risk management programs

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1、CHAPTER33RISK-MANAGEMENTPROGRAMS∗MaartenNederlofThepanicaboutderivativeshasledtoacallforincreasedregulation,butanyregu-lationshouldbeconsistentacrossdifferentinstrumentsandshouldnotsingleoutderivatives.Changesindomesticandinternationalfinancialmarketshaveintro-ducedmanynewrisks,andmanagers

2、needtodevelopeffectivestrategiestomanagethem.Thefiveaxiomsofaneffectiverisk-managementprogramare:(1)donotrelysolelyonquantitativemodels;(2)ask“WhatifIamwrong?”(3)ensurethataccountabilityandauthoritymatch;(4)revisestrategiesandpoliciesconstantly;and(5)addresstheleastlikelyevents,whichoftenc

3、ausethemostdamage.Risk,inandofitself,isnotbad.Investmentmanagershavetotakesomerisktoobtainreturnsinexcessofabenchmark.Whatisbadisriskthatismispriced,mismanaged,ormisunderstood.Particularlyfrighteningistheunknownrisktheriskthatsomethingmighthappenthathasneverhappenedbeforeandthepotentiallo

4、ssassociatedwiththatuncer-tainty.Recentwell-publicizedlosseshaveputstrongpressureoninvestmentmanagerstocontrolrisk.Thepressureshavecomefromcustomers,boards,shareholders,andseniorman-agersofinvestmentfirms.Aninterestingsideeffectofthispressureistheincreasingconcernfortherisksassociatedwithd

5、erivatives.Althoughthevisiblebulkofthemoneyhasbeenlostbypublicfunds,hedgefunds,orbroker/dealers,investmentmanagementfirmshavesufferedlossesaswell.Althoughseveraldealershavedefendedtheirsaleofcomplexinstrumentstocustomersandhaveevengonetocourtontheissue,manyinvestmentmanagementfirmshavedecid

6、edtosettlequietlywiththeircustomers,withtheresultthattheirlosseshavenotreceivedthesameattentionasthelossesofbroker/dealers.Thepanicaboutderivativeshasledtoacallforincreasedregulationofriskmanagement.Althoughmostfundsbeginwithderivatives,theinvestorsfocusshouldnotbeonderivatives∗Reprintedf

7、romAIMRConferenceProceedings:RiskManagement(April1996):1524.487CH033.indd4878/28/108:41:17PM488PartIII:ManagingRiskDerivativesriskalone.Manyfirmshaveupdatedtheirpolicieswithregardtoderivatives,butfewhaveupdatedpolicieswithregardtotheirentireuniverseofinvestments.They