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1、1外文題目：SixWaysCompaniesMismanageRisk出處：2009（3）harvardbusinessreview作者：RStulz原文：SixWaysCompaniesMismanageRiskAsinveststotuptheirlossesfromthefinancialcrisismanywillbeaskingthemselvesHowdidWallStreetmessupsobadlyWhatwentwro
2、ngwithallthosecomplicatedmodelsEvenbackinNovember2007befethecrisishadreallyhitthestockmarketsonecommentatintheFinancialTimeswrote“ItisobvioustherehasbeenamassivefailureofriskmanagementacrossmostofWallStreet.”O(jiān)fcoursefina
3、ncialinstitutionscansufferspectacularlossesevenwhentheirriskmanagementisfirstrate.Theyareafterallinthebusinessoftakingrisks.Whenriskmanagementdoesfailhoweveritisinoneofsixbasicwaysnearlyallofthemexemplifiedinthecurrentcr
4、isis.Sometimestheproblemlieswiththedatameasuresthatriskmanagersrelyon.Sometimesitrelatestohowtheyidentifycommunicatetherisksacompanyisexposedto.Financialriskmanagementishardtogetrightinthebestoftimes.InthefollowingpagesI
5、’llexplethesixpathstofailureindetail.distributionofhousepricechangeswouldgraphicallymapabellcurvearoundthemeanchange.Thehizontalaxisofthegraphwouldmeasurepricechangestheverticalaxiswouldmeasuretheprobabilitythateachchang
6、ewouldoccur.Theshapeofthebellwouldbedeterminedbyvolatility:Thegreaterthevolatilitytheflatterwiderthecurve.Yourmodelingexercisecouldhavegonewrongintwoways.Firstifhousepricevolatilitywashigherinthefuturethaninthepast(which
7、provedtobethecase)youwouldhavesubstantiallyunderestimatedtheprobabilityofaplungeinprices.Yourbellcurveshouldhavebeenflatterwiderbecausetheprobabilitiesoflargerpricemovements(updown)weregreaterthanyouthoughttheywouldbe.if
8、youhadoverestimatedthemeanchangeyourcurvewouldbetoofartotherightgeneratingfaultyestimatesoftheprobabilitiesofallpossiblechanges.3movements(updown)weregreaterthanyouthoughttheywouldbe.ifyouhadoverestimatedthemeanchangeyou
9、rcurvewouldbetoofartotherightgeneratingfaultyestimatesoftheprobabilitiesofallpossiblechanges.Secondyoumighthavewronglyassumedthatthedistributionoffuturehousepricechangeswasdescribedbythebellcurve.Butifchangesinpriceweren
10、otnmallydistributedthenagraphofthedistributionmightbeskewed—justastheprobabilitydistributionofacoin’sfallingheadsupwouldbeskewedifthecoinwereslightlybent.Bothkindsoferrillustratehowdifficultitistousepastdatatopredictthef
11、uture.Supposeyouhadlookedat30years’wthofhousepricechangestoestimateyourmeanstarddeviation.Perhapsthattimeframewasn’tlongenough—especiallyifthetwodecadesprecedingitweremevolatile.Abellcurveprojectedfrom50years’wthofdatawo
12、uldhavebeenflatterthantheoneyouplottederhapslessfartotheright.supposea50yearanalysisshowedthatlargechangesweremelikelythanwiththenmaldistributionbuta30yearanalysisdidnot.Inthatcasethe30yearanalysiswouldunderstatetherisko
13、faplungeinpricescomparedwiththe50yearanalysisbecausewiththelatterthedistributionwouldhavefattailsrelativetothenmaldistribution.Evenifyoucouldhavecapturedthefullimpactonyourbalancesheetofasignificantdownturninrealestateyo
14、uwouldhavebeenvulnerabletoanotherkindoferrinestimatingtheindirecteffects.Yourbanklikeanyotherfinancialinstitutionwouldhavehadpositionsinmanyassetclasseswhosepricechangescrelatedwithchangesinrealestate.Pricemovementsinall
15、assetclassescrelatewithoneanothermelesshecrelationshavetobeestimatedcrectlyifyouaretodetermineyourbank’sfullexposuretoagivenrisk.Thehigherthecrelationstheriskieryourtotalptfolioofassetstherefethemeequitycapitalyouwillnee
16、dtoprotectyourinstitutionagainstlosses.Obviouslyinestimatingcrelationsfromhisticaldatayouwouldhavebeenvulnerabletoalltheproblemswehavejustdescribed.Tocomplicatemattersfurthercrelationsarenotconstantinfacttheyareknowntoin
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