Page 45 - CCFA Journal - Third Issue

风控大讲堂 Risk Management Forum
在专业的风险语言体系里，系统性风险显然不等于金融危
机，系统性风险在远离金融危机时也是存在的，也是需要
管理的。而在通俗的说法中，风险往往成为损失、问题和
危机的时髦代名词，两种往往交替使用。其实专业的风险
用法是指损失、问题和危机发生以前的状态，即其可能性。
因此，将系统性风险等同于金融危机是非专业的通俗说法。
这是在讨论系统性风险问题时起码需要具备的前提知识。
系统性风险等同于金融危机的可能性吗？这的确是很多人
包括专业人士在内都采用的说法。其实，关于金融危机的
可能性，自上个世纪30年代大危机后，各类研究就已经很
多，但很少采用系统性风险这一说法，比较接近的一个概
念也只是“风险传染”（Risk Contagion）。
系统性风险作为一个相对比较新的概念，主要是自2008年
金融危机以后进入大众视野的概念，与传统的金融危机研
究是有所区别的。其中最大的区别就是，传统的金融危机
研究一般是基于金融市场和金融制度的演变开展的研究，
但系统性风险是基于现代金融风险管理视角和思维开展研
究，是现代金融风险管理发展到一定阶段为了解决其自身
的局限性而进一步发展产生的新概念，是现代风险管理最
新发展阶段的代表。
因此，要更加深入了解系统性风险，就必须首先了解金融
风险管理的发展演变。不幸的是，目前，很多人却忽略了
这一点。这可能是由于现代金融机构风险管理学科发展仍
然没有引起学界和业界的充分重视的原因，大家缺乏专业
的金融风险管理语言基础和思维模式，很多人使用和分析
系统性风险仍然基本上沿用了传统金融危机的思路和方法，
这让“系统性风险”这一新兴的风险管理概念成为“金融
危机可能性”的时髦代名词，失去了它应有的意义。
二、系统性风险概念和思维的出现是现代金融机构风险管
理发展的结果
金融的本质就是风险承担和管理。因此，现代风险管理的
基本理念和做法也反映在现代金融理论和实践的发展过程
之中。
五六十年代标志着现代金融理论起步发展的是多样化分散
风险的组合管理和通过定价对风险承担进行补偿的资本资
产定价理论，由此，组合分散和定价补偿（覆盖）成为现
代金融风险管理的基本做法。
七八十年代衍生产品迅速发展，风险管理进入对冲时代。
然而，到这个阶段，风险管理主要还是停留在前台交易和
组合投资经理视角的阶段，以“金融工程”的面貌出现，
被 称 为 “ 交 易 员 的 风 险 管 理 （ Trader ’ s Risk
Management）”。
进入九十年代，以 VaR 为代表的现代风险计量和巴塞尔协
议推动的资本管理开始极大促进了金融机构整体视角下的
风险管理，即所谓全面风险管理，VaR 也由此被称为启动
了一场由交易层面到机构整体层面的“风险管理革命”。
风险管理由此进入“公司的风险管理（Corporate Risk
Management）”的发展阶段。
但继续往前，风险管理面临一个问题，单个金融机构风险
管理管好了，整个金融体系就没有风险了吗？事实上，金
融危机表明，“各人自扫门前雪”的单个金融机构风险管
理有时候会加大整个系统的关联，如各类衍生产品（尤其
是九十年代开始迅速发展的信用衍生产品）和资产证券化，
尽管从个体机构看似对冲和转移了风险，但是加大了系统
性关联。大家在经济周期上升阶段普遍的乐观预期会让资
本要求和风险管理标准系统性地降低，而在经济危机时期
正好相反，这种亲经济周期现象会让整个金融系统更加脆
弱。
CCFA JOURNAL OF FINANCE
加中金融
Systemic risk is obviously not equal to the financial crisis and
exists even far before a financial crisis. It needs to be managed.
Risk is often referring to losses, problems and crises, and they
are often used interchangeably. In fact, risk refers to the state
or likelihood before losses, problems and crises occur.
Is systemic risk equivalent to the likelihood of a financial crisis?
This is indeed what many people, including professionals, have
adopted. Since the Great Depression of the 1930s, there have
been many studies, but the term systemic risk is rarely used,
and a closer concept used is "risk contagion".
Systemic risk as a relatively new concept, became popular
since the 2008 financial crisis. It is different from traditional
study of the financial crisis. One of the biggest differences is
that the traditional research on the financial crisis is generally
based on the evolution of financial markets and systems, while
research on systemic risk is based on the perspective and
thinking of modern financial risk management. Systemic risk is
a new concept under the modern financial risk management.
Therefore, to get a better understanding of systemic risk, we
must first understand the evolution of financial risk
management.
2. The conceptualization of systemic risk is the outcome of
evolving modern financial risk management
The essence of finance is risk-taking and management.
Therefore, the basic ideas and practices of modern risk
management are also embedded in the development process
of modern financial theory and practice.
The modern financial theory started from the 50's and 60's,
including the portfolio management with multiple assets to
diversify risks and the capital asset pricing theory to
compensate for risk taken.
Derivatives were developed rapidly in the 1970s and 1980s,
and risk management entered into the hedging era. At this
stage, however, risk management remains largely at the front
office trading and portfolio investment manager's perspective,
with the appearance of "financial engineering", known as
trader's Risk Management.
In the 1990s, modern risk measurement such as VaR and Basel-
driven capital management greatly promoted enterprise risk
management of financial institutions. VaR was known as the
start of a "risk management revolution" from the transaction
level to the enterprise level. Risk management thus entered to
the development phase of Corporate Risk Management.
A question was then raised: Would there be no risks in the
entire financial system if individual financial institutions well
manage their own risks? In fact, the financial crisis has revealed
that the risk management of individual financial institutions
sometimes actually increases system-wide correlations. For
example, derivatives (especially credit derivatives, which have
grown rapidly since the 1990s) and asset securitisation appear
to hedge and transfer risks carried by individual institutions,
but actually amplify systemic correlations. The optimistic
expectations during the expansion phase of the economic
cycle would generally lower capital requirements and risk
management standards, while as opposed to the economic
recession, this pro-economic cycle phenomenon will make the
financial system more vulnerable.
DECEMBER 2020 Page 45