionsbystateandlocalgovernmententities.Thelong-termimplicationsoftheseevents,however,arepositivebecausetheyhaveledtorenewedfocusonriskmanagement.Someclear,simplelessonscanbedrawnfromt
