企业风险管理(中英文

Interest rate risk 利率风险
– U. S. Savings and Loans – 1980s 美存储信贷局
Borrowing short 借款短期利率 Lending long 贷款长期利率
Commodity price risk 商品价格风险
– Continental Airlines – 1990 大陆航空公司
Option Contracts 期权合约
Options provide the right, but not the obligation, to buy or sell an asset at a fixed price
期权提供权利而不是义务进行一定价格的买卖资产 – Call option is right to buy 买进期权取得买进权利 – Put option is right to sell 卖出期权取得卖出权利 Options are one sided agreements 期权是单方协定
Exercising the option forces the seller to perform
出售者有义务应购买者要求履行期权合约
Expiration date is the date at which the option ceases to exist 过期日是期权失效之日
New Elements of Risk – 1990s
对风险模型的关注不断增长
ERM Risk Categories 风险分类
Common risk allocation 风险分布 Hazard risk 灾难风险 Financial risk 金融风险 Operational risk 运营风险 Strategic risk 战略风险 Bank view – New Basel Accord Credit risk 信用风险
90年代风险中的新元素
Failure to manage derivatives appropriately
不恰当地管理金融衍生物
Financial model failures 金融模型失败 Improper accounting for derivatives
对于衍生物的不适当的会计记账手段
远期合约是在交易双方中,规定一方必须卖出,一方必须 买进资产的交易
The exchange takes place in the future
交割发生在将来
The price is fixed today 价格在交易时确定 No payment is made until maturity 交割日前不需付款 The buyer has a gain if the asset value increases
在60 年代正式发展为一个领域
Focused on "pure" risks 集中于"纯"风险 Loss/no loss situation 损失/无损失情况 Often could be insured 经常可以被保险 Developed from insurance purchasing area
– Insurance, including self insurance 保险,自保 – Avoidance 避免 – Transfer 转移
Financial Risk 金融风险
Components 组成
– – – – Foreign exchange rate 汇率 Equity 股票 Interest rate 利率 Commodity price 商品价格
The "New" Risk Management - 1990s and 来自百度文库eyond
90年代以后的"新式"风险管理
Enterprise Risk Management 企业风险管理
– Initial focus on avoiding derivative disasters
最初致力于避免衍生工具带来的灾难
如果资产增值,买方获利
Futures Contracts 期货合约
A future obligates one party to buy and another to sell a specified asset in the future at a price agreed on today 一份期货合约规定交易双方必须在将来某一时间以
Fuel costs not hedged 没有做到燃料价格对冲 Oil price doubled with Gulf War 海湾战争石油价格加倍
The "New" Risk Management -1980s
"新式"风险管理
Financial risk management 金融风险管理 Dealt with financial risk 面对金融风险 Foreign exchange risk 外汇风险 Interest rate risk 利率风险 Equity risk 股票风险 Commodity price risk 商品价格风险 Use derivatives to hedge financial risk
Oil price fluctuations of the 1970s 70年代石油价格的波动 Equity risk 股票风险 Development of option markets - 1973 期权市场的发展 Interest rate risk 利率风险 U. S. Federal Reserve Board policy shift – 1979
Margin accounts must maintained
交纳保证金并维持在一固定水平
Swap Contracts 掉期交易合约
An agreement between two parties to exchange (or swap) periodic cash flows
一份在交易双方进行周期性现金流交换的协定
伊利诺伊大学金融学教授
Presented at Shanghai University of Finance & Economics
上海财经大学
July 3, 2006
What is ERM?
ERM is the application of basic risk management principles to all risks facing an organization ERM 是针对企业面临的所有风险进行风险管理 Other names for ERM 又称 Integrated risk management 综合风险管理 Global risk management 全球风险管理
美联储委员会政策变动
Failure to Manage Financial Risk
管理金融风险的失败例子 Foreign exchange risk 外汇风险
– Laker Airlines – 1970s 湖人航空公司
Borrowing in dollars 以美元借款 Revenue in pounds 以英镑收入
Basic Risk Management Principles
基本风险管理原则 1. Identifying loss exposures 风险损失认定 2. Measuring loss exposures 损失衡量 3. Evaluating the different methods for handling risk 对于风险处理不同方法的评估
Mismanagement of Financial Risk
金融风险的不妥当管理 Mismanagement of derivatives 衍生物的不善管理
– Gibson Greetings – Barings Bank 巴林银行 – Orange County, California 橙县,加州 Model failure 金融模型失败 – Long Term Capital Management 长期资本管理 Accounting improprieties 不适当做账 – Enron 安然公司 – Arthur Andersen 安达信公司
At each payment date, only the net value of cash flows is exchanged 只在每个交割日交易净现金流 The cash flows are based on a notional principal or notional amount 现金流基于名义本金交易量进行计算 The notional amount is only used to determine the cash flows 名义交易量只用来确定现金流
发展于保险购买领域
New Elements of Risk – 1970s
70年代风险中的新元素 Foreign exchange risk 外汇风险 End of Bretton Woods agreement in 1972
1972年布雷顿森林制度协定的解体 Commodity price risk 商品价格风险
Risk assumption 风险设定 Risk transfer 风险转移 Risk reduction 风险减少
4. Selecting a method 选择一种方法 5. Monitoring results 监控结果
Where Did ERM Come From?
ERM 起源
Traditional risk management 传统风险管理 Formally developed as a field in the 1960s
Enterprise Risk Management
企业风险管理
Steve D'Arcy
史蒂夫达尔希
Chairman of the Board of the Casualty Actuarial Society
财险精算协会董事会主席
Professor of Finance at the University of Illinois
双方协商约定的价格,买方购买,卖方出售一定量的资产
Futures are standardized contracts traded on organized exchanges
期货是标准合约,并在专门的期货交易所进行的交易
Price changes are settled each day
根据价格变化每日结算
– Developing into optimizing firm value
发展到最优化公司价值
Chief Risk Officer 设立首席风险执行官 Sarbanes-Oxley Act in the U. S. – 2002 SOX法案 Increased focus on risk models
– Loan and counterparty risk 信贷风险 Market risk (financial risk) 市场(金融)风险
Operational risk 运营风险
Hazard Risk 灾难风险
"Pure" loss situations "纯"损失状况 Property 财产 Liability 责任险 Employee related 与雇员有关 Independence of separate risks 风险独立可分别对待 Risks can generally be handled by 处理方式
利用金融衍生物对冲金融风险
Financial Risk Management Toolbox
金融风险管理工具
Forwards 远期 Futures 期货 Swaps 掉期交易 Options 期权
Forward Contracts 远期合约
A forward contract obligates one party to sell and another party to buy an asset