衍生工具与风险管理 Don M. Chance 13

Chapter13:ManagingRiskinanOrganizationParis-basedNatexis

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Populaireshasannouncedthatithasmade“significantlosses”initsequityderivativestradingbusinessduetopoorriskcontrolandfailuresinitsvaluationmodels.Risk,January2003,p.8

D.M.ChanceCh.16:1AnIntroductiontoDerivativesandRiskManagement,6thed.ImportantConceptsinChapter16ThedifferencesbetweenthepracticeofriskmanagementbyendusersandbydealersPrinciplesofeffectiveriskmanagementinanorganizationAccountingforderivativesHowsomeorganizationslostmoneyusingderivativesResponsibilitiesofseniormanagementD.M.Chance2AnIntroductiontoDerivativesandRiskManagement,6thed.TheStructureoftheRiskManagementIndustryEndUsersFirmsthatengageinderivativestransactionstomanagetheirrisk.Mostlynon-financialcorporations,butalsopensionfunds,mutualfunds,U.S.stateandlocalgovernments,foreigngovernments,endowments,andotherprivateorganizations.Incorporationsthetreasurydepartmentisusuallyresponsibleforderivativestransactions.D.M.Chance3AnIntroductiontoDerivativesandRiskManagement,6thed.TheStructureoftheRiskManagementIndustry(continued)DealersFinancialinstitutionsthatmakeamarketinderivatives.Theystandwillingtotakeeithersideofaderivativestransaction.Theytypicallyhedgetheirriskandearnaprofitoffofthedifferencebetweentheirbuyingandsellingprices.D.M.Chance4AnIntroductiontoDerivativesandRiskManagement,6thed.TheStructureoftheRiskManagementIndustry(continued)OtherParticipantsintheRiskManagementIndustryconsultants,includingaccounting,managementconsulting,andpersonnelsearchsoftwarefirmslawfirmsD.M.Chance5AnIntroductiontoDerivativesandRiskManagement,6thed.OrganizingtheRiskManagementFunctioninaCompanyGoodriskmanagementrequiresasoundorganizationstructurethatbeginswithresponsibilityatthetop.DealersusuallyhaveanindependentriskmanagerwhoreportstotheCEO,hasaccesstorelevantinformation,andauthoritytoblockorinitiatecertaintransactions.Corporateriskmanagementshouldalsobecentralizedbutisoftendecentralized.Manycorporationsrunthetreasuryasaprofitcenter,whichisnotconducivetosoundriskmanagement.D.M.Chance6AnIntroductiontoDerivativesandRiskManagement,6thed.OrganizingtheRiskManagementFunctioninaCompany(continued)Separationoffrontofficefrombackoffice.Legalcounsel,accounting,andauditingarecritical,butaccountingandauditingdonotsubstituteforriskmanagement.Riskmanagementisacontinuousprocessrequiringregularevaluationandcomparisontoobjectives.SeeFigures16.1and16.2,p.586forexamplesoftypicaldealerandcorporateenduserorganizationcharts.Underenterpriseriskmanagement,themanagementofallrisksisunderasingleareaofresponsibility.D.M.Chance7AnIntroductiontoDerivativesandRiskManagement,6thed.RiskManagementAccountingTheconceptofhedgeaccounting:accountinginwhichgainsandlossesonderivativesaretiedtogainsandlossesonhedgedinstruments.IntheU.S.,theFinancialAccountingStandardsBoard(FASB)hasprescribedtheappropriatemethodsofaccountingforderivativeswithFAS133,AccountingforDerivativeInstrumentsandHedgingActivities.GlobalstandardsareprescribedbytheInternationalAccountingStandardsBoard(IASB)withtheirIAS39.Ingeneral,derivativesaremarkedtomarketandmustappearonfinancialstatementsD.M.Chance8AnIntroductiontoDerivativesandRiskManagement,6thed.RiskManagementAccounting(continued)FairValueHedges:Thefirmishedgingthemarketvalueofanassetorliability.Thegain/lossonthederivativeaswellastheinstrumentbeinghedgedisrecordedandreflectedincurrentearnings.Example:Firmholdssecurityandhedgeswithaderivative.Beforetheendofthehedge,thesecurityloses$100,000invalueandthederivativegains$96,000.Itdoesthefollowingentries:D.M.Chance9AnIntroductiontoDerivativesandRiskManagement,6thed.RiskManagementAccounting(continued)DebitDerivative 96,000CreditUnrealizedGainonDerivative 96,000DebitUnrealizedLossonSecurity 100,000CreditSecurity 100,000Thisaffectsnetincomeaswellasthebalancesheet.Incomedecreasesby$4,000.Assetsdecreaseby$4,000.Thesehedgesmustbeproperlyjustified,andcarefullydocumentedtobeeligibleforaccountingthisway.D.M.Chance10AnIntroductiontoDerivativesandRiskManagement,6thed.RiskManagementAccounting(continued)CashFlowHedges:Thefirmishedgingtheriskofafuturecashflow.Thederivativeismarkedtomarketandshowsonthebalancesheetbutthegain/lossshowsupinatemporaryaccount,OtherComprehensiveIncome(OCI),whichisanequityaccount.Attheendofthehedge,OCIisclosedout,andanybalanceadjuststheamountrecordedtothecashflowbeinghedged.Alsogains/lossesmustbeseparatedinto“effective”and“ineffective”components.D.M.Chance11AnIntroductiontoDerivativesandRiskManagement,6thed.RiskManagementAccounting(continued)CashFlowHedges(continued)Example:Afirmplanstoborrow$1millioninsixmonthsbyissuingadiscountnote.ItbuysanFRAtohedge.RatesgodownanditincursalossontheFRAof$10,000.EventuallytheFRAexpireswithalossof$12,000andthenoteisissuedat7%,generatingacashinflowof(1-.07)$1,000,000=$930,000.Duringtheinterim,itentersthefollowing:DebitOCI 10,000CreditFRA 10,000D.M.Chance12AnIntroductiontoDerivativesandRiskManagement,6thed.RiskManagementAccounting(continued)CashFlowHedges(continued)Whenittakesouttheloan,itentersthefollowing:DebitCash 930,000CreditNotesPayable 930,000DebitFRA 10,000DebitOCI 2,000CreditCash 12,000D.M.Chance13AnIntroductiontoDerivativesandRiskManagement,6thed.RiskManagementAccounting(continued)CashFlowHedges(continued)DebitNotesPayable 12,000CreditOCI 12,000Thus,itreceived$930,000incashandsetupaliabilityof$930,000.ItremovedtheFRAfromthebooksandrecordeda$2,000furtherlossinOCI.Itpaidout$12,000tocovertheFRAlossandzeroedoutOCI.Itreducedthenotebalanceto$918,000,reflectingthenetamountofcashitreceived.D.M.Chance14AnIntroductiontoDerivativesandRiskManagement,6thed.RiskManagementAccounting(continued)CashFlowHedges(continued)Thiswasaperfecthedge.Supposeintheinterimperiodthelosswas$11,000buttheeffectivepartwas$10,000.Thus,thegain/lossonthederivativedoesnotperfectlymatchthegain/lossonthehedgedinstrument.Itwoulddothefollowing:DebitCurrentIncome 1,000DebitOCI 10,000CreditFRA 11,000D.M.Chance15AnIntroductiontoDerivativesandRiskManagement,6thed.RiskManagementAccounting(continued)CashFlowHedges(continued)AtexpirationletthelossontheFRAbe$15,000,ofwhichonly$12,000iseffective.ThenweDebitFRA 11,000CreditOCI 11,000DebitCurrentIncome 2,000DebitOCI 1,000DebitNotesPayable 12,000CreditCash 15,000D.M.Chance16AnIntroductiontoDerivativesandRiskManagement,6thed.RiskManagementAccounting(continued)CashFlowHedges(continued)WeremovetheFRAfromliabilitiesandallbut$1,000fromOCI.WezerooutOCIandreduceCurrentIncomeby$2,000.Notespayablegoesfrom$930,000to$918,000(theNotesPayableentryaboveisthesame),reflectingalossof$12,000.Ofthe$12,000loss,theineffectivepartis$2,000,whichgoesintoCurrentIncomeandcombineswiththe$1,000lossalreadyinCurrentIncome.Thereisstillsomeuncertaintyabouthowfirmsaretoidentifyeffectiveandineffectivepartsofhedges.D.M.Chance17AnIntroductiontoDerivativesandRiskManagement,6thed.RiskManagementAccounting(continued)ForeignInvestmentHedges:Proceduresforthesehadbeenineffectforanumberofyears.CertaintransactionsqualifyforFairValueandCashFlowhedgeaccounting.Speculation:Gains/lossesaremarkedtomarketandrecordedincurrentincome.D.M.Chance18AnIntroductiontoDerivativesandRiskManagement,6thed.RiskManagementAccounting(continued)SomeProblemsintheApplicationofFAS133Noclearprescriptionforwhatconstituteseffective/ineffectivehedging.Embeddedderivativesmustbeseparated.Nohedgeaccountingforbondsheldtomaturity.Difficultyofarrivingatderivatives’values.Doesnotpermitmacro(firm-wide)hedges.D.M.Chance19AnIntroductiontoDerivativesandRiskManagement,6thed.RiskManagementAccounting(continued)DisclosureIntheU.S.,theSECrequiresthatfirmsusingderivativespresenteitherTabularinformationonmarketvaluesandcontractterms,orSensitivityanalysisofpotentiallosses,orValue-at-RiskD.M.Chance20AnIntroductiontoDerivativesandRiskManagement,6thed.AvoidingDerivativesLossesSeeTable16.1,pp.593-594forapartiallistoforganizationsreportingderivativeslosses.Fourcasestudies:Metagesellschaft:ToHedgeorNottoHedge?OrangeCounty,California:PlayingtheOddsBaringsPLC:HowOneManBlewupaBankProctor&Gamble:GoingUpinSudsD.M.Chance21AnIntroductiontoDerivativesandRiskManagement,6thed.RiskManagementIndustryStandardsTwoorganizationshaveestablishedstandardsforthepracticeofriskmanagement:Groupof30(G-30).SeeTable16.2,pp.601-603.

RiskStandardsWorkingGroup.SeeTable16.3,pp.604-605.D.M.Chance22AnIntroductiontoDerivativesandRiskManagement,6thed.ResponsibilitiesofSeniorManagementSeniormanagementisultimatelyresponsibleforallorganizationalactivities.Withrespecttoriskmanagement,theseresponsibilitiescanbesummarizedas:EstablishwrittenpoliciesDefinerolesandresponsibilitiesIdentifyacceptablestrategiesEnsurethatpersonnelarequalifiedEnsurethatcontrolsystemsareinplaceD.M.Chance23AnIntroductiontoDerivativesandRiskManagement,6thed.SummaryD.M.Chance24AnIntroductiontoDerivativesandRiskManagement,6thed.Derivativesarenothingmorethanatool.Andjustasasawcanbuildyourhouse,itcancutoffyourarmifitisn’tusedproperly.