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加中金融

一、金融危机带来的风险管理教训 1. Lessons from risk management brought about
by the financial crisis
（一）领先金融机构对风险管理的态度
(1) Leading financial institutions’ attitudes to risk management
金融危机发生之后，海外的金融机构高层管理人员迅速提
升了对风险管理的重视程度，代表性的人物如德意志银行 After the financial crisis, the senior management of international
董事会主席约瑟夫·阿克曼，JP 摩根的首席执行官杰 financial institutions quickly realized the importance of risk
米·戴蒙以及高盛集团的董事长劳埃德·贝兰克梵，他们 management. For instance, Deutsche Bank’s board chairman Joseph
一致地认为业务与风险之间一定要保持均衡，这一点是危 Ackerman, JP Morgan’s CEO Jamie Dimon and Goldman Sachs
机之前大多数机构都没有充分意识到的。劳埃德•贝兰克 The chairman of the group, Lloyd Bellan Vatican, all agreed that
business and risk must be balanced, which was something most
梵还表示，自己虽然并不是经济学家，但他 98%的时间都
institutions did not fully realize before the crisis. Lloyd Belankvan
在担心高盛所面临的各种风险，如果发生这种情况公司是 also said that although he is not an economist, 98% of his time has
否准备就绪，能否比其他公司更快的做出反应？这指出了 been focusing on various risks faced by Goldman Sachs and
风险管理的核心：首先，公司高层不可能完全理解公司全 considering whether the company is ready for quicker response
部的业务，花精力来推动业务的发展， 这是业务部门负 measures to financial crisis than other companies, when it happens.
责人要做的事情。公司高层需要关注的是公司整体承担的 This points to the core of risk management: First of all, the
company's senior management would not be possible to fully
风险；其次，风险管理不是为了预测，更像是为了防止火
understand all the company's business needs and responsible for
灾每天做的演练。
promoting the development of the business, which is the role for the
heads of the business departments. Instead, the company's top
（二）风险管理的基本要素
executives is responsible for the overall enterprise risks carried by
风险管理的中心是人，无论是风险的造成、控制都是由人 the company; Secondly, risk management is not for prediction, but
产生的。在此基础上，风险管理要注意以下几点：（1） more like a daily drill to prevent fires.
充分考虑意料外的风险。风险管理要采纳“不存在意外” (2) Fundamental principles of risk management
的态度，对传统的如 ABS 债券不会违约、房屋价格不会下
The central part of risk management is human. The risk is caused
降等判断要提出质疑。（2）风险管理需要有效沟通。管
and controlled by human. Based on this, the key points of risk
理层需要能够及时得到有效的信息，从而做出决定。在 management include: (1) Fully consider unexpected risks. Risk
2008 年金融危机中， UBS 虽然有最好的房屋抵押贷款研
management should recognize "no exceptions", and challenge
究团团队，但却遭受的华尔街房屋抵押贷款债券的最大损 traditional judgments such as ABS bonds will not default and house
失。 好的研究团队没有把研究结果传达到最高层， 也没 prices will not fall. (2) Risk management requires effective
能起到应有作用。（3）风险管理需要主动与谨慎。风险 communication. Management should be able to get timely
发生时的风险管理是无用的，要在发展业务的过程中主动 information to make decisions. During the 2008 financial crisis,
管理。（4）风险管理需要对信息进行综合分析。要建立 although UBS had an excellent research team for home mortgage
综合的风控系统,将信用风险和市场风险整合到一个平台。 loans, it suffered the largest loss in the collateralized mortgage
backed securities in Wall Street. This was due to that the research
（5）风险管理要对产品有深刻理解。要对产品细节加以 team had not communicated the research results with the top
注意，如 ABS 债券有非常高的相关性，因为大部分内在贷 management, nor had it played its due role. (3) Risk management
款来自于几个区域， 这导致 ABS CDO 中的超级优先级都全 needs to be proactive and prudent. It would be useless to manage
部损失。SIV 一共就发行了不到三十个， 金融危机中所有 risk at the time of risk occurrence. Risk should be actively managed
产品全部发生违约。主要原因是评级机构根本就没有把握 in the process of business development. (4) Risk management
住 SIV 的风险。 requires a comprehensive analysis of relevant information, which
needs to establish a comprehensive risk control system and integrate
all the risks including credit risk and market risk into one platform.
(5) Risk management requires a deep understanding of all products
and underlying features of the products. For example, Asset Back
Securities (ABS) have very high correlations between tranches,
because most of the underlying loans come from several regions,
which results in the loss of all super senior tranches in ABS
Collateralized Debt Obligations (CDOs) during the financial crisis.
Structured Investment Vehicles (SIV) issued less than 30 ABS CDO
and all products defaulted during the financial crisis. The main
reason is that the rating agencies did not have appropriate
assessment and controls on risks of SIV.

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