1、Enterprise Risk Management企業(yè)風(fēng)險(xiǎn)管理What is ERM?ERM is the application of basic risk management principles to all risks facing an organizationERM 是針對(duì)企業(yè)面臨的所有風(fēng)險(xiǎn)進(jìn)行風(fēng)險(xiǎn)管理Other names for ERM 又稱(chēng)Integrated risk management 綜合風(fēng)險(xiǎn)管理Global risk management 全球風(fēng)險(xiǎn)管理Basic Risk Management Principles基本風(fēng)險(xiǎn)管理原則Identifying loss

2、 exposures 風(fēng)險(xiǎn)損失認(rèn)定Measuring loss exposures 損失衡量Evaluating the different methods for handling risk 對(duì)于風(fēng)險(xiǎn)處理不同方法的評(píng)估Risk assumption 風(fēng)險(xiǎn)設(shè)定Risk transfer 風(fēng)險(xiǎn)轉(zhuǎn)移Risk reduction 風(fēng)險(xiǎn)減少Selecting a method 選擇一種方法Monitoring results監(jiān)控結(jié)果Where Did ERM Come From?ERM 起源Traditional risk management 傳統(tǒng)風(fēng)險(xiǎn)管理Formally developed as

3、a field in the 1960s 在60 年代正式發(fā)展為一個(gè)領(lǐng)域Focused on “pure” risks 集中于“純”風(fēng)險(xiǎn)Loss/no loss situation 損失/無(wú)損失情況Often could be insured 經(jīng)?？梢员槐ｋU(xiǎn)Developed from insurance purchasing area 發(fā)展于保險(xiǎn)購(gòu)買(mǎi)領(lǐng)域New Elements of Risk 1970s70年代風(fēng)險(xiǎn)中的新元素Foreign exchange risk 外匯風(fēng)險(xiǎn)End of Bretton Woods agreement in 1972 1972年布雷頓森林制度協(xié)定的解體Co

4、mmodity price risk 商品價(jià)格風(fēng)險(xiǎn)Oil price fluctuations of the 1970s 70年代石油價(jià)格的波動(dòng)Equity risk 股票風(fēng)險(xiǎn)Development of option markets - 1973 期權(quán)市場(chǎng)的發(fā)展Interest rate risk 利率風(fēng)險(xiǎn)U. S. Federal Reserve Board policy shift 1979 美聯(lián)儲(chǔ)委員會(huì)政策變動(dòng)Failure to Manage Financial Risk 管理金融風(fēng)險(xiǎn)的失敗例子Foreign exchange risk 外匯風(fēng)險(xiǎn)Laker Airlines 1970

5、s 湖人航空公司Borrowing in dollars 以美元借款Revenue in pounds 以英鎊收入Interest rate risk 利率風(fēng)險(xiǎn)U. S. Savings and Loans 1980s 美存儲(chǔ)信貸局Borrowing short 借款短期利率Lending long 貸款長(zhǎng)期利率Commodity price risk 商品價(jià)格風(fēng)險(xiǎn)Continental Airlines 1990 大陸航空公司Fuel costs not hedged 沒(méi)有做到燃料價(jià)格對(duì)沖Oil price doubled with Gulf War 海灣戰(zhàn)爭(zhēng)石油價(jià)格加倍The “New”

6、Risk Management -1980s“新式”風(fēng)險(xiǎn)管理Financial risk management 金融風(fēng)險(xiǎn)管理Dealt with financial risk 面對(duì)金融風(fēng)險(xiǎn)Foreign exchange risk 外匯風(fēng)險(xiǎn)Interest rate risk 利率風(fēng)險(xiǎn)Equity risk 股票風(fēng)險(xiǎn)Commodity price risk 商品價(jià)格風(fēng)險(xiǎn)Use derivatives to hedge financial risk 利用金融衍生物對(duì)沖金融風(fēng)險(xiǎn)Financial Risk Management Toolbox 金融風(fēng)險(xiǎn)管理工具Forwards 遠(yuǎn)期Futures

7、期貨Swaps 掉期交易Options 期權(quán)Forward Contracts 遠(yuǎn)期合約A forward contract obligates one party to sell and another party to buy an asset 遠(yuǎn)期合約是在交易雙方中，規(guī)定一方必須賣(mài)出，一方必須買(mǎi)進(jìn)資產(chǎn)的交易The exchange takes place in the future 交割發(fā)生在將來(lái)The price is fixed today 價(jià)格在交易時(shí)確定No payment is made until maturity 交割日前不需付款The buyer has a gain i

8、f the asset value increases 如果資產(chǎn)增值，買(mǎi)方獲利Futures Contracts 期貨合約A future obligates one party to buy and another to sell a specified asset in the future at a price agreed on today 一份期貨合約規(guī)定交易雙方必須在將來(lái)某一時(shí)間以雙方協(xié)商約定的價(jià)格，買(mǎi)方購(gòu)買(mǎi)，賣(mài)方出售一定量的資產(chǎn)Futures are standardized contracts traded on organized exchanges 期貨是標(biāo)準(zhǔn)合約，并在專(zhuān)門(mén)

9、的期貨交易所進(jìn)行的交易Price changes are settled each day 根據(jù)價(jià)格變化每日結(jié)算Margin accounts must maintained 交納保證金并維持在一固定水平Swap Contracts 掉期交易合約An agreement between two parties to exchange (or swap) periodic cash flows 一份在交易雙方進(jìn)行周期性現(xiàn)金流交換的協(xié)定At each payment date, only the net value of cash flows is exchanged 只在每個(gè)交割日交易凈現(xiàn)金流T

10、he cash flows are based on a notional principal or notional amount 現(xiàn)金流基于名義本金交易量進(jìn)行計(jì)算The notional amount is only used to determine the cash flows 名義交易量只用來(lái)確定現(xiàn)金流Option Contracts 期權(quán)合約Options provide the right, but not the obligation, to buy or sell an asset at a fixed price 期權(quán)提供權(quán)利而不是義務(wù)進(jìn)行一定價(jià)格的買(mǎi)賣(mài)資產(chǎn)Call opt

11、ion is right to buy 買(mǎi)進(jìn)期權(quán)取得買(mǎi)進(jìn)權(quán)利Put option is right to sell 賣(mài)出期權(quán)取得賣(mài)出權(quán)利Options are one sided agreements 期權(quán)是單方協(xié)定Exercising the option forces the seller to perform 出售者有義務(wù)應(yīng)購(gòu)買(mǎi)者要求履行期權(quán)合約Expiration date is the date at which the option ceases to exist 過(guò)期日是期權(quán)失效之日New Elements of Risk 1990s90年代風(fēng)險(xiǎn)中的新元素Failure to m

12、anage derivatives appropriately 不恰當(dāng)?shù)毓芾斫鹑谘苌颋inancial model failures 金融模型失敗Improper accounting for derivatives 對(duì)于衍生物的不適當(dāng)?shù)臅?huì)計(jì)記賬手段Mismanagement of Financial Risk金融風(fēng)險(xiǎn)的不妥當(dāng)管理Mismanagement of derivatives 衍生物的不善管理Gibson Greetings Barings Bank 巴林銀行Orange County, California 橙縣，加州Model failure 金融模型失敗Long Term C

13、apital Management 長(zhǎng)期資本管理Accounting improprieties 不適當(dāng)做賬Enron 安然公司Arthur Andersen 安達(dá)信公司The “New” Risk Management - 1990s and beyond90年代以后的“新式”風(fēng)險(xiǎn)管理Enterprise Risk Management 企業(yè)風(fēng)險(xiǎn)管理Initial focus on avoiding derivative disasters 最初致力于避免衍生工具帶來(lái)的災(zāi)難Developing into optimizing firm value 發(fā)展到最優(yōu)化公司價(jià)值Chief Risk O

14、fficer 設(shè)立首席風(fēng)險(xiǎn)執(zhí)行官Sarbanes-Oxley Act in the U. S. 2002 SOX法案Increased focus on risk models 對(duì)風(fēng)險(xiǎn)模型的關(guān)注不斷增長(zhǎng)ERM Risk Categories 風(fēng)險(xiǎn)分類(lèi)Common risk allocation 風(fēng)險(xiǎn)分布Hazard risk 災(zāi)難風(fēng)險(xiǎn)Financial risk 金融風(fēng)險(xiǎn)Operational risk 運(yùn)營(yíng)風(fēng)險(xiǎn)Strategic risk 戰(zhàn)略風(fēng)險(xiǎn)Bank view New Basel Accord Credit risk 信用風(fēng)險(xiǎn)Loan and counterparty risk 信貸風(fēng)

15、險(xiǎn)Market risk (financial risk) 市場(chǎng)(金融)風(fēng)險(xiǎn)Operational risk運(yùn)營(yíng)風(fēng)險(xiǎn)Hazard Risk 災(zāi)難風(fēng)險(xiǎn)“Pure” loss situations “純”損失狀況Property 財(cái)產(chǎn)Liability 責(zé)任險(xiǎn)Employee related 與雇員有關(guān)Independence of separate risks 風(fēng)險(xiǎn)獨(dú)立可分別對(duì)待Risks can generally be handled by 處理方式Insurance, including self insurance 保險(xiǎn)，自保Avoidance 避免Transfer 轉(zhuǎn)移Financia

16、l Risk 金融風(fēng)險(xiǎn)Components 組成Foreign exchange rate 匯率Equity 股票Interest rate 利率Commodity price 商品價(jià)格Correlations among different risks 不同風(fēng)險(xiǎn)的相互作用Use of hedges, reinsurance or risk transfer 使用對(duì)沖, 再保險(xiǎn)或風(fēng)險(xiǎn)轉(zhuǎn)移Securitization 證券化Operational Risk 運(yùn)營(yíng)風(fēng)險(xiǎn)Causes of operational risk 起因Internal processes 內(nèi)部流程People 人System

17、s 制度Examples 例子Product recall 回收產(chǎn)品Customer satisfaction 顧客滿(mǎn)意度Information technology 信息技術(shù)Labor dispute 勞工爭(zhēng)執(zhí)Management fraud管理層舞弊Strategic Risk 戰(zhàn)略風(fēng)險(xiǎn)ExamplesCompetition 競(jìng)爭(zhēng)Regulation 法規(guī)Technological innovation 技術(shù)創(chuàng)新Political impediments 政治障礙ERM Approach 方法與措施Aggregate Risk Management 綜合風(fēng)險(xiǎn)管理Hazard Risk Hu

18、rricanes 颶風(fēng) Lawsuits 法律糾紛 Injuries 工傷Financial Risk Credit Risk 信用 Market Risk 市場(chǎng) Interest Rates 利率Operational Risk Internal Fraud 內(nèi)部舞弊 Recalls 取消Strategic Risk Regulation 法規(guī) Reputation 聲譽(yù) Competition 競(jìng)爭(zhēng)Evolution of ERM 步驟Control function 風(fēng)險(xiǎn)控制How much can we lose? 可以承受多少損失Risk adjusted returns 風(fēng)險(xiǎn)調(diào)整后

19、的收益Capital allocation 資金分配Compensation 補(bǔ)償基金B(yǎng)onuses 獎(jiǎng)勵(lì)基金Optimization 最優(yōu)化Maximize shareholder value 股東價(jià)值最大化 Vision of the future 預(yù)測(cè)將來(lái)Impediments to Effective ERM有效執(zhí)行ERM的障礙Risk models and technology 風(fēng)險(xiǎn)模型和技術(shù)Organization 組織Motivation 動(dòng)機(jī)Operating infrastructure 操作設(shè)施Data problems 數(shù)據(jù)問(wèn)題Regional fiefdoms 地域限制

20、問(wèn)題High failure rate of IT projects IT項(xiàng)目的高失敗率Increased Use of Risk Models風(fēng)險(xiǎn)模型使用率的增加Technological advances 技術(shù)提高Theoretical advances 理論發(fā)展Allocation of economic capital 經(jīng)濟(jì)資本的分配Used for divisional profitability 部門(mén)利潤(rùn)Impacts bonuses 影響?yīng)劷餌ueling models 眾多模型中優(yōu)勝劣汰Chief Risk Officer 首席風(fēng)險(xiǎn)執(zhí)行官Reports to CFO, CEO or Board 向首席財(cái)務(wù)官、首席執(zhí)行官或董事會(huì)報(bào)告Responsible for managing all aspects of risk 負(fù)責(zé)管理公司所有方面的風(fēng)險(xiǎn)Understand technology 理解技術(shù)Communication skills 交流技巧How ERM Can Increase Firm Value ERM怎樣增加公司價(jià)值Process can focus on protecting Value 價(jià)值Cash flows 現(xiàn)金流Earnings 利潤(rùn)C(jī)annot protect all three at once 不能同時(shí)保證三項(xiàng)Example