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1、CHAPTER13HOWRISKMANAGEMENTCANBENEFITPORTFOLIOMANAGERS∗MichelleMcCarthyUsingvalueatrisktoanalyzeportfolioriskmayappeartobeinaccurateandtopresentyetanotherconstraintonportfoliomanagers.ButVAR,whichmeasuresaninvestmentspotentiallossexposureoveraspecifiedtimeperioda
2、tagivenconfidencelevel,canhelpseniormanagersininvestmentfirmspracticeunifiedanddisciplinedriskmanagement,givinginvestorsmore-reliableresultsandpermittingportfoliomanagerstousealessrestrictedrangeofinvestmentinstruments.Riskmeasurementshelpseniormanagersatinvestmen
3、tfirmssuperviseportfoliomanagersandhelpclientsmonitorthemixandconcentrationofrisksintheirportfolios.Althoughindivid-ualportfoliomanagersmaynotseethebenefitsofriskmanagement,itdoesprovidegenuinebenefitstothisgroupaswell.Partofthe“disconnect”perhapsliesindifferentno
4、tionsofwhatconstitutesriskitselfandthushowriskcan,orshould,bemanaged.Thispresentationdefinesriskandriskmanagementforaninvestmentfirm,reviewsthebackgroundofvalueatriskanddescribestheprocessofadoptingVARforinvestmentportfolios,anddiscussesthebenefits,criticisms,andl
5、imitationsofVARinaportfoliomanagementcontext.DEFININGRISKRiskforaninvestmentmanagementfirmcanbeviewedfromthreeperspectives:absolutever-susrelativerisk,fund-specificriskversusriskamongagroupoffunds,andsurpriselosses.∗ReprintedfromAIMRConferenceProceedings:RiskMana
6、gement:PrinciplesandPractices(August1999):62–72.189CH013.indd1898/28/108:24:22PM190PartII:MeasuringRiskAbsoluteversusRelativeRiskRiskcanbethoughtofinanabsolutesense—riskthattheassetslosemoremoneythanthepersonwhoownstheassetsthoughtpossible.Suchabsolutelossescan
7、occurbecauseofmarketriskfactors(theusualfocusofVARmethodology),factorsspecifictoanissuer,andoperationalproblems(rangingfromfraudtonotprocessinganorderontime).Riskcanalsobethoughtofinarelativesense—underperformingthestatedintentionofthefund,ormorelikelyaspecifiedb
8、enchmark,byanamountgreaterthanthepersonwhoownstheassetsthoughtpossible.Ifaclienthasgivenaninvestmentfirmfundswiththeintentionofoutperformingapar-ticularbenchmark,relativerisk
