衍生金融工具外文翻譯----金融衍生工具風(fēng)險(xiǎn)管理不善和aig的案例

1、<p><b>　　中文6270字</b></p><p><b>　　畢業(yè)設(shè)計(jì)（論文）</b></p><p><b>　　譯文</b></p><p>　　題目名稱：Financial Derivatives ,the Mismanagement of Risk and Case of

2、AIG</p><p>　　院系名稱：國(guó)際教育學(xué)院</p><p>　　班 級(jí)：會(huì)計(jì)093</p><p>　　學(xué) 號(hào)：200906334340</p><p><b>　　學(xué)生姓名： </b></p><p><b>　　指導(dǎo)教師： </b></p>

3、<p><b>　　2013年 3 月</b></p><p>　　金融衍生工具風(fēng)險(xiǎn)管理不善和AIG的案例</p><p>　　Jeffrey Hobbs, ph.D.</p><p><b>　　摘要：</b></p><p>　　在過(guò)去三年里，全球性金融危機(jī)已是眾所周知，本文探討了

4、金融衍品在此期間的角色。盡管衍生品通常被視為詭異而難以理解的工具，但與它所造成的破壞相關(guān)的更多的是經(jīng)濟(jì)問(wèn)題而不是它自身的復(fù)雜性。本文對(duì)</p><p>　　衍生品作出解釋后又針對(duì)涉及到理性（代理成本）與非理性的基本經(jīng)濟(jì)問(wèn)題給出了解釋。文章又闡釋了放松管制、非透明性因素、理性與非理性是如何互相作用而導(dǎo)致AIG崩潰的，</p><p>　　最后為如何減少衍生品的濫用和導(dǎo)致其濫用的一般性經(jīng)濟(jì)問(wèn)題

5、提出建議。</p><p>　　2006年，人們首次感受到開(kāi)始廣為人知的全球金融危機(jī)的震感?，F(xiàn)如今，金融危機(jī)的附帶結(jié)果，更嚴(yán)重的是，人類在道德和判斷方面的錯(cuò)誤將為繼續(xù)破壞經(jīng)濟(jì)創(chuàng)造金融危機(jī)條件。危機(jī)的直接原因很明顯：歷史上許多金融機(jī)構(gòu)過(guò)度杠桿化，再加上抵押貸款衍生證券的高投資和將市場(chǎng)低迷放大到破產(chǎn)地步。</p><p>　　本文旨在發(fā)掘危機(jī)背后的潛在（間接）原因。盡管許多致使危機(jī)不斷升級(jí)的金

6、融工具還相對(duì)較新，但它們的濫用，若不是在數(shù)世紀(jì)前就是更早，就已為成熟了幾十年的一些基本經(jīng)濟(jì)原理所預(yù)言。因此，任何對(duì)于發(fā)生在系統(tǒng)內(nèi)業(yè)務(wù)具有先驗(yàn)知識(shí)的人來(lái)說(shuō)都不會(huì)對(duì)此結(jié)果感到驚訝。我描述了如何通過(guò)放松管制（或者說(shuō)規(guī)章失效演變伴隨衍生品市場(chǎng)）和伴隨性缺乏透明度，老生常談的經(jīng)濟(jì)問(wèn)題惡化起來(lái)，進(jìn)而市場(chǎng)崩潰。這里的分析涉及經(jīng)濟(jì)思想的兩個(gè)方面：一是關(guān)于非理性與人的行為，另外是理性與代理成本的存在。所有這些經(jīng)濟(jì)問(wèn)題（基于理性和非理性的）都在很大程度生歸

7、因于過(guò)去三十年金融世界的管制放松和不透明性，這兩點(diǎn)也是金融世界的主要特征。文章通過(guò)探究衍生品的作用，希望讀者不僅能更好的理解衍生品，也能對(duì)導(dǎo)致金融危機(jī)反復(fù)發(fā)生的激勵(lì)機(jī)制和失誤策略有更深的了解。</p><p><b>　　什么衍生品？</b></p><p>　　為了通過(guò)使鮮為人知的金融術(shù)語(yǔ)比如“抵押貸款證券”和“信用違約掉期”這些深?yuàn)W詞款占據(jù)我們的集體意識(shí)來(lái)了解這個(gè)

8、壯觀的過(guò)程，我們必須首先了解什么是衍生品。不糾纏于標(biāo)準(zhǔn)定義（“資產(chǎn)完全來(lái)源于---和其價(jià)值完全基于---另一種資產(chǎn)”），我將提供一個(gè)比較。對(duì)于典型的資產(chǎn)，投資者的資產(chǎn)單純隨資產(chǎn)的最終價(jià)值而增加。股票投資者者花費(fèi)20美元購(gòu)買回報(bào)率為負(fù)50%的收益量，那么該股票的最終（銷售）價(jià)值是10美元，如果是負(fù)5%的回報(bào)率那么它的最終價(jià)值是19美元。對(duì)大多數(shù)衍生品來(lái)說(shuō)，情況并非如此?？紤]最大量交易衍生品的看漲期。一個(gè)看漲期賦予所有者選擇權(quán)，而不是義務(wù)，

9、在一個(gè)預(yù)設(shè)的價(jià)格購(gòu)買特定的資產(chǎn)（這是一個(gè)“限時(shí)優(yōu)惠”，然而，通常這種選擇將在一年內(nèi)到期）。類似于上一個(gè)例子，假設(shè)有一個(gè)看漲期，允許選擇購(gòu)買每股20美元的股票，如果期權(quán)到期的那天股票價(jià)值是20美元或者更少，那么這個(gè)選擇是沒(méi)有價(jià)值的----與在股票市場(chǎng)上購(gòu)買相比，它并沒(méi)有價(jià)格優(yōu)勢(shì)。因此，股票的最終價(jià)值是0元還是20美元，對(duì)看漲期所有者來(lái)講沒(méi)有任何差別差別。在這兩種情況下，業(yè)主擁有的選擇沒(méi)有任何價(jià)值，致使其在投資上全盤(pán)損失。通過(guò)制定規(guī)則使股票

10、的所有最終可能</p><p>　　經(jīng)濟(jì)管理不善：非理性</p><p>　　社會(huì)學(xué)家、心理學(xué)家、數(shù)學(xué)家、統(tǒng)計(jì)學(xué)家、生物學(xué)家和其他學(xué)科成員長(zhǎng)期以來(lái)一直在觀察人類非理性的模式。經(jīng)濟(jì)學(xué)，這個(gè)影響大部分商業(yè)決策的領(lǐng)域，為著潔凈度、清晰度和自己的科學(xué)地位，長(zhǎng)期以來(lái)一直在探索如何將非理性的影響減到最小。為了滿足簡(jiǎn)單、可理解模式的需求，很多時(shí)候人類非理性的各個(gè)方面都被假定化了。實(shí)踐中，這些模式的運(yùn)用產(chǎn)

11、生的結(jié)果，簡(jiǎn)直可以說(shuō)是災(zāi)難性的。</p><p>　　衍生品應(yīng)該主要用于套期保值的目的。當(dāng)用于對(duì)沖，與其他工具相比（如保險(xiǎn)），他們會(huì)以普遍較低的成本來(lái)規(guī)避風(fēng)險(xiǎn)。問(wèn)題是，對(duì)沖并不能與人類心理----特別是“動(dòng)物精神”理論很好的相匹配。在“高漲市場(chǎng)”上，當(dāng)高回報(bào)是常態(tài)，一種樂(lè)觀精神盛行，套期保值的前景往往被遺忘，或者更糟糕的是被視為破壞利潤(rùn)。這種心態(tài)常常致使企業(yè)在市場(chǎng)轉(zhuǎn)入低迷期時(shí)，一般意義上的樂(lè)觀情緒轉(zhuǎn)為悲觀主義，已

12、造成了災(zāi)難性的損失已造成了才采取對(duì)沖。這種做法相當(dāng)于在投資領(lǐng)域“追逐業(yè)績(jī)”。</p><p>　　人類情感對(duì)貿(mào)易的影響在理論上和實(shí)證上都已做過(guò)研究（見(jiàn)泰希爾和弗雷謝特，2004）。然而，如果我們?cè)趯?shí)踐中用于衡量風(fēng)險(xiǎn)的模型繼續(xù)忽視如過(guò)度自信和暴徒心理（又稱為集中畜牧）等因素，那么對(duì)沖即使做得很到位也不夠。例如，大多數(shù)模型假定投資回報(bào)呈高斯或者常態(tài)分布，盡管資產(chǎn)回報(bào)呈高風(fēng)險(xiǎn)寬尾分布數(shù)在十年來(lái)已是眾所周知的（法馬，19

13、65）。這種模式持續(xù)低估各類市場(chǎng)承受的風(fēng)險(xiǎn)，基于這些模型的對(duì)沖通常是不夠的。不幸的是，套期保值和衍生品的推廣使用問(wèn)題并沒(méi)有至此結(jié)束。</p><p><b>　　經(jīng)濟(jì)管理不善：理性</b></p><p>　　盡管加速金融危機(jī)的房產(chǎn)泡沫很大程度上是非理性導(dǎo)致的（見(jiàn)阿克洛夫和希勒（2009）的例子不勝枚舉），要是不存在一個(gè)理性成分，這個(gè)危機(jī)本身也不會(huì)那么嚴(yán)重了。<

14、/p><p>　　經(jīng)濟(jì)學(xué)家早就意識(shí)到外部效應(yīng)和代理成本了。廣義上定義，代理成本發(fā)生在一方的行為出于理性----也就是說(shuō)在他的最佳利益時(shí)----并且該方的行為對(duì)另一方有不利影響。多數(shù)情況下，他人的成本將遠(yuǎn)遠(yuǎn)大于決策者的利潤(rùn)。詹森和梅克林（1976）的開(kāi)創(chuàng)性論文顯示機(jī)構(gòu)沖突產(chǎn)生于公司經(jīng)理、股東和持券人之間。阿克爾洛夫和羅默(1993)提供了理論“搶劫的”實(shí)證例子，他們定義為拿走別人的錢(qián)而擔(dān)保人（通常是政府，引申開(kāi)來(lái)就是，

15、它的納稅人）留下來(lái)支付成本。作者指出，這種搶劫的實(shí)例尤其發(fā)生在不健全的會(huì)計(jì)制度、監(jiān)管不嚴(yán)或者懲罰濫用過(guò)輕的情況下。</p><p>　　雖然，金融衍生品為公司對(duì)沖風(fēng)險(xiǎn)提供了相對(duì)廉價(jià)和精確的方式，不幸的是，他們也為機(jī)構(gòu)沖突創(chuàng)造了條件。形形色色的證據(jù)已經(jīng)聚集在股票期權(quán)是否誘發(fā)經(jīng)理增加公司的風(fēng)險(xiǎn)或者從事其他危害股東的活動(dòng)（最近作品請(qǐng)參閱杰維斯，希頓和奧丁2003，潘扎里斯和帕卡,2008，別布丘克和弗里德2004）。然

16、而，有一件事是確定的就是代理成本對(duì)最近廣泛的抵押證券化有非常真實(shí)的影響。</p><p>　　約翰遜和夸克（20 10）“購(gòu)物評(píng)級(jí)”的做法實(shí)際上包含了三種不同類型的代理問(wèn)題。首先，給予銀行抵押貸款支持證券投資組合的評(píng)級(jí)通常依賴于銀行自身的模式。因此，與評(píng)級(jí)由外部決定相比，銀行在決定結(jié)果上有更多靈活性。其次，評(píng)級(jí)機(jī)構(gòu)的報(bào)酬往往是由被評(píng)級(jí)的銀行證券來(lái)支付的。最后，現(xiàn)存的競(jìng)爭(zhēng)機(jī)構(gòu)，競(jìng)爭(zhēng)激烈，導(dǎo)致“向下競(jìng)爭(zhēng)”，因此機(jī)構(gòu)會(huì)

17、下調(diào)標(biāo)準(zhǔn)，大部分都能會(huì)獲得銀行的業(yè)務(wù)。</p><p>　　此外，證券本身也存在代理問(wèn)題。例如，信貸違約掉期（CDS）是一種支付工具，如果借款人出現(xiàn)違約或者其他一些信貸問(wèn)題時(shí)，就由它來(lái)支付。出于這個(gè)原因，CDS通常僅僅被視作對(duì)債務(wù)的保險(xiǎn)（買方的CDS給賣方的定期支付甚至被稱作“保險(xiǎn)費(fèi)”）。然而，與傳統(tǒng)的保險(xiǎn)產(chǎn)品不同的是，CDS的買方不需要成為債務(wù)的貸款人，也沒(méi)有任何利益可保。因此，雖然這些CDS被監(jiān)管機(jī)構(gòu)純粹當(dāng)做

18、對(duì)沖工具，它們也可能被用于投機(jī)，這就意味著，投資在CDS的機(jī)構(gòu)隨后被允許減少他們的風(fēng)險(xiǎn)資本要求盡管他們的投資組合的整體風(fēng)險(xiǎn)在某些情況下會(huì)增加。</p><p>　　上述所有例子都是關(guān)于經(jīng)濟(jì)史早有記載的同一個(gè)問(wèn)題。經(jīng)理要采取刺激措施外化風(fēng)險(xiǎn)。在信息和監(jiān)管缺乏的情況下，這種刺激就更要加強(qiáng)。最近你的過(guò)去見(jiàn)證了這一點(diǎn)：隨著證券化熱潮達(dá)到頂峰，新類型的金融衍生品如SDS被創(chuàng)建。這些衍生品的新穎性和復(fù)雜性需要廣泛的監(jiān)督和管理

19、，但是環(huán)境卻與這些需求相敵對(duì)。正如我后面詳述，“動(dòng)物精神”、代理成本、放松監(jiān)管和缺乏透明度并不是第一次相結(jié)合而引起了金融危機(jī)。了解這種危機(jī)背后的基本問(wèn)題有助于提高我們防止他們?cè)俅伟l(fā)生的機(jī)會(huì)，即使再次發(fā)生也能減輕他們的破壞。</p><p><b>　　美國(guó)國(guó)際集團(tuán)</b></p><p>　　在其高峰期持資超過(guò)一萬(wàn)億美元的保險(xiǎn)公司的倒閉更多的是與美國(guó)國(guó)際集團(tuán)（AIG）

20、有關(guān)。很多人還不清楚的是，條件和激勵(lì)機(jī)制為AIG的崩潰奠定了基礎(chǔ)。核心問(wèn)題是放松管制----或者，再次，缺乏不斷發(fā)展的監(jiān)管規(guī)則。在一個(gè)著名的譴責(zé)會(huì)上（斯托特和諾爾頓，2009），本·伯南克在美國(guó)參議院表示，AIG“利用監(jiān)管系統(tǒng)的一個(gè)巨大缺口?！彼终f(shuō)，“金融產(chǎn)品部門(mén)沒(méi)有監(jiān)管”，“這是一個(gè)對(duì)沖基金，基本上附屬于一個(gè)龐大而穩(wěn)定的保險(xiǎn)公司。” </p><p>　　這種缺乏監(jiān)督大部分來(lái)源于商品期貨現(xiàn)代法案（

21、CFMA）于2000的通過(guò)，它的通過(guò)被視作掉期合約免除監(jiān)管。這意味著，對(duì)于這些投資類型的主要監(jiān)管機(jī)構(gòu)，商品期貨交易委員會(huì)（CFTC），就不再有權(quán)利禁止這樣的貿(mào)易，如果他們的風(fēng)險(xiǎn)太大。新的法律拒絕將CDS歸類為保險(xiǎn)合同，因此允許AIG這樣的買家繞過(guò)國(guó)家規(guī)定，這些規(guī)定要求他們攜帶額外的儲(chǔ)備為潛在的損失作擔(dān)保。如哈森（2009）指出，如果信用違約掉期是合理主要是因?yàn)樗麄兊谋ｋU(xiǎn)特征，保險(xiǎn)應(yīng)該是被管制的。</p><p>

22、　　不幸的是，AIG情況的這些問(wèn)題并沒(méi)有隨著法規(guī)的剝奪而結(jié)束。該公司仍然面臨著來(lái)自儲(chǔ)蓄機(jī)構(gòu)監(jiān)理局的監(jiān)管（OTS），但是OTS的主管詹姆斯本人就是放松管制的支持者，他曾公開(kāi)聲明想讓保險(xiǎn)公司在一個(gè)相對(duì)寬松的環(huán)境下進(jìn)行運(yùn)作。根據(jù)阿佩爾鮑姆和中島（2008）及吉莉安，“在2001到2004間將該機(jī)構(gòu)的1200名員工減去四分之一，盡管在此期間由OTS監(jiān)管的公司貸款和其他資產(chǎn)的價(jià)值增加了一半。其結(jié)果是人手不足的中介與蓬勃發(fā)展的儲(chǔ)蓄行業(yè)之間不相匹配。

23、”此外，OTS是AIG所能選擇的眾多監(jiān)管機(jī)構(gòu)之一，這創(chuàng)建了前面已經(jīng)描述過(guò)的競(jìng)爭(zhēng)到底的激勵(lì)問(wèn)題。</p><p>　　總之，AIG的垮臺(tái)主要是由它的非保險(xiǎn)部門(mén)引起的，正如很多大銀行同時(shí)垮臺(tái)不是由它們的傳統(tǒng)銀行業(yè)務(wù)引起，而是由它們進(jìn)行的分離的高杠桿交易造成的一樣。未能妥善監(jiān)管衍生品和公司致使本來(lái)應(yīng)該是安全穩(wěn)定的組織，卻為了追逐蓬勃發(fā)展的房地產(chǎn)市場(chǎng)以及隨之而來(lái)的利潤(rùn)而推卸社會(huì)責(zé)任。此外，它也致使我之前提過(guò)的一些其他問(wèn)題

24、-----缺乏透明度、非理性化和代理成本-----進(jìn)一步惡化。</p><p>　　第一，是缺乏透明度。據(jù)《時(shí)代》周刊，使AIG垮臺(tái)的部門(mén)（美國(guó)國(guó)際集團(tuán)金融產(chǎn)品部門(mén)，又名AIGFP）只在AIG2007年的九頁(yè)年度報(bào)告中占了一段文字描述（福克斯，2008）。此外，根據(jù)“福布斯”雜志，AIG只在其2006報(bào)告的一個(gè)注腳中列出了它在CDS(信貸違約掉期)合約中的投資。這些合約并不包括在公司的衍生工具交易表內(nèi)（倫澤，20

25、08）。愛(ài)德華利迪，在2008年九月（在聯(lián)邦實(shí)施緊急救助后）成為AIG的首席執(zhí)行官時(shí)指出，他的新公司“對(duì)于其組件業(yè)務(wù)來(lái)講太過(guò)復(fù)雜、太過(guò)笨拙和不透明而難以作為一個(gè)實(shí)體來(lái)很好地管理?！背鲇诜抢硇院屠硇栽?，在相對(duì)不受監(jiān)管的市場(chǎng)上這種不透明性是正常的。首先，對(duì)于經(jīng)理來(lái)說(shuō)，尤其是利潤(rùn)豐厚時(shí)，“過(guò)分自信”是很有可能的。此外，對(duì)于揭示自己投資的證券所不明白的地方，可能會(huì)有個(gè)人或者專業(yè)的激勵(lì)機(jī)制。</p><p>　　第二，

26、有一個(gè)理性成分（代理成本）與AIG有關(guān)。保險(xiǎn)公司很早就意識(shí)到逆向選擇的理念。出現(xiàn)“信息不對(duì)稱”-----交易一方比另一方更為了解潛在產(chǎn)品時(shí)，逆向選擇尤其普遍。自然地，這個(gè)問(wèn)題在缺乏監(jiān)管和不透明的市場(chǎng)上就更為嚴(yán)重。對(duì)于AIG，包含大量金融產(chǎn)品部門(mén)的債務(wù)抵押債券充斥著逆向選擇問(wèn)題。前文已經(jīng)引證過(guò)了，存在于證券發(fā)行銀行和負(fù)責(zé)違約風(fēng)險(xiǎn)評(píng)級(jí)機(jī)構(gòu)之間的問(wèn)題是由共生關(guān)系混合而成的。 </p><p>　　第三，有個(gè)非理性的主題

27、。到2007年底，AIG共有5620億的未對(duì)沖債務(wù)抵押債券。雖然有些人，像有效市場(chǎng)假設(shè)之父尤金·法瑪，后來(lái)對(duì)于一家專營(yíng)保險(xiǎn)卻未能這樣大的風(fēng)險(xiǎn)的公司表示震驚，類似的事情已經(jīng)發(fā)生過(guò)。通常情況下，這種失誤發(fā)生在套期保值被視為是不必要的樂(lè)觀環(huán)境中的。其他時(shí)候，損失發(fā)生是因?yàn)槭褂弥械哪Ｐ捅挥糜陲L(fēng)險(xiǎn)管理的目的是錯(cuò)誤的。支持證券化（定義為非金融資產(chǎn)向可貿(mào)易、金融資產(chǎn)轉(zhuǎn)化）的論點(diǎn)是多樣化的。盡管附帶風(fēng)險(xiǎn)只要不是完全密切相關(guān)的，多樣化就能使風(fēng)險(xiǎn)

28、減少，但很多已被使用的模型都是基于風(fēng)險(xiǎn)互不相關(guān)-----也就是說(shuō)，完全互相獨(dú)立與彼此---的非常極端的假說(shuō)。這樣的一個(gè)假設(shè)就意味著投資組合的風(fēng)險(xiǎn)相對(duì)較小，因此套期保值的需求也就相對(duì)較小，但是這個(gè)假設(shè)不不準(zhǔn)確而危險(xiǎn)的。此外，很多模型假設(shè)資產(chǎn)回報(bào)率呈正態(tài)或者對(duì)數(shù)正態(tài)分布，事實(shí)上資產(chǎn)回報(bào)率長(zhǎng)期以來(lái)被認(rèn)為是呈寬尾分布，即更大風(fēng)險(xiǎn)。最后，很多模型都是基于過(guò)去觀察到的投資回報(bào)風(fēng)險(xiǎn)的，但只是最近的過(guò)去。要獲得合理的風(fēng)險(xiǎn)衡量指標(biāo)就需要把目光放更長(zhǎng)遠(yuǎn)。

29、</p><p>　　經(jīng)常有人問(wèn)的最后一個(gè)問(wèn)題是：這究竟是怎么發(fā)生的？放松管制、非透明性和代理成本之間的關(guān)系是相當(dāng)直接易懂的，可是非理性方面怎么也會(huì)如此之大？任何風(fēng)險(xiǎn)經(jīng)理怎么都會(huì)假定風(fēng)險(xiǎn)之間是完全互相獨(dú)立的，資產(chǎn)回報(bào)率比我們長(zhǎng)期以來(lái)所了解的要穩(wěn)定些，或者風(fēng)險(xiǎn)的精確描述可以通過(guò)五年為期的時(shí)間里透視到，尤其在一個(gè)房產(chǎn)翻了一番的五年里？這個(gè)問(wèn)題的主要原因有兩個(gè)：思想的力量和缺乏了解。這兩個(gè)原因不是無(wú)關(guān)系的。兩者往往都源

30、于一個(gè)新奇的看法：盡管以前有無(wú)數(shù)的土地破產(chǎn)，抵押貸款支持證券的新鮮感給那些同他們交易的人注入了靈感，這種靈感使他們感覺(jué)到“這次是不同的?！钡盅嘿J款支持證券也增加了不知情交易的可能性。最后，這些證券的新鮮感給了他們基于的模型一些不正當(dāng)理由：即使土地價(jià)值的數(shù)據(jù)與歷史上相去甚遠(yuǎn)，給予土地的衍生品是新的----因此，使用更具吸引力的時(shí)間段來(lái)量化土地和房屋價(jià)值的風(fēng)險(xiǎn)的論證在下降。</p><p><b>　　未來(lái)

31、</b></p><p>　　關(guān)于信用違約掉期的衍生品的交易相關(guān)的法律已經(jīng)發(fā)生了巨大的變化。今天，每一個(gè)信用違約掉期交易要么被歸為保險(xiǎn)／對(duì)沖交易（“非裸”）要么歸為投機(jī)（“裸”）。此外，紐約州政府最近宣布，保險(xiǎn)行業(yè)由紐約州保險(xiǎn)部門(mén)監(jiān)管，存管信托和結(jié)算公司正試圖通過(guò)釋放CDS交易的數(shù)據(jù)向公眾提高透明度。最后，國(guó)際互換和衍生品協(xié)會(huì)正在使信用違約掉期合約規(guī)范化，并在將票據(jù)交換所（提高透明度，減少交易對(duì)手風(fēng)險(xiǎn)

32、）引入歐洲和美國(guó)市場(chǎng)。</p><p>　　盡管有這些變化，仍然有一些關(guān)于應(yīng)該實(shí)施哪些形式監(jiān)管的爭(zhēng)論。傳統(tǒng)上，保險(xiǎn)和保險(xiǎn)型合同由各州監(jiān)管。當(dāng)然，信貸違約掉期是這條規(guī)則的一個(gè)例外，在過(guò)去十幾年幾乎不受任何監(jiān)管。然而，澤爾納（2009）認(rèn)為，在CDS交易的情況下，對(duì)國(guó)家調(diào)控來(lái)說(shuō)聯(lián)邦監(jiān)管是可取的。作者援引了外部壓力的腐蝕性質(zhì)，當(dāng)?shù)乇O(jiān)管機(jī)構(gòu)向其他州外化成本的意愿，和各州之間消弱監(jiān)管、吸引商業(yè)的競(jìng)爭(zhēng)，這些因素可能潛在的使州

33、調(diào)控效率低于經(jīng)國(guó)家作為一個(gè)整體的聯(lián)邦調(diào)控。關(guān)于如何監(jiān)管的討論將繼續(xù)被重提，幾乎每個(gè)人都承認(rèn)需要有比過(guò)去存在的更強(qiáng)有力的監(jiān)管。</p><p><b>　　結(jié)論</b></p><p>　　全球金融危機(jī)，相關(guān)的還有AIG的崩潰已經(jīng)引起了學(xué)者、商界、媒體和很多其他感興趣團(tuán)體的關(guān)注。為了了解這場(chǎng)危機(jī)的嚴(yán)重程度，我們必須首先了解引起危機(jī)的不同因素（放松管制，不透明度，代理成本

34、和非理性），尤其要了解這些因素不斷是危機(jī)加劇的方式。AIG案例是人感興趣的原因是它清楚地顯示了這四個(gè)因素之間的互相作用。然而，AIG并不是第一個(gè)這樣的例子。這四種因素，以不同的組合方式，在19世紀(jì)80年代末的信貸危機(jī)，1994年加州奧蘭治縣政府的破產(chǎn)，21世紀(jì)早期包括安然公司在內(nèi)的公司丑聞和1995年巴林銀行通過(guò)“流氓交易員”尼克·利森而毀于一旦中發(fā)揮作用。</p><p>　　這是一個(gè)類似的錯(cuò)誤---

35、-甚至比房地產(chǎn)泡沫期間的更大----將被再次造成的保證。事后諸葛揭示了這些錯(cuò)誤的愚蠢性，但又很容易在一個(gè)又一個(gè)的市場(chǎng)繁榮期被遺忘。使普通的泡沫區(qū)別于全球金融危機(jī)這種事件的是風(fēng)險(xiǎn)承擔(dān)，在這種情況下，隨著一些金融公司的杠桿率在短短幾年內(nèi)就翻一番或者甚至增至三倍，抵押貸款證券化的過(guò)程與史無(wú)前例高風(fēng)險(xiǎn)攜手并進(jìn)。</p><p>　　著名經(jīng)濟(jì)學(xué)家約瑟夫·斯蒂格利茨（2010）總結(jié)了它的優(yōu)秀的金融危機(jī)治療法和名為“

36、自由落體”的經(jīng)濟(jì)激勵(lì)措施的本質(zhì)：美國(guó)自由市場(chǎng)和世界經(jīng)濟(jì)的沉沒(méi)的話是“這些都是機(jī)會(huì)。真正的危險(xiǎn)是我們抓不住他們。”我們知道，事實(shí)上已經(jīng)知道了一段時(shí)間，不透明性、代理成本和人類的非理性的危險(xiǎn)。只有通過(guò)采取措施阻止前兩種危險(xiǎn)（第三種可能是主動(dòng)要失敗的努力），我們才能避免金融災(zāi)難或者起碼使其最小化。這些措施需要迅速采取，因?yàn)槲覀兊挠洃浭嵌虝旱?。在我們忘記不及以后，在這里描述的問(wèn)題將會(huì)又一次自動(dòng)蔓延開(kāi)來(lái)。</p><p>

37、　　來(lái)源：Published by the CPCU Society,2011,1-9</p><p>　　Financial Derivatives, the Mismanagement of Risk and the Case of AIG</p><p>　　Jeffrey Hobbs, ph.D.</p><p>　　Introduction</p&g

38、t;<p>　　In 2006, the first rumblings of would come to be known as the Global Financial Crisis were felt. Today the fallout of the crisis and, more important, the human errors in ethics and judgment that make the c

39、onditions for the crisis possible continue to imperil our economy. The direct causes of the crisis are clear: historically excessive leverage on the part of many financial institutions, coupled with a high level of inves

40、tment in mortgage-backed derivative securities, magnified the impact of a d</p><p>　　The purpose of this article is to explore the underlying (i.e. indirect) cause behind the crisis. Although many of the fin

41、ancial instruments that served to escalate the crisis are relatively new, their misuse was foretold by basic economic theories developed decades if not centuries, earlier. Thus, anyone with prior knowledge of the transac

42、tions taking place within the system should not have been surprised by the outcome. I describe how, through deregulation (or the failure of regulations to evo</p><p>　　What is a Derivative?</p><p&

43、gt;　　In order to understand the spectacular process through which abstruse terms like</p><p>　　“mortgage-backed security” and “credit default swap” go from being little-known bits of finance jargon to inhabi

44、ting our collective consciousnes, one must first understand what a derivative is. Rather than dwell on the standard definition (“an asset that is wholly derived from — and whose value is thus wholly based upon — another

45、asset”), I will offer a comparison. For typical assets, the investor’s return increases monotonically with the asset’s ending value. A stock that cost the investor $20 </p><p>　　The Economics of Mismanagemen

46、t: Irrationality</p><p>　　Patterns of human irrationality have long been observed by sociologists, psychologists, mathematicians, statisticians, biologists and members of other disciplines. Economics, the fi

47、eld on which most business decision-making rests, has long sought to minimize the impact of irrationality for the sake of cleanliness, clarity and its own scientific status. Because of the need for simple, understandable

48、 models, many and sometimes all aspects of human irrationality are assumed away.1 The use of these </p><p>　　Derivatives should be used primarily for hedging purposes. When used to hedge,</p><p>

49、;　　They offer protection from risk at a generally lower cost than do other instruments (e.g insurance). The problem is that hedging does not align well with human psychology — particularly the theory of “Animal Spirits.”

50、 2 In “up-markets,” when high returns are the norm and a sense of optimism prevails, the prospect of hedging tends to be forgotten or, worse, is seen as destructive to profits. This mindset often leads companies to hedge

51、 only after the market has suffered a downturn, the general sen</p><p>　　The impact of human emotion on trading has been studied both theoretically and empirically (see Tuthill and Frechette (2004)). However

52、, if the models we use in practice to measure risk continue to ignore factors like overconfidence and mobmentality a.k.a. “herding,” then even the hedges that do get put in place will be too small. For example, most mode

53、ls assume that asset returns have Gaussian or “normal” distributions even though it has been known for decades that they have riskier, fatter tail</p><p>　　The Economics of Mismanagement: Rationality</p&g

54、t;<p>　　Although the housing bubble that precipitated the financial crisis was largely the result of irrationality (see Akerlof and Shiller (2009) for numerous examples), the crisis itself would not have been near

55、ly as severe had there not existed a component of rationality as well.</p><p>　　Economists have long been aware of externalities and agency costs. Defined broadly, an agency cost occurs when one party acts “

56、rationally” — that is, in his or her own best interests — and that action has an adverse effect on another party or parties. Quite often the cost to others will be far greater than the benefit to the decision-maker. In s

57、eminal papers, Jensen and Meckling (1976) show agency conflicts that arise between corporate managers, stockholders, and bondholders, and Akerlof and Rom</p><p>　　Financial derivatives, though they provide r

58、elatively cheap and precise ways for firms to hedge risk, unfortunately also provide new opportunities for agency conflict. Mixed evidence has been gathered on whether stock options induce managers to increase their firm

59、s’ risk or engage in other practices that are detrimental to shareholders (for some recent work see Gervais, Heaton and Odean (2003), Pantzalis and Park (2008) and Bebchuk and Fried (2004)). One thing that is certain, ho

60、wever, is that a</p><p>　　Johnson and Kwak (2010) describe the practice of “shopping for ratings,” which actually entails three separate types of agency problems. First, the ratings that were given to a bank

61、’s portfolio of mortgage-backed securities often depended on the bank’s own models. Thus, the banks had more flexibility in determining the outcome than if the ratings had been determined externally. Second, the rating a

62、gencies’ compensation was often paid by the very banks whose securities they were rating. Third, th</p><p>　　Additionally, there existed agency problems with the securities themselves. A credit default swap

63、(CDS), for example, is an instrument that pays out money if a borrower experiences default or some other credit problem. For this reason, credit default swaps are often regarded simply as insurance on debt (the periodic

64、payments made from the buyer of the CDS to the seller are even called “premiums”). Unlike traditional insurance products, however, the buyer of a credit default swap need not be the </p><p>　　All of the abov

65、e are examples of a problem that has long been documented throughout our economic history. Managers have an incentive to externalize risk. In the absence of information and regulation, the incentive increases. The recent

66、 past has borne witness to this: new types of financial derivatives such as CDSs were created as the securitization boom peaked. The newness and complexity of these derivatives required extensive oversight and regulation

67、, but the climate was hostile to those needs.</p><p><b>　　AIG</b></p><p>　　Much has been made of American International Group, the fallen insurance company which at its peak held mor

68、e than $1 trillion in assets. What is still unclear to many, however, are the conditions and incentives that prepared the ground for AIG’s collapse. At the heart of the issue was deregulation — or, again, a lack of evolv

69、ing regulation. In a famous condemnation (see Stout and Knowlton, 2009), Ben Bernanke stated on the floor of the United States Senate that AIG “exploited a huge gap in the r</p><p>　　Much of this lack of ove

70、rsight arose from the passage of the Commodity Futures Modernization Act (CFMA) of 2000, which deemed swap contracts exempt from regulation. This meant that the Commodity Futures Trading Commission (CFTC), the main regul

71、atory body for these types of investments, no longer had the power to prohibit such trades if they were too risky. The new law, which refused to categorize CDS as insurance contracts, thus allowed sellers like AIG to byp

72、ass state regulations that would hav</p><p>　　Unfortunately, the problems with AIG’s situation did not end with the regulations that had been stripped away. The company still faced some regulation from the O

73、ffice of Thrift Supervision (OTS), but the director of OTS, James Gilleran, was himself a proponent of deregulation and stated publicly his desire to allow insurers to operate in a relatively uninhibited environment. Acc

74、ording to Appelbaum and Nakashima (2008), Gilleran, “cut a quarter of the agency’s 1,200 employees between 2001 and 200</p><p>　　In short, the fall of AIG was caused primarily by its non-insurance divisions,

75、 just as many large banks were simultaneously failing not because of their traditional banking activities but because of separate high-leverage trades they had made. The failure to properly regulate both derivatives and

76、the firms that traded them caused what should have been safe, stable organizations to shirk their societal obligations in order to chase the booming housing market and its attendant profits. Moreover, i</p><p&

77、gt;　　First was the lack of transparency. According to Time magazine, the division that brought AIG down (American International Group Financial Products, a.k.a. AIGFP) earned only a one-paragraph description in AIG’s nin

78、e-page annual report from 2007 (Fox, 2008). Further, according to Forbes, AIG listed its investment in CDS (credit- default swap) contracts only in a footnote in its 2006 report. These contracts were not included at all

79、in the firm’s table of derivatives transactions (Lenzer, 2008). E</p><p>　　Second, there was a component of rationality (agency costs) associated with AIG. Insurers have long been aware of the concept of adv

80、erse selection. Adverse selection is especially prevalent when there is “information asymmetry” — when one party to a transaction knows more about the underlying product than does the other. Naturally, this problem tends

81、 to be especially strong in unregulated and nontransparent markets. In the case of AIG, the collateralized debt obligations that comprised the bulk </p><p>　　Third, there is the subject of irrationality. By

82、the end of 2007, AIG had a total of $562 billion in unhedged CDOs. While some, like father of the efficient-markets hypothesis Eugene Fama, later expressed shock that a company specializing in insurance had failed to hed

83、ge such a substantial risk, similar things have happened before. Usually, such lapses occur in an environment of optimism, when hedging is seen as unnecessary. Other times, losses occur because the models being used for

84、the purpose</p><p>　　The final question that is often asked is: how did this happen? The relationship between deregulation, non-transparency, and agency costs is fairly direct and easy to understand, but how

85、 could the irrationality aspect have been so large as well? How could any risk manager assume that mortgage risks are entirely independent of one another, that asset returns are less volatile than we have long known them

86、 to be, or that an accurate picture of risk could be taken through the lens of only a five yea</p><p>　　The Future</p><p>　　The laws concerning the trading of derivatives such as credit default

87、swaps have already changed drastically. Today, each credit default swap trade is categorized as either an insurance/hedging trade (“non-naked”) or as speculation (“naked”). Additionally, the state of New York recently an

88、nounced that insurance trades would fall under the regulatory supervision of the New York State Insurance Department, and the Depository Trust & Clearing Corporation is attempting to increase the level of trans</p

89、><p>　　Despite these changes, there is still some debate over which form of regulation should be implemented. Traditionally, insurance and insurance-type contracts have been subject to regulation by the states.

90、 Of course, credit default swaps were an exception to this rule, going almost completely unregulated during the last decade. Zolner (2009), however, argues that in the case of CDS transactions, federal regulation is pref

91、erable to state regulation. The author cites the corrupting nature of externa</p><p>　　Conclusion</p><p>　　The Global Financial Crisis and, by extension, the collapse of AIG has garnered the att

92、ention of academics, the business community, the media, and many other interested parties. In order to understand the extent of the crisis, one must first understand the different factors (deregulation, non-transparency,

93、 agency costs and irrationality) that caused it, and particularly the way in which these factors tend to exacerbate one another. The case of AIG is interesting in that it displays very clearly </p><p>　　It i

94、s a guarantee that similar mistakes — some even larger than those made during the housing bubble — will be made again. Hindsight reveals the foolishness of these mistakes, but is easily forgotten during the next upward s

95、urge in one market or another. What makes an ordinary bubble different from an event like the Global Financial Crisis is risk-taking, and in this case the story of mortgage securitization went hand-in-hand with near-unpr

96、ecedented levels of risk, as the leverage ratios of some</p><p>　　The famed economist Joseph Stiglitz (2010) concludes his excellent treatment of the financial crisis and the nature of economic incentives ti

97、tled Freefall: America, Free Markets, and the Sinking of the World Economy with the words, “These are the opportunities. The real danger is that we will not seize them.” We know, and in fact have known for some time, the

98、 danger of non-transparency, of agency costs, and of human irrationality. It is only by taking steps to prevent the first two dangers (the </p><p><b>　　Source:</b></p><p>　　Published