1、 1 外文翻译 原文 Risk Management Systems, Systemic Risk and the Credit Crisis Material Source:wanfang data knowledge platform Author: Frank Milne I am indebted to David Laidler and Finn Poschmann for suggesting and commenting on this paper. I am also indebted to John Crean for discussions on these issues
2、over many years; and his detailed comments on earlier drafts. I have benefited from comments from the participants of the discussion at a C.D.Howe conference; and from comments by Douglas Gale, Prasanna Gai and James Thompson. The Study in Brief The recent credit market crisis reflects system-wide p
3、roblems in the trading and hedging of credit risks. It started in the US mortgage market, but is spreading more generally into other credit markets. Perceived counter-party risks between financial institutions have risen, impairing the operation of credit markets. It is an international, systemic pr
4、oblem, becoming more serious rather than less as time has passed. The interaction between the financial and real sectors may act as a multiplier mechanism increasing the risk and depth of a recession in Western economies. Short-run policy responses would see central banks and financial regulators ma
5、king difficult trade-offs in ensuring the availability of liquidity and the continued functioning of credit markets on one hand, while avoiding reinforcing the moral hazard issues that are among the roots of the current crisis. Amid all this, Canada is a small player, integrated into the US economy.
6、 Canada should act to ameliorate the impact of the financial crisis and accompanying real downturn. This will require careful coordination and cooperation with US and international regulators. In the long run, a serious analysis of the current crisis is needed, and proper review of the current finan
7、cial systems strengths and weaknesses. New regulation and risk management practices may be required. Given the amount of uncertainty over the seriousness of losses and the impact on the real economy, it remains early 2 for drawing strong policy conclusions. Overview The recent international debt cri
8、sis, which emerged in the US in the last half of 2007, quickly spread to Germany, the UK, Canada and Australia, with symptoms in other countries. Notwithstanding widespread media commentary, the roots of the crisis are not entirely clear, nor are its remedies. The stresses on the credit system have
9、had serious impacts on the US housing market, inter-bank markets have contracted, and a run on a UK bank created hardship for depositors and public embarrassment for the UK Financial Services Authority and the Bank of England Over time, as the credit contraction spread and interacted with the real e
10、conomy in the US, fears of a US and possibly an international recession have risen. I will argue that a few researchers, bankers and regulators, saw the genesis of the problem in new methods of debt funding. It is very easy to be wise after the event, but these critics had the basic elements of a cr
11、itique in place. Their critique is not complete, and its gaps, which I will discuss, are important for a deeper analysis, and especially when it comes to remedies. We must be cautious about rushing to regulatory reforms, before laying bare the full set of issues and possible policy remedies. The imp
12、lications of regulatory reforms can be subtle and long-lived; and so that policies that promise a short-run quick fix can, in the longer run, merely create deeper and more serious problems. I will argue that the credit crisis was engendered by a clash of two different models of debt funding. One vie
13、w was that securitization in liquid credit markets was making obsolete traditional banking concerns about asymmetric information, uncertainty (as opposed to risk) and illiquid markets. The other view was that traditional banking concerns were still an important part of the system, and that increasin
14、g securitization had merely hidden traditional banking problems. Each view has its own theoretical adherents, institutional and empirical analysis. These conflicting mindsets met inside Financial Institutions (FIs) in their trading strategies, Risk Management (RM) departments, and especially inside
15、regulatory bodies. These views are not simple to integrate within large, complex risk management systems some approaches amount to an ad hoc attempt to modify the RM systems to incorporate realities that basic models assume away. To compensate for the incompleteness and deficiencies of their models,
16、 risk managers require careful judgment and long experience, and are required to understand the models and question their parameter estimates. 3 Regulators see a two part process: first they must check the integrity of FI risk management systems; and secondly, perform the very difficult task of eval
17、uating and acting to eliminate or mitigate systemic risks. Given the increased complexity of FI investment activities, both tasks have become increasingly challenging. To understand these problems, and possible reactions (including regulatory reforms), one must understand the basic theoretical and p
18、ractical elements that underlie RM systems and banking practice. Each area has advanced dramatically in the last three decades, building on the solid foundation of traditional banking and RM theory and practice. The current credit crisis is an unfortunate by-product of this rapid progress. The progr
19、ess has been on two fronts: there has been a rapid theoretical and empirical advance in the area of trading and hedging derivatives, credit instruments, etc. which were integrated into the trading, and complimentary RM, systems in FIs. In turn these innovations have impacted on organizational struct
20、ures and the demand for new types of professional skills. Traditional risk managers have had to adapt to major changes in mathematical modeling skills, new computer systems and very large data sets, the introduction of new financial products with their associated risk, hedging and legal complexities
21、, and newregulatory requirements that rely on the evolving RM systems. Indeed, modern regulation relies heavily on regulators monitoring the RM systems in FIs and basing capital requirements on the output of the models. This process can lead to gaming the system and is one of several components at t
22、he heart of the credit crisis. This paper progresses as follows. I will provide a brief sketch the underlying RM model for any financial institution showing that it relies on fundamental ideas in security pricing, credit analysis, derivative pricing and hedging. In particular, I will show how these
23、basic ideas have been used to model, hedge and price credit instruments. (In the appendix, there is amore technical discussion of the evolution of these models and the issues involved.) I will sketch standard difficulties for any FI attempting to implement these theoretical models and incorporate th
24、em into an RM system. These difficulties are well-known in the RM literature and practice. Given the relatively recent development of complex credit instruments, the models rely on assumptions requiring liquid markets to hedge and price these instruments. These assumptions were introduced so as to m
25、imic theory and practice in equity markets. The implicit assumption appeared to be that securitization would lead to greater liquidity and 4 transparency. In reality some of these markets were fundamentally not very liquid or transparent, but this was masked in the US and UK by a housing boom and ve
26、ry low default rates. Exuberance, naive buyers and the lure of large returns allowed many to ignore the problems lurking in the models, ignore the warning signs signaled by central banks and others, and to skimp on due diligence. As the US housing market began to decline, the assumptions and paramet
27、er assumptions in the models, and the construction of credit instruments and their packaging came into question. Lack of transparency became an increasing issue, liquidity in these credit markets disappeared, as buyers refused to buy these assets except at deep discounts. The real problem was not so
28、 much a lack of liquidity, but a very serious credit problem compounded by a lack of transparency. A serious issue that worries banking regulators is the existence of perverse incentives that can be introduced by banking regulation, capital requirements or, worse, the perception that a very large FI
29、 is “Too Big to Fail.” We will explore these issues below. The credit crisis is having serious consequences for the US real economy, especially housing and consumer durable markets. Some researchers have predicted that there would be credit problems in those markets for the reasons given above. An i
30、mportant policy issue is to address the problems in these US markets so as to minimize disruption and allow the markets to return to some normalcy. If this is not successful, then there are fears that the credit problemswill multiply, spread internationally into a major systemic credit crisis that w
31、ill cause an international recession. Some central banks and financial regulators have been trying to model systemic risks. The fear is that market disruption in one financial sector can be transmitted to other sectors or across national borders. Drawing on recent models of financial crises, central
32、 banks and regulators have constructed a sequence of increasingly sophisticated models of banking systems where one can analyze financial shocks to a bank, and track possible contagion by iterative procedures. This approach can be supplemented with non-modeled details (e.g., financial workouts) wher
33、e risk managers and regulator game out scenarios of possible crises. These games are new and rudimentary, but can they be very important in warning of possible sources and scale of previously unperceived risks. I will concentrate on the US, UK and European markets, which dominate the international f
34、inancial system. I will conclude with some comments on the Canadian 5 situation. The Canadian financial system, rather like Australia, is a relatively small player and will respond to the risks in the larger system. There are some issues, the Asset Backed Commercial Paper (ABCP) problems for example
35、, which are symptoms of the larger systemic problems. To focus narrowly on that work-out is to miss very serious and longer run risks. Finally I attempt to derive some lessons, policy conclusions, and discuss some unresolved issues that require careful analysis. Financial Institution Trading Strateg
36、ies: The Underlying Theory The basic FI model is the traditional asset portfolio theory that diversifies risks. There are undiversifiable risks (such as the market portfolio) and diversifiable risks that can be eliminated by taking a large portfolio. This model can be extended, with appropriate modi
37、fications to deal with government bonds of different maturities. Credit risks make their appearance if assets in the portfolio are sold short. In this case it is possible that there will be counterparty risk in addition to the usual price or market risk. RM systems attempt to deal with counterparty
38、risks, but opacity and systemic risks can make this a very difficult exercise. Derivatives can be issued and hedged by using a portfolio of underlying securities (stocks, bonds and portfolios). In reality, this is modeled simply as a dynamic factor model. Again counterparty risks can be important as
39、 hedging involves exposures to other FIs. 译文 风险管理系统，系统风险和信贷危机 资料来源 :万方数据知识平台 作者： 弗兰克米 尔恩 我很感激大卫来德勒和芬兰对本文发表的建议和评论。我还要感谢约翰克林就这些问题进行了多年的讨论，并在早起草稿中作了详细的评论。 我得益于从在 CDHowe 大会讨论的与会者的意见 ， 及由道格拉斯盖尔和詹姆斯汤普森的评论。 研究及简况 6 近期信贷市场危机反映了整个系统的问题在交易和信用风险对冲。它开始于美国抵押贷款市场，但已蔓延到其他信贷市场 使其 更加普遍。 金融机构之间的风险不断上升，削弱了信贷市场的运作。 这是一
40、个国际化，系统性的问题， 且随着时间的推移 变得更加严重。 财政政策和实际经济体之间的相互作用可以作 为一个乘数增加了西方经济不景气的风险和程序。 短期的政策反应会看到中央银行及金融监管机构难以做出权衡 , 一方面以确保触手可及的流动性和信贷市场继续运行 ,同时避免加固道德风险问题 ，即此次危机的根源 。 对美国经济来说，加拿大只是个小角色。 加拿大应采取行动 来改善经济危机和随之带来的经济低迷的影响。 这将需要与美国和国际监管机构仔细协调和合作。从长远来看，当前的危机，需要认真分析，以及 对 当前金融体系的长处和弱点进行适当审查。新的监管和风险管理措施可能是必需的。鉴于以上的损失的严重性和对
41、实体经济影响的不确定性， 提出 强有力 的政策结论 仍然为时过早 。 概述 2008 开始 的国际债务危机 ， 2007 年 下半年在美国出现，以相同的症状 迅速蔓延 到 德国，英国，加拿大和澳大利亚。尽管 有广泛的媒体 评论，危机的根源并不完全清楚，也不是它的补救措施。对信用体系 的压力 对美国的住房市场产生 了 严重影响，银行间市场收缩， 一个运行中的 英国银行 产生了提取 存款 困难和 对 英国金融服务管理局 和英国中央银行的 尴尬 。随着信贷紧缩蔓延和与美国经济实体的互动，对美国的恐惧和国际经济衰退很可能已经上升。我认为，少数学者，银行家和监管者，看到了在债务融资问题的新方法的起源。这
42、很容易被当作事后诸葛亮 但是这些批评人士批评的基本要素 ,在适当的位置上 。 他们的批评并不是完全的 ，它的差距，我将讨论，这些都是重要的 为更深入的分析，特别是当它涉及到的补救措施。我们必须对 匆忙 监管改革 保持谨慎 ， 在 揭露的问题 没有 可能的全套政策的补救措施 之前 。监管改革的影响可能是微妙和 长期的 ，以 至于 政策 只能 承诺 在 短期可以快速解决 问题 ，从长远来看，仅仅是创造更深入，更严重的问题。 我会认为，信贷危机是由两个不同型号的债务资金所产生的冲突。一种观点是，在信贷市场流动性是使过时的有关证券的信息不对称，不确定性传统的银行问题（而不是 风险）和非流动的市场。另一
43、种观点是，传统的银行忧虑仍是系统的重要组成部分，而只是被隐藏了增加证券传统银行的问题。 每个视图都有它自己的理论的信徒，体制和实证分析。这些相互矛盾的心态 体现 了他们的交易策略，风险管理（ RM）部门，特别是在金融机构内部监管机构（金融机构）。这些意见不是简单的整合在大型，复杂的风险管理系统 。 一些方法相当于一个特设试图修改系统的 RM 现实，纳入基本模型假设了。7 为了弥补他们的模型不完备和不足，风险管理人员需要仔细的判断和长期经验，并须了解他们的模型和参数估计问题。 监管 者看到一个两部分的过 程：首先，他们必须检查济风险管理系统的完整性 ;第二，执行评估和采取行动，消除或减轻系统性风
44、险的任务十分艰巨。鉴于投资活动日益复杂，这两项任务，已成为越来越具有挑战性。 要了解这些问题，（其中包括监管改革）可能出现的反应，必须了解基本的理论和实际操作的背后系统和银行的做法。每个领域拥有先进的显着，在过去三十年中，对传统银行和 RM 理论和实践的坚实基础建设。目前的信贷危机是一个不幸的，快速发展的产物。所取得的进展已 体现 在两个方面：出现了快速的理论和经验在交易及对冲衍生工具，信用工具等领域的整合 促 进了贸易的发展。反 过来，这些创新已经影响 了 的组织结构和专业技能的新的类型的需求。传统的风险管理人员必须适应重大变化 并熟悉 数学建模技能，新的计算机系统和非常大的数据集，新的金融
45、产品及其相关的风险，套期保值和法律的复杂性介绍，不断变化的系统依赖的监管要求。事实上， 这 在很大程度上依赖于现代监管监测模型的输出金融机构的资本要求。这一过程是信贷危机核心的几个组件之一 。 本文进展如下。我会提供一个简短的示意图显示，它 在 财务上依赖于安全的基本思想定价，信用分析，衍生产品定价和套期保值机构的基本模型。特别是，我将展示如何将这些基本的 想法用于建模，对冲和价格信用工具。 （在附录中，有一对这些模式的演变所涉及的问题更多的技术讨论。） 我会素描 Fi 标准 面临 的任何困难，企图实施这些理论模型，并将其纳入一个 RM 系统中。这些困难是众所周知的 ， 在 RM 文献和实践
46、中都有体现 。考虑到相对复杂的信用工具的最新发展，需要依靠模型流通市场进行套期保值。 我将对 这些假设进行介绍，以模拟股市理论与实践。隐含的假设似乎是，证券化将导致更大的流动性和透明度。这些市场在现实中根本不是很液体或透明的，但是美国和英国房地产市场的繁荣掩盖了一个非常低的违约率。繁荣，天真的大买家 和回报的诱惑让许多人忽略 了 问题，在模型中潜伏，忽略警告标志和其他央行发出信号，并克扣尽职调查。由于美国住房市场开始下滑，模型参数的假设，以及信用工具的建设和包装生效的问题 ， 缺乏透明度的问题越来越成为这些信贷市场 的突出问题 ，流动性消失了，作为购房者拒绝购买，除了高折扣这些资产。真正的问题
47、与其说是流动性不足，而是一个非常严重的信用问题， 对缺乏透明度雪上加霜。 问题的严重性在于 ，银行监管机构的忧虑是存在的不正当奖励措施可以由银行监管，更糟的是，人们认为一个非常大的 FI 是 “ 太大而不能倒闭 ” 。 这将 蔓延 成 一个重大的系 统性的信用危机，将导致国际经济衰退 。 信贷危机正在对美国实体经济，特别是住房和耐用消费品市场 产生 的严重后果。一些8 研究人员预测，将由于上述原因， 产生整个 市场的信贷问题。一 项 重要的政策，目的是要解决这些美国市场的问题，以减少干扰，让市场恢复正常。如果这没有成功，那么人们 将更 担心信贷问题 。 一些中央银行及金融监管机构一直在试图 研
48、究 模型的系统性风险。令人担忧的是，在一个市场扰乱金融部门可以传送到其他部门或跨越国界。对金融危机的最新型号绘图，中央银行和监管机构已经构建了银行系统日益复杂的模型，人们可以分析 对 公 司的财务冲击，并追踪可能的传染过程的迭代序列。这种方法可以补充与非建模的详细信息（如财务锻炼）在风险管理人员和可能的危机情况进行调节的游戏。这些游戏是新的和基本的，但它们能 对 可能的来源和以前 未被察觉的 风险预警非常重要。 我会集中于美国，英国和欧洲市场，主导国际金融体系。我将结束对加拿大的情况提出一些意见。加拿大金融体系，而像澳大利亚，是一个比较小的球员，将在更大的系统反应的风险。有一些问题，资产支持商业票据（ ABCP）的问题，这也构成了较大的系统性问题。要侧重于 了解是否产生了 非常严重和更长的运行风险。 最后，我试图得到一些教训，政策结论，并讨论了一些需要仔细分析 的 悬而未决的问题。
