merging the risk management objectives of the client and investment manager

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1、CHAPTER14MERGINGTHERISKMANAGEMENTOBJECTIVESOFTHECLIENTANDINVESTMENTMANAGER∗BennettW.GolubExantetracking-errormodelsarethenextstepinthelogicalprogressionofriskmeasurementandriskmanagementtechniques.Properuseofthesemodelscanoffermanagersanopportunitytobasetheirjudgmentsonpre

2、cisesetsofstatisticssothatmanagersknowwhen—andwhennot—totakevariousrisks.Withanykindofprobability-basedmodel,however,theabsenceofsomemethodforunder-standingthepotentialimpactofextremeeventscanresultinextremelyunfortunatecircumstancesbecausetracking-errormodelstendtooverlyd

3、iscountsomeoftheextremeeventsthatcananddooccur.Thus,stresstestingisacriticalcomponentofanyriskmanagementregime.Investmentmanagersmustcommunicatewithclientsandaccuratelyidentifytheirtrueport-folioobjectives.Uncertainobjectivescanleadtoclientdissatisfactionwiththeperformance

4、delivered,particularlyiftheoutcomeisnegativebutsometimesevenwhenitisgood.Oncetheobjectivesaredefined,themanager’schallengeistoensurethattheportfolioismanagedwithintheclient’srisktolerances.Fortunately,thereareavarietyofapproachestoassistmanagersinaccomplishingthistask.Param

5、etricriskanalysisprovidesaneffectivetoolformonitoringaportfolio’sexposures.Exantetracking-errorforecastspermitmanagerstocombineparametricriskmeasuresinto∗ReprintedfromAIMRConferenceProceedings:ExploringtheDimensionsofFixed-IncomeManagement(March2004):13–23.205CH014.indd205

6、8/28/108:24:59PM206PartII:MeasuringRiskasingleprobability-weightedmeasure.Inadditiontofindingthisapproachagoodwaytomanageaportfoliotoconsistentlymeetclientexpectations,weatBlackRockhavefoundthatusingthesemethodstopreciselypositionportfoliosenablesmoredecisive—andevenmoreagg

7、ressive—portfoliomanagement.MANDATESANDGUIDELINESTheprocessofbuildingaclientrelationshipinvolvesdeterminingtheclient’sexplicitandimplicitobjectives.Themostfundamentalpartofestablishingclientobjectivesisdeterminingtheinvestmentportfoliomandate.Themandateisusuallydescribedin

8、termsofabenchmark.Thebenchmarkcanbeoneormoreofthepublishedindexes,suchastheLehmanBrothers