risk measurement versus risk management

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1、CHAPTER10RISKMEASUREMENTVERSUSRISKMANAGEMENT∗D.SykesWilfordRiskmanagementgarnersmuchattentionintheinvestmentmanagementindustry,butitdiffersfromriskmeasurement.Portfoliomanagers,consultants,andclientseachrequiredifferentportfolio-relatedinformation.Managingt

2、heinformationderivedfromriskmeasurementiscentraltotheportfoliomanagementprocess.Portfoliomanagersmustbalanceexpectedreturnsagainsttheriskacceptedtoearnthosereturns.Forthem,riskmeasurementinformationhasalwaysbeenanintegralpartoftheportfoliomanagementprocess.

3、Butastheindustryevolves,othersarebecominginterestedinthestructureoftheportfolioriskstaken.Firmsnotprovidingsufficientinformationwillmissopportunitiestoacquireandretainclients.Riskmeasurementandriskmanagementarebothintegraltotheportfoliomanagementprocess,butt

4、hetwoareverydifferent.Riskmeasurementgaugeschangesinportfoliovaluecorrespond-ingtodifferentmarketconditions.Itisariskmanagementtool.Riskmanagementfocusesonidentifyingandcontrollingportfoliorisks.Managemententailsactiontomakethemeasure-mentactivityuseful.Mea

5、suringsystemsusedforportfoliocreationarealsonotthesameasthoseusedtomanageportfoliorisk.Confusingthetwocanleadtotheunderestimationofrisk,ascanbearguedintheLong-TermCapitalManagement(LTCM)crisiscase.Riskmea-surementinformationisbasedonexpostanalyticsappliedto

6、existingportfolios,whichcanhavewideusebymanydifferentconstituents.Anotherissueloomingonthehorizonrelatestointerpretingtheinherentcomplexitiesofsuchexpostriskmeasurementinformation.Portfoliomanagersmayunderstandcomplicatedstatisticalanalysis,buttheyarenotthe

7、onlyusersofriskmeasurementdata.Mygoal,there-fore,istodiscussriskmeasurementinanontechnical,client-friendlywayandtoencourage∗ReprintedfromAIMRConferenceProceedings:ImprovingtheInvestmentProcessthroughRiskManagement(November2003):1721.153CH010.indd1538/28/108

8、:22:09PM154PartI:Overview—2000–Presentotherstodothesame.Theinstitutionalizationofhedgefundsandtheincreasingnumberofpartiesthatrequireriskmeasurementinformationnecessitateamajorchangeintheindustryinthis