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1、CHAPTER4REPORTINGANDMONITORINGRISKEXPOSURE∗RobertW.Kopprasch,CFAAsimplerisk-managementsysteminvolvesidentificationoftherisk,itsquantifi-cation,andmodificationornullificationofthatrisk.Manydifferentmethodsofmodifyingriskexist,butevenusingthesamemethodology,obtainingreasonableresultsacross
2、differentfinancialinstrumentsisimpossible.Insteadofdefiningriskasvolatilityofreturns,perhapsitshouldbedefinedasmeanshortfall,ordownsidesemivariance.Prospectivelossescanbecontrolledbysettinglimitsonpositionsandbylimitingexposureswithoutcollateral.Investmentfirmsmusttakerisksinordertooutpe
3、rformthemarket.Managerscannotsimplybuythe“market”andhopetoachieverelativeoutperformance.Howfirmsincorporateriskintotheinvestmentprocessdependsontheorganization,thesystemsituses,andthequanti-tativeskillsofthepeopleinvolved.THERISK-MANAGEMENTSYSTEMDifferenttypesofrisks,suchasthoseshowni
4、nFigure4.1,areinterrelatedandcannotbeisolatedandhandledseparately.Marketrisksassociatedwiththeilliquidity,volatility,andcorrelationstructureofthemarketcannotalwaysbeseparatedfromeitheroperationalrisks,suchasmodelrisk,auditfailure,andhumanerror,orcreditrisks,suchasdefault,custodianfai
5、lure,down-grades,andcollateralproblems.Forexample,thepurchaseofanoptiontoeliminatemarketriskcreatesariskassociatedwiththecreditofthecounterpartytotheoption.Thesedifferentrisksarefurthercomplicated,andrelated,whendealinginforeigncountriesandforeigncurrencies.∗ReprintedfromAIMRConferen
6、ceProceedings:RiskManagement(April1996):25–33.61CH004.indd618/28/108:15:14PM62PartI:Overview—1990–1999FIGURE4.1InterrelatedRisksVolatilityAuthorizationLiquidityDocumentationConvexityMarketOperationalLegal:CorrelationContractRiskPrepaymentRegulatoryStructureTaxFraudHumanErrorTransacti
7、onProcessingErrorsCreditModelRiskTechnologyRiskAuditFailureDowngradesDefaultSettlementFailureCustodianFailureCounterpartyFailureCollateralProblemsNettingRiskSource:RobertKopprasch.FIGURE4.2RiskManagementRatify?IdentifyQuantifyModify?Nullify?Source:RobertKopprasch.Asimplerisk-manageme
8、ntsystemhast
