Page 26 - CCFA Journal - Ninth Issue

风险管理 Risk Management 加中金融

● Counterparty risk is the risk of default by brokers or ● 交易对手风险是指经纪商或衍生品交易对手违约
derivatives counterparties. When a derivatives contract held 的风险。当基金持有的衍生品合约在交易对手违约时具
in a fund has a positive market value when the counterparty 有正的市值时可能会出现潜在的损失。当资产管理公司
defaults, potential losses may occur. When a broker an asset 使用的经纪人违约时，资产管理人可能会亏损。为了监
manager uses defaults, the asset manager could lose money. 控交易对手风险，公司应持续监控交易对手的信用风险
To monitor counterparty risk, a firm should constantly 状况。一些可用于评估交易对手偿付能力状态的指标包
monitor counterparties’ credit risk profile. Some metrics that 括信用评级、信用违约掉期利差水平、股价水平/趋势和
can be useful in assessing counterparty solvency status are 违约风险水平。比如 RBC GAM Inc.密切监视其交易对手，
credit ratings, level of credit default swap spreads, stock price 并在看到 MF Global 的信用状况恶化并避免损失时停止与
level/trend and default risk level. RBC GAM Inc. has closely
monitored its counterparties, and, for example, stopped MF Global 的交易。
trading with MF Global when seeing the credit profile of the ● 监管风险是指法律法规的变化会增加经营成本的
latter deteriorating and avoided losses. 风险。例如，自 2022 年 6 月起，美国禁止资产管理公司

● Regulatory risk is a risk that changes in laws and 购买俄罗斯债务或股本证券。预见到这一政策的经理人
regulations will increase the cost of conducting business. For 会出售他们持有的俄罗斯证券并节省成本。环境、社会
example, U.S. asset managers have been prohibited from 和治理 （ESG）法规使 ESG 风险成为日益重要的监管风
purchasing Russian debt or equity securities as of June 2022. 险。全球资产管理公司需要满足其相关司法管辖区的披
Managers that foresaw this policy would have sold their 露要求。与 ESG 风险相关的一个例子是美国当局对德意
holdings in Russian securities and saved cost. Environmental, 志银行资产管理业务的调查，原因是其涉嫌夸大 ESG 索
social, and governance (ESG) regulations have made ESG risk 赔。资产管理公司需要具有前瞻性思维以有效管理监管
an increasingly important regulatory risk. Global asset 风险。
managers need to fulfil their disclosure requirements in their
relevant jurisdictions. An example related to ESG risk is U.S. ● 运营风险和声誉风险是另外两个重要风险。当资
authorities’ investigation into Deutsche Bank’s asset- 产管理公司未能满足其利益相关者的期望并因此受到负
management business for its alleged overstated ESG claims. 面看法时，就会发生声誉风险。声誉风险是对企业或实
An asset manager needs to be forward-thinking to effectively 体的良好声誉或地位的威胁或危险。运营风险涵盖了资
manage regulatory risk. 产管理公司在进行日常业务活动时面临的不确定性和危
险。这种类型的风险可能是由内部程序、人员和系统的
● Operational risk and reputation risk are two other
故障引起的。当今资产管理公司面临的最重大运营风险
important risks. Reputational risk happens when an asset 包括网络安全风险、监管合规风险和业务连续性风险。
manager fails to meet the expectations of its stakeholders and
is thus negatively perceived. Reputational risk is a threat or 风险框架
danger to the good name or standing of a business or entity.
Operational risk summarizes the uncertainties and hazards an 一个好的框架应该涵盖所有主要风险并有一个有效的沟
asset manager faces when it attempts to do its day-to-day 通渠道包括监测、报告、反馈、解决问题和紧急纠错机
business activities. This type of risk can result from 制。专业投资人士应有很强的风险意识。以 RBC GAM
breakdowns in internal procedures, people and systems. Inc.为例。其风险管理框架涉及公司的高级管理层、投资
Significant operational risks today’s asset managers face 政策团队、合规团队、法律团队、风险管理团队等。风
include cybersecurity risk, regulatory compliance risk and 险意识通过银行和相关业务部门提供的教育嵌入到所有
business continuity risk. 业务部门。它成立了一些跨部门的风险委员会（例如经
纪人风险委员会）来解决与风险相关的问题。在 RBC
Risk Framework
GAM Inc.，在每个基金的投资政策声明（授权）中明确
A good framework should cover all the major risks. It should 允许的基金水平风险和风险限额。 在授权中，投资政策
have an effective communication channel that includes 团队设定目标、允许的策略、基准、资产类别敞口/行业
monitoring, reporting, feedback, problem solving and /地区/货币/风格/杠杆的限制。
escalating mechanisms. Risk awareness should be deeply
rooted in the mind of all investment professionals. Take RBC
GAM Inc. as an example. Its risk management framework
involves the firm’s senior management, investment policy
team, compliance team, legal team, risk management team,
etc. Risk awareness is embedded in all business units through
the education provided by the bank and related business
units. It has established some cross-department risk
committees (e.g., broker risk committee) to address risk
related issues. At RBC GAM Inc., permissible fund level risks
and risk limits are specified in each fund’s investment policy
statements (mandates). In the mandates, the Investment
Policy team sets objectives, strategies allowed, benchmarks,
limits on asset class exposure /sectors /regions /currencies
/styles /leverage.

CCFA JOURNAL OF FINANCE December 2022
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