risk management a review

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1、CHAPTER5RISKMANAGEMENT:AREVIEW∗SébastienLleo,CFATheconceptofriskhasbeencentraltothetheoryandpracticeoffinancesinceMarkowitz’sinfluentialworknearly60yearsago.Yet,riskmanagementhasonlyemergedasafieldofindependentstudyinthepast15years.Advancesinthescienceofriskmeasurementha

2、vebeenamaincontributortothisremarkabledevelopmentasnewriskmeasureshavebeenproposedandtheirpropertiesstudied.Thesemea-sures,whichinthepasthaveonlyappliedtomarketrisk,arenowbeingappliedtocredit,operational,andliquidityriskaswellastoportfoliooptimization.Agrowingemphasis

3、onriskbudgetinghasalsosparkedaquestforanintegratedriskmeasurementframework.Butriskmanagementismorethantheapplicationofquantitativetechniques.Alonglistofpastfinancialdisastersdemonstratesthataprofoundandconcreteunderstandingofthenatureofriskisrequiredandthatade-quateint

4、ernalcontrolsarecrucial.ThemodernstudyofriskcanbetracedtoMarkowitz’sseminalworkonportfolioselection.1Markowitzmadetheobservationthatoneshouldcareaboutriskaswellasreturn,andheplacedthestudyofriskatcenterstageinthenewfieldoffinancialeconomics.Sincethen,thescienceofriskman

5、agementhasgrownandbecomeitsownfieldofstudy.Initially,riskmanagementwasmanifestinhedging,thatistheeliminationofunwantedaspectsofrisk.Hedgingisaccomplishedprimarilythroughtheuseofderivatives.(Anexam-plewouldbethehedgingofforeigncurrencyriskassociatedwithpurchasingforeign

6、currencydenominatedsecurities.)Inthepast15years,however,riskmanagementhasevolvedbeyondthepracticeofhedgingandintoacomplexdisciplinethatrevolvesaroundtwodimensions:riskmeasurementandthepracticeofriskmanagement.Thetwodisciplinesaredifferentintheirconnotationsforandappli

7、cationstothevarioussectorsofthefinancialindustry.Forinvestmentbanksandcommercialbanks,riskmanagementisinstrumentalinmanaging∗Copyright©2009TheResearchFoundationofCFAInstitute.Modifiedwithpermission.73CH005.indd738/28/108:18:22PM74PartI:Overview2000Presentbankliquidityre

8、servesandregulatoryrequiredcapital.Foractiveassetmanagementfirms,itisapowerfultoolforgeneratingmoreefficientportfoliosandhighe