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1、CHAPTER3THETHREEP’SOFTOTALRISKMANAGEMENT∗AndrewW.LoCurrentrisk-managementpracticesarebasedonprobabilitiesofextremedollarlosses(e.g.,measureslikeValueatRisk),butthesemeasurescaptureonlypartofthestory.Anycompleterisk-managementsystemmustaddresstwootherimportantfactorspricesandpreferences.Toge
2、therwithprobabilities,thesecomposethethreePsofTotalRiskManagement.ThisarticledescribeshowthethreePsinteracttodeterminesensibleriskprofilesforcorporationsandforindividualsguidelinesforhowmuchrisktobearandhowmuchtohedge.Bysynthesizingexistingresearchineconomics,psychology,anddecisionsciencesan
3、dthroughanambitiousresearchagendatoextendthissynthesisintootherdisciplines,acompleteandsystematicapproachtorationaldecisionmakinginanuncertainworldiswithinreach.Althoughrationaldecisionmakinginthefaceofuncertaintyisbynomeansanewaspectofthehumancondition,1recenteventshavehelpedtorenewanddeep
4、eninterestinriskmanagement.Twoforcesinparticularhaveshapedthistrend:advancesinfinancialtech-nology(modelsforpricingderivativeinstrumentsandcomputationallyefficientmeansforimplementingthem)andanever-increasingdemandfornewandexoticfinancialengi-neeringproducts(perhapsbecauseofincreasedmarketvola
5、tilityorsimplybecauseofthegrowingcomplexityoftheglobalfinancialsystem).Theseforces,coupledwithsuchrecentcalamitiesasthoseofOrangeCounty,GibsonGreetings,Metallgesellschaft,Procter&Gamble,andBaringsSecurities,providemorethansufficientmotivationforathrivingrisk-managementindustry.Currentrisk-man
6、agementpracticesfocusalmostexclusivelyonthestatisticalaspectsofrisk.Forexample,oneofthemostpopularrisk-managementtools,ValueatRisk(VAR),isdescribedinJ.P.Morgan’sRiskMetricssystemdocumentationinthefollowingway:∗ReprintedfromtheFinancialAnalystsJournal(January/February1999):13–26.39CH003.indd
7、398/28/108:13:58PM40PartI:Overview—1990–1999ValueatRiskisanestimate,withapredefinedconfidenceinterval,ofhowmuchonecanlosefromholdingapositionoverasethorizon.Potentialhorizonsmaybeonedayfortypicaltradingactivitiesoramonthorlongerforportfoliomanage-ment.Them
