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
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
Basic Risk Management Principles
基本风险管理原则
Identifying loss exposures 风险损失认定
Measuring loss exposures 损失衡量
Evaluating the different methods for handling risk 对于风险处理不同方法的评估
Risk assumption 风险设定
Risk transfer 风险转移
Risk reduction 风险减少
Selecting a method 选择一种方法
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
The “New” Risk Management - 1990s and beyond
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
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
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
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
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
Correlations among different risks
不同风险的相互作用
Use of hedges, reinsurance or risk transfer
使用对冲, 再保险或风险转移
Securitization 证券化
Operational Risk 运营风险
Causes of operational risk 起因
Internal processes 内部流程
People 人
Systems 制度
Examples 例子
Product recall 回收产品
Customer satisfaction 顾客满意度
Information technology 信息技术
Labor dispute 劳工争执
Management fraud 管理层舞弊
Strategic Risk 战略风险
Examples
Competition 竞争
Regulation 法规
Technological innovation 技术创新
Political impediments 政治障碍
ERM Approach 方法与措施
Aggregate Risk Management 综合风险管理
Hazard Risk
Hurricanes
飓风
Lawsuits
法律纠纷
Injuries
工伤
Financial Risk
Credit Risk
信用
Market Risk
市场
Interest Rates
利率
Operational Risk
Internal Fraud
内部舞弊
Recalls 取消
Strategic Risk
Regulation
法规
Reputation
声誉
Competition
竞争
Evolution of ERM 步骤
Control function 风险控制
How much can we lose? 可以承受多少损失
Risk adjusted returns 风险调整后的收益
Capital allocation 资金分配
Compensation 补偿基金
Bonuses 奖励基金
Optimization 最优化
Maximize shareholder value 股东价值最大化
Vision of the future 预测将来
Impediments to Effective ERM
有效执行ERM的障碍
Risk models and technology 风险模型和技术
Organization 组织
Motivation 动机
Operating infrastructure 操作设施
Data problems 数据问题
Regional fiefdoms 地域限制问题
High failure rate of IT projects IT项目的高失败率
Increased Use of Risk Models
风险模型使用率的增加
Technological advances 技术提高
Theoretical advances 理论发展
Allocation of economic capital 经济资本的分配
Used for divisional profitability 部门利润
Impacts bonuses 影响奖金
Dueling models 众多模型中优胜劣汰
Chief Risk Officer 首席风险执行官
Reports to CFO, CEO or Board
向首席财务官、首席执行官或董事会报告
Responsible for managing all aspects of risk
负责管理公司所有方面的风险
Understand technology 理解技术
Communication skills 交流技巧
How ERM Can Increase Firm Value
ERM怎样增加公司价值
Process can focus on protecting
Value 价值
Cash flows 现金流
Earnings 利润
Cannot protect all three at once 不能同时保证三项
Examples
Reducing taxes is earnings based strategy
减税以保证利润是基于策略上的措施
Insuring to prevent assets from declining is value based
保险以避免资产减少是基于价值上的措施
Hedging to maintain internal funding sources is cash flow based 对冲以保持内部资金正常运作是基于现金流的措施
Future of ERM 未来
ERM will continue as risk consolidation and aggregation
ERM将继续作为集中、综合管理
Process increases value of risk management skills
实行过程中将增加风险管理技能的价值
Management is concerned with risk control issues
管理与风险控制紧密结合
Chief Risk Officer will be a visible figure in an organization
首席风险执行官将在公司中显示重要作用
Many paths to CRO, diverse skills required
许多途径通向CRO, 需要多方面技能
ERM’s role in optimization has a long way to go
ERM再最优化中的角色还有很长的路要走
Potential benefit is worth pursuing for pioneers
潜在利益值得追求
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