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

2、 exposures 風(fēng)險損失認(rèn)定Measuring loss exposures 損失衡量Evaluating the different methods for handling risk 對于風(fēng)險處理不同方法的評估Risk assumption 風(fēng)險設(shè)定Risk transfer 風(fēng)險轉(zhuǎn)移Risk reduction 風(fēng)險減少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)險管理Formally developed as

3、a field in the 1960s 在60 年代正式發(fā)展為一個領(lǐng)域Focused on “pure” risks 集中于“純”風(fēng)險Loss/no loss situation 損失/無損失情況Often could be insured 經(jīng)?？梢员槐ｋUDeveloped from insurance purchasing area 發(fā)展于保險購買領(lǐng)域New Elements of Risk 1970s70年代風(fēng)險中的新元素Foreign exchange risk 外匯風(fēng)險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 商品價格風(fēng)險Oil price fluctuations of the 1970s 70年代石油價格的波動Equity risk 股票風(fēng)險Development of option markets - 1973 期權(quán)市場的發(fā)展Interest rate risk 利率風(fēng)險U. S. Federal Reserve Board policy shift 1979 美聯(lián)儲委員會政策變動The “New” Risk Management -1980s“新式”風(fēng)險管理Financial risk management 金融風(fēng)險管理Dealt with financ

5、ial risk 面對金融風(fēng)險Foreign exchange risk 外匯風(fēng)險Interest rate risk 利率風(fēng)險Equity risk 股票風(fēng)險Commodity price risk 商品價格風(fēng)險Use derivatives to hedge financial risk 利用金融衍生物對沖金融風(fēng)險Financial Risk Management Toolbox 金融風(fēng)險管理工具Forwards 遠(yuǎn)期Futures 期貨Swaps 掉期交易Options 期權(quán)Futures Contracts 期貨合約A future obligates one party to buy

6、 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某一時間以雙方協(xié)商約定的價格，買方購買，賣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，并在專門的期貨交易所進(jìn)行的交易Price changes are settled each day 根據(jù)價格變化每日結(jié)算Margin accounts must maintained 交納保證金并維持

7、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 只在每個交割日交易凈現(xiàn)金流The 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

8、amount is only used to determine the cash flows 名義交易量只用來確定現(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)行一定價格的買賣資產(chǎn)Call option is right to buy 買進(jìn)期權(quán)取得買進(jìn)權(quán)利Put option is right to sell 賣出期權(quán)取得賣出權(quán)利Options are one sided agreem

9、ents 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)購買者要求履行期權(quán)合約Expiration date is the date at which the option ceases to exist 過期日是期權(quán)失效之日Mismanagement of Financial Risk金融風(fēng)險的不妥當(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Mo

10、del failure 金融模型失敗Long Term Capital Management 長期資本管理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)險管理Enterprise Risk Management 企業(yè)風(fēng)險管理Initial focus on avoiding derivative disasters 最初致力于避免衍生工具帶來的災(zāi)難Developing into optimizing firm

11、 value 發(fā)展到最優(yōu)化公司價值Chief Risk Officer 設(shè)立首席風(fēng)險執(zhí)行官Sarbanes-Oxley Act in the U. S. 2002 SOX法案Increased focus on risk models 對風(fēng)險模型的關(guān)注不斷增長Hazard Risk 災(zāi)難風(fēng)險“Pure” loss situations “純”損失狀況Property 財(cái)產(chǎn)Liability 責(zé)任險Employee related 與雇員有關(guān)Independence of separate risks 風(fēng)險獨(dú)立可分別對待Risks can generally be handled by 處理方式

12、Insurance, including self insurance 保險，自保Avoidance 避免Transfer 轉(zhuǎn)移Financial Risk 金融風(fēng)險Components 組成Foreign exchange rate 匯率Equity 股票Interest rate 利率Commodity price 商品價格Correlations among different risks 不同風(fēng)險的相互作用Use of hedges, reinsurance or risk transfer 使用對沖, 再保險或風(fēng)險轉(zhuǎn)移Securitization 證券化Operational Ris

13、k 運(yùn)營風(fēng)險Causes of operational risk 起因Internal processes 內(nèi)部流程People 人Systems 制度Examples 例子Product recall 回收產(chǎn)品Customer satisfaction 顧客滿意度Information technology 信息技術(shù)Labor dispute 勞工爭執(zhí)Management fraud管理層舞弊Strategic Risk 戰(zhàn)略風(fēng)險ExamplesCompetition 競爭Regulation 法規(guī)Technological innovation 技術(shù)創(chuàng)新Political impedime

14、nts 政治障礙ERM Approach 方法與措施Aggregate Risk Management 綜合風(fēng)險管理Hazard Risk Hurricanes 颶風(fēng) Lawsuits 法律糾紛 Injuries 工傷Financial Risk Credit Risk 信用 Market Risk 市場 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 競爭Evolution of ERM 步驟Contro

15、l function 風(fēng)險控制How much can we lose? 可以承受多少損失Risk adjusted returns 風(fēng)險調(diào)整后的收益Capital allocation 資金分配Compensation 補(bǔ)償基金B(yǎng)onuses 獎勵基金Optimization 最優(yōu)化Maximize shareholder value 股東價值最大化 Vision of the future 預(yù)測將來Increased Use of Risk Models風(fēng)險模型使用率的增加Technological advances 技術(shù)提高Theoretical advances 理論發(fā)展Allocat

16、ion of economic capital 經(jīng)濟(jì)資本的分配Used for divisional profitability 部門利潤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Understand technology 理解技術(shù)Communication skills 交流技巧Future of ERM 未來ERM will continue as risk consolidation and aggregation ERM將繼續(xù)作為集中、綜合管理Process increases value of risk management skills 實(shí)行過程中將增加風(fēng)險管理技能的價值Management is concerned with risk control issues 管理與風(fēng)險控制緊密結(jié)合Ch