Enterprise Risk Management 企业风险管理

Enterprise Risk Management企业风险管理 Steve D’Arcy 史蒂夫·达尔希 Chairman of the Board of the Casualty Actuarial Society 财险精算协会董事会主席 Professor of Finance at the University of Illinois 伊利诺伊大学金融学教授 Presented at Shanghai University of Finance & Economics 上海财经大学 July 3, 2006

What is ERM? ERM is the application of basic risk management principles to all risks facing an organization ERM 是针对企业面临的所有风险进行风险管理 Other names for ERM 又称 Integrated risk management 综合风险管理 Global risk management 全球风险管理

Basic Risk Management Principles基本风险管理原则 • Identifying loss exposures 风险损失认定 • Measuring loss exposures 损失衡量 • Evaluating the different methods for handling risk 对于风险处理不同方法的评估 • Risk assumption 风险设定 • Risk transfer 风险转移 • Risk reduction 风险减少 • Selecting a method 选择一种方法 • Monitoring results 监控结果

Where Did ERM Come From?ERM 起源 Traditional risk management 传统风险管理 Formally developed as a field in the 1960s 在60 年代正式发展为一个领域 Focused on “pure” risks 集中于“纯”风险 Loss/no loss situation 损失/无损失情况 Often could be insured 经常可以被保险 Developed from insurance purchasing area 发展于保险购买领域

New Elements of Risk – 1970s70年代风险中的新元素 Foreign exchange risk 外汇风险 End of Bretton Woods agreement in 1972 1972年布雷顿森林制度协定的解体 Commodity price risk 商品价格风险 Oil price fluctuations of the 1970s 70年代石油价格的波动 Equity risk 股票风险 Development of option markets - 1973 期权市场的发展 Interest rate risk 利率风险 U. S. Federal Reserve Board policy shift – 1979 美联储委员会政策变动

Failure to Manage Financial Risk 管理金融风险的失败例子 • Foreign exchange risk 外汇风险 • Laker Airlines – 1970s 湖人航空公司 • Borrowing in dollars 以美元借款 • Revenue in pounds 以英镑收入 • Interest rate risk 利率风险 • U. S. Savings and Loans – 1980s 美存储信贷局 • Borrowing short 借款短期利率 • Lending long 贷款长期利率 • Commodity price risk 商品价格风险 • Continental Airlines – 1990 大陆航空公司 • Fuel costs not hedged 没有做到燃料价格对冲 • Oil price doubled with Gulf War 海湾战争石油价格加倍

The “New” Risk Management -1980s“新式”风险管理 Financial risk management 金融风险管理 Dealt with financial risk 面对金融风险 Foreign exchange risk 外汇风险 Interest rate risk 利率风险 Equity risk 股票风险 Commodity price risk 商品价格风险 Use derivatives to hedge financial risk 利用金融衍生物对冲金融风险

Financial Risk Management Toolbox金融风险管理工具 • Forwards 远期 • Futures 期货 • Swaps 掉期交易 • Options 期权

Forward Contracts 远期合约 • A forward contract obligates one party to sell and another party to buy an asset 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 • The exchange takes place in the future 交割发生在将来 • The price is fixed today 价格在交易时确定 • No payment is made until maturity 交割日前不需付款 • The buyer has a gain if the asset value increases 如果资产增值，买方获利

Futures Contracts 期货合约 • A future obligates one party to buy and another to sell a specified asset in the future at a price agreed on today 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 • Futures are standardized contracts traded on organized exchanges 期货是标准合约，并在专门的期货交易所进行的交易 • Price changes are settled each day 根据价格变化每日结算 • Margin accounts must maintained 交纳保证金并维持在一固定水平

Swap Contracts 掉期交易合约 • An agreement between two parties to exchange (or swap) periodic cash flows 一份在交易双方进行周期性现金流交换的协定 • At each payment date, only the net value of cash flows is exchanged 只在每个交割日交易净现金流 • The cash flows are based on a notional principal or notional amount 现金流基于名义本金交易量进行计算 • The notional amount is only used to determine the cash flows 名义交易量只用来确定现金流

Option Contracts 期权合约 • Options provide the right, but not the obligation, to buy or sell an asset at a fixed price 期权提供权利而不是义务进行一定价格的买卖资产 • Call option is right to buy 买进期权取得买进权利 • Put option is right to sell 卖出期权取得卖出权利 • Options are one sided agreements 期权是单方协定 • Exercising the option forces the seller to perform 出售者有义务应购买者要求履行期权合约 • Expiration date is the date at which the option ceases to exist 过期日是期权失效之日

New Elements of Risk – 1990s90年代风险中的新元素 • Failure to manage derivatives appropriately 不恰当地管理金融衍生物 • Financial model failures 金融模型失败 • Improper accounting for derivatives 对于衍生物的不适当的会计记账手段

Mismanagement of Financial Risk金融风险的不妥当管理 • Mismanagement of derivatives 衍生物的不善管理 • Gibson Greetings • Barings Bank 巴林银行 • Orange County, California 橙县，加州 • Model failure 金融模型失败 • Long Term Capital Management 长期资本管理 • Accounting improprieties 不适当做账 • Enron 安然公司 • Arthur Andersen 安达信公司

The “New” Risk Management - 1990s and beyond90年代以后的“新式”风险管理 • Enterprise Risk Management 企业风险管理 • Initial focus on avoiding derivative disasters 最初致力于避免衍生工具带来的灾难 • Developing into optimizing firm value 发展到最优化公司价值 • Chief Risk Officer 设立首席风险执行官 • Sarbanes-Oxley Act in the U. S. – 2002 SOX法案 • Increased focus on risk models 对风险模型的关注不断增长

ERM Risk Categories 风险分类 Common risk allocation 风险分布 • Hazard risk 灾难风险 • Financial risk 金融风险 • Operational risk 运营风险 • Strategic risk 战略风险 Bank view – New Basel Accord • Credit risk 信用风险 • Loan and counterparty risk 信贷风险 • Market risk (financial risk) 市场(金融)风险 • Operational risk 运营风险

Hazard Risk 灾难风险 • “Pure” loss situations “纯”损失状况 • Property 财产 • Liability 责任险 • Employee related 与雇员有关 • Independence of separate risks 风险独立可分别对待 • Risks can generally be handled by 处理方式 • Insurance, including self insurance 保险，自保 • Avoidance 避免 • Transfer 转移

Financial Risk 金融风险 • Components 组成 • Foreign exchange rate 汇率 • Equity 股票 • Interest rate 利率 • Commodity price 商品价格 • Correlations among different risks 不同风险的相互作用 • Use of hedges, reinsurance or risk transfer 使用对冲, 再保险或风险转移 • Securitization 证券化

Operational Risk 运营风险 Causes of operational risk 起因 • Internal processes 内部流程 • People 人 • Systems 制度 Examples 例子 • Product recall 回收产品 • Customer satisfaction 顾客满意度 • Information technology 信息技术 • Labor dispute 劳工争执 • Management fraud 管理层舞弊

Strategic Risk 战略风险 Examples • Competition 竞争 • Regulation 法规 • Technological innovation 技术创新 • Political impediments 政治障碍

Aggregate Risk Management 综合风险管理 • Strategic Risk • Regulation • 法规 • Reputation • 声誉 • Competition • 竞争 • Hazard Risk • Hurricanes • 飓风 • Lawsuits • 法律纠纷 • Injuries • 工伤 • Financial Risk • Credit Risk • 信用 • Market Risk • 市场 • Interest Rates • 利率 • Operational Risk • Internal Fraud • 内部舞弊 • Recalls 取消 ERM Approach 方法与措施

Evolution of ERM 步骤 • Control function 风险控制 • How much can we lose? 可以承受多少损失 • Risk adjusted returns 风险调整后的收益 • Capital allocation 资金分配 • Compensation 补偿基金 • Bonuses 奖励基金 • Optimization 最优化 • Maximize shareholder value 股东价值最大化 • Vision of the future 预测将来

Impediments to Effective ERM有效执行ERM的障碍 • Risk models and technology 风险模型和技术 • Organization 组织 • Motivation 动机 • Operating infrastructure 操作设施 • Data problems 数据问题 • Regional fiefdoms 地域限制问题 • High failure rate of IT projects IT项目的高失败率

Increased Use of Risk Models风险模型使用率的增加 • Technological advances 技术提高 • Theoretical advances 理论发展 • Allocation of economic capital 经济资本的分配 • Used for divisional profitability 部门利润 • Impacts bonuses 影响奖金 • Dueling models 众多模型中优胜劣汰

Chief Risk Officer 首席风险执行官 • Reports to CFO, CEO or Board 向首席财务官、首席执行官或董事会报告 • Responsible for managing all aspects of risk 负责管理公司所有方面的风险 • Understand technology 理解技术 • Communication skills 交流技巧

How ERM Can Increase Firm ValueERM怎样增加公司价值 • Process can focus on protecting • Value 价值 • Cash flows 现金流 • Earnings 利润 • Cannot protect all three at once 不能同时保证三项 • Examples • Reducing taxes is earnings based strategy 减税以保证利润是基于策略上的措施 • Insuring to prevent assets from declining is value based 保险以避免资产减少是基于价值上的措施 • Hedging to maintain internal funding sources is cash flow based 对冲以保持内部资金正常运作是基于现金流的措施

Future of ERM 未来 • ERM will continue as risk consolidation and aggregation ERM将继续作为集中、综合管理 • Process increases value of risk management skills 实行过程中将增加风险管理技能的价值 • Management is concerned with risk control issues 管理与风险控制紧密结合 • Chief Risk Officer will be a visible figure in an organization 首席风险执行官将在公司中显示重要作用 • Many paths to CRO, diverse skills required 许多途径通向CRO, 需要多方面技能 • ERM’s role in optimization has a long way to go ERM再最优化中的角色还有很长的路要走 • Potential benefit is worth pursuing for pioneers 潜在利益值得追求

Enterprise Risk Management 企业风险管理