企业风险管理(中英文

EnterpriseRiskManagement企业风险管理SteveD’Arcy史蒂夫·达尔希ChairmanoftheBoardoftheCasualtyActuarialSociety财险精算协会董事会主席ProfessorofFinanceattheUniversityofIllinois伊利诺伊大学金融学教授PresentedatShanghaiUniversityofFinance&Economics上海财经大学July3,2006WhatisERM?ERMistheapplicationofbasicriskmanagementprinciplestoallrisksfacinganorganizationERM是针对企业面临的所有风险进行风险管理OthernamesforERM又称Integratedriskmanagement综合风险管理Globalriskmanagement全球风险管理BasicRiskManagementPrinciples基本风险管理原则1.Identifyinglossexposures风险损失认定2.Measuringlossexposures损失衡量3.Evaluatingthedifferentmethodsforhandlingrisk对于风险处理不同方法的评估•Riskassumption风险设定•Risktransfer风险转移•Riskreduction风险减少4.Selectingamethod选择一种方法5.Monitoringresults监控结果WhereDidERMComeFrom?ERM起源Traditionalriskmanagement传统风险管理Formallydevelopedasafieldinthe1960s在60年代正式发展为一个领域Focusedon“pure”risks集中于“纯”风险Loss/nolosssituation损失/无损失情况Oftencouldbeinsured经常可以被保险Developedfrominsurancepurchasingarea发展于保险购买领域NewElementsofRisk–1970s70年代风险中的新元素Foreignexchangerisk外汇风险EndofBrettonWoodsagreementin19721972年布雷顿森林制度协定的解体Commoditypricerisk商品价格风险Oilpricefluctuationsofthe1970s70年代石油价格的波动Equityrisk股票风险Developmentofoptionmarkets-1973期权市场的发展Interestraterisk利率风险U.S.FederalReserveBoardpolicyshift–1979美联储委员会政策变动FailuretoManageFinancialRisk管理金融风险的失败例子•Foreignexchangerisk外汇风险–LakerAirlines–1970s湖人航空公司•Borrowingindollars以美元借款•Revenueinpounds以英镑收入•Interestraterisk利率风险–U.S.SavingsandLoans–1980s美存储信贷局•Borrowingshort借款短期利率•Lendinglong贷款长期利率•Commoditypricerisk商品价格风险–ContinentalAirlines–1990大陆航空公司•Fuelcostsnothedged没有做到燃料价格对冲•OilpricedoubledwithGulfWar海湾战争石油价格加倍The“New”RiskManagement-1980s“新式”风险管理Financialriskmanagement金融风险管理Dealtwithfinancialrisk面对金融风险Foreignexchangerisk外汇风险Interestraterisk利率风险Equityrisk股票风险Commoditypricerisk商品价格风险Usederivativestohedgefinancialrisk利用金融衍生物对冲金融风险FinancialRiskManagementToolbox金融风险管理工具•Forwards远期•Futures期货•Swaps掉期交易•Options期权ForwardContracts远期合约•Aforwardcontractobligatesonepartytosellandanotherpartytobuyanasset远期合约是在交易双方中，规定一方必须卖出，一方必须买进资产的交易•Theexchangetakesplaceinthefuture交割发生在将来•Thepriceisfixedtoday价格在交易时确定•Nopaymentismadeuntilmaturity交割日前不需付款•Thebuyerhasagainiftheassetvalueincreases如果资产增值，买方获利FuturesContracts期货合约•Afutureobligatesonepartytobuyandanothertosellaspecifiedassetinthefutureatapriceagreedontoday一份期货合约规定交易双方必须在将来某一时间以双方协商约定的价格，买方购买，卖方出售一定量的资产•Futuresarestandardizedcontractstradedonorganizedexchanges期货是标准合约，并在专门的期货交易所进行的交易•Pricechangesaresettledeachday根据价格变化每日结算•Marginaccountsmustmaintained交纳保证金并维持在一固定水平SwapContracts掉期交易合约•Anagreementbetweentwopartiestoexchange(orswap)periodiccashflows一份在交易双方进行周期性现金流交换的协定•Ateachpaymentdate,onlythenetvalueofcashflowsisexchanged只在每个交割日交易净现金流•Thecashflowsarebasedonanotionalprincipalornotionalamount现金流基于名义本金交易量进行计算•Thenotionalamountisonlyusedtodeterminethecashflows名义交易量只用来确定现金流OptionContracts期权合约•Optionsprovidetheright,butnottheobligation,tobuyorsellanassetatafixedprice期权提供权利而不是义务进行一定价格的买卖资产–Calloptionisrighttobuy买进期权取得买进权利–Putoptionisrighttosell卖出期权取得卖出权利•Optionsareonesidedagreements期权是单方协定•Exercisingtheoptionforcesthesellertoperform出售者有义务应购买者要求履行期权合约•Expirationdateisthedateatwhichtheoptionceasestoexist过期日是期权失效之日NewElementsofRisk–1990s90年代风险中的新元素•Failuretomanagederivativesappropriately不恰当地管理金融衍生物•Financialmodelfailures金融模型失败•Improperaccountingforderivatives对于衍生物的不适当的会计记账手段MismanagementofFinancialRisk金融风险的不妥当管理•Mismanagementofderivatives衍生物的不善管理–GibsonGreetings–BaringsBank巴林银行–OrangeCounty,California橙县，加州•Modelfailure金融模型失败–LongTermCapitalManagement长期资本管理•Accountingimproprieties不适当做账–Enron安然公司–ArthurAndersen安达信公司The“New”RiskManagement-1990sandbeyond90年代以后的“新式”风险管理•EnterpriseRiskManagement企业风险管理–Initialfocusonavoidingderivativedisasters最初致力于避免衍生工具带来的灾难–Developingintooptimizingfirmvalue发展到最优化公司价值•ChiefRiskOfficer设立首席风险执行官•Sarbanes-OxleyActintheU.S.–2002SOX法案•Increasedfocusonriskmodels对风险模型的关注不断增长ERMRiskCategories风险分类Commonriskallocation风险分布•Hazardrisk灾难风险•Financialrisk金融风险•Operationalrisk运营风险•Strategicrisk战略风险Bankview–NewBaselAccord•Creditrisk信用风险–Loanandcounterpartyrisk信贷风险•Marketrisk(financialrisk)市场(金融)风险•Operationalrisk运营风险HazardRisk灾难风险•“Pure”losssituations“纯”损失状况•Property财产•Liability责任险•Employeerelated与雇员有关•Independenceofseparaterisks风险独立可分别对待•Riskscangenerallybehandledby处理方式–Insurance,includingselfinsurance保险，自保–Avoidance避免–Transfer转移FinancialRisk金融风险•Components组成–Foreignexchangerate汇率–Equity股票–Interestrate利率–Commodityprice商品价格•Correlationsamongdifferentrisks不同风险的相互作用•Useofhedges,reinsuranceorrisktransfer使用对冲,再保险或风险转移•Securitization证券化OperationalRisk运营风险Causesofoperationalrisk起因•Internalprocesses内部流程•People人•Systems制度Examples例子•Productrecall回收产品•Customersatisfaction顾客满意度•Informationtechnology信息技术•Labordispute劳工争执•Managementfraud管理层舞弊StrategicRisk战略风险Examples•Competition竞争•Regulation法规•Technologicalinnovation技术创新•Politicalimpediments政治障碍ERMApproach方法与措施AggregateRiskManagement综合风险管理HazardRisk-Hurricanes飓风-Lawsuits法律纠纷-Injuries工伤FinancialRisk-CreditRisk信用-MarketRisk市场-InterestRates利率OperationalRisk-InternalFraud内部舞弊-Recalls取消StrategicRisk-Regulation法规-Reputation声誉-Competition竞争Evolut