在21世纪度量金融风险【10页】.pdfVIP

Measuring Financial Risk in the 21st Century LESLIE RAHL AND ZOUBAIR ESSEGHAIER LESLIE RAHL is president and ZOUBAIR ESSEGHAIER is an associate at Capital Market Risk Advisors, Inc., New York. SPRING 2000 The Russian-inspired correction has brought a brutal reminder to financial institutions that global finance is all about risk taking, and risk management remains not a science but an art. Over the past decade or so, the markets have seen one debacle after another, each of which has brought its lessons-from some of which the markets have learned and from many of which the markets still need to learn. The 1987 crash taught markets the dangers of automated trading models and the second and third-order effects of a credit crisis (that is, repo market). In 1990, Wall Street learned the horrors of holding huge illiquid investments when the meltdown in the junk market left billions of dollars of hung bridge loans. In 1994’s spectacular bond market collapse, financial executives saw for the first time how correlated global markets had become as the fallout from Federal Reserve Board rate hikes swept from the U.S. through Europe, before devastating Mexico and other emerging markets. In late 1998 and 1999, everyone went back to school. One “bailed-out” hedge fund (or was it really a prepackaged bankruptcy?), more than a dozen smoldering economies, and hundreds of billions of dollars in paper losses later, investors have renewed their acquaintance with Wall Street’s appetite for risk. The Russian meltdown in August 1998 was widespread and mounting. Banks and brokerage firms took turns announcing trading losses from emerging markets, high yield, equities, or dealings with hedge funds. Finance has never been so competitive, so far-flung, and so quantitative. Information flow has never been so fast. Spreads in such mainstream businesses as underwriting have been shrinking for years, even as firms battle commoditization by spending to develop new markets and products. To keep the