兹维博迪金融学第二版课件Chapter10

Chapter10:风险管理原理ObjectiveRiskandFinancialDecisionMakingConceptualFrameworkforRiskManagementEfficientAllocationofRisk-Bearing1Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallChapter10Contents10.1什么是风险?10.2风险与经济决策10.3风险管理过程10.4风险转移的三个维度10.5风险转移和经济效率10.6风险管理制度10.7资产组合（Portfolio）理论：最优风险管理的数量分析10.8收益率的概率分布10.9作为风险的一个度量的标准差2Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall10.1WhatisRisk?

不确定性（Uncertainty）对于某一时点的观察者来说，一个事件是不确定的，如果他在那个时点不知道该事件的结果。Ienterasealedbid（密封投标）onapubliccontractThevalueofmybidiscertaintomeBeforeunsealing,mybidisuncertaintoyouAfterunsealing,mybidisknowntoyou3Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallUncertaintythatmatters

Riskisuncertaintythat“matters”【事关紧要】totheobserver你经营着“星际鲱鱼”音乐厅，对于该建筑，有两种租借合约可供选择1：每卖出一张票，付给音乐厅所有者2美元2：一次性支付指定数额租金，该数额小于合约1的预期成本【R为一次性租金额，N为实际售出票数，则R<E(2N)】4Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallContractualOutcomes“Ticketsales”isthe“riskthatmatters”尽管每个发烧友确定地知道自己是否去听音乐会，星际鲱鱼的经营者并不能完全获得这些信息，且处于风险中，因为若售票量实际大于N*，合约2更有利【原为“1”，误；N*=E(N)】若销售量实际小于N*，合约1更有利【原为“2”，误】5Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall控制风险策略鲱鱼的经营者有几个策略用以减少成本不确定性研究，确定发烧友人数和会参加音乐会的发烧友的百分比付费，获得以后再在合约1和2之间选择的权利对冲（或称“套期保值”），用与第三方签订的合约(电台、受让人、承包商等等）6Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallNamingtheStrategies:ResearchThefirststrategyispurchasinginformationbyresearchThereisacostassociatedwithcollectinginformation,butinformationenablesonetomakebetter-informeddecisionsInformationisoftencollectedincrementally【逐步递增地】,andadecisionismadeateachstepwhethertocontinuecollectingfurtherinformation7Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallNamingtheStrategies:InsuranceorOption第二个策略意味着购买在指定时间以前作出选择的权利拥有信息更为明朗时再行动的权利是有价值的此例中，期权是延迟选择确切的合同条款的权利承诺一定会租入音乐厅可能是获得该期权的好的交换条件8Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallNamingtheStrategies:Hedging第三个策略创造出二次合约以减少初次合约产生的全部风险暴露初次固定费用租约【合约2】创造出以未来（未知的）售票收入为标的资产的远期头寸【鲱鱼经营者未来从执行该远期得到的利润为pN-R（p是票价），即他未来将以现在约定的R换取现在不确定其价值的pN；故成本不确定性已由该初次合约消除，收入不确定性尚存】鲱鱼可对冲此风险【收入不确定性】，通过要求其受让人接受固定租费合约【二次合约】而不是售票收入百分比分成合约9Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?RiskAversion

Herring’sultimatecontractingstrategywilldependuponitslevelofriskaversionRiskaversionAmeasureofanindividual’swillingnesstopayforareductioninexposuretorisk10Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?Upside-Down

Herringhasachoiceofcontracts,andeachhasanupsideandadownside,dependingonthevariablethatcontrolsthe“riskthatmatters”Upside:favorableoutcomeDownside:unfavorableoutcome11Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?BothUpsideandDownside

Somerisksaremorecomplex.Acomputermother-boardmanufacturerthatunderestimatesdemandwilllosecurrentsalesandmarketshareoverestimatesdemandwillownaninventorywithamarketpricethatisbeingerodedbyrapidtechnologicalobsolescence【技术陈旧】Anydeviationisunfavorable12Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?20/20Hindsight【事后诸葛亮】风险管理决策的合宜性应当只看该决策作出时可用信息的多少、优劣来判定我们应当避免用决策之后才知道的事实对决策不客观地评判But...13Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?PreservingyourOptionsBut…保留进行中（以低成本）纠错能力的决策，相对于没有这种能力的决策，是更好决策。“Preserveyouroptions”【保留你的择权】14Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?KnowingwhentoPurchaseInformationBut…adecisionthatwasbasedontimelyandcarefullypurchasedinformationcharacterizesawell-madedecision“Knowwhentobuyavowel”15Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?

TailortheContract【调整合同】But…Riskreductionclausesmayoftenbeincludedinacontractatverylittlecostwhenthecontractiswritten,butareexpensivetoaddasacontractamendmentDevelopastandardsetofrisk-relatedclausesthatmaybeincorporatedintodraftcontracts【合同草案】Whennegotiating,thinkintermsofbothexpectedcostsandtheirassociatedrisks16Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?LookingBackBut…RevisitriskydecisionsinthelightoftheiroutcomestoimprovefuturedecisionmakingThisisnottopraiseluckymanagementnorscoldunluckymanagementAsk:“如果可以重来，怎么通过提前做准备作出更好的基础设施配套决策？”（如：维持关键变量的数据库）【前事不忘，后事之师。规划一个小区的车库容量、一个城市的学校数量的例子】17Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?RiskExposureIfyoufaceaparticularkindofriskbecauseofthenatureofyourjob,business,orpatternofconsumptionyouhaveaparticularriskexposure18Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?Risk-ControllingToolsManytoolthatmaybeusedtoreduceriskmayalsobeusedtoincreaseriskIfyouinsureyourhouseagainstfire,youarereducingyourrisk(Hedger【对冲者、套期保值者】)IfIinsureyourhouseagainstfire,Iamincreasingmyrisk(Speculator【投机者】)(Probablynotaninsurablerisk:moralhazardlackofalegitimateeconomicpurpose)19Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall10.2RiskandEconomicDecisionsRiskexposureofhouseholds:Sickness,disability,&deathrisksUnemploymentriskConsumer-durableassetriskLiabilityrisk【或有债务】Financialassetrisk20Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallRiskexposureoffirmsInput/outputchannelsstrike,boycott【抵制外货】,embargo,war,safety,supply/demandLossofproductionfacilitiesfire,legislation,civilaction,strike,nationalization,warLiabilityriskcustomer,employee,community,environmentPricerisksinput,output,foreignexchange,interestCompetitorrisktechnology,intellectualproperty,economic21Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallGovernment:Majorcalamities【灾害】weather,forestfires,riotsGuarantees【担保】exports,smallbusinessloans,mortgages,andstudentloans,croppricesInterventions【干预】bankfailures,strategicfirmfailures【如光伏产业】,cropfailures,medicalcoverage【医保】22Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall10.3TheRisk-ManagementProcessRiskidentificationRiskassessmentSelectionofrisk-managementtechniquesImplementationReview23Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallRiskidentificationSomerisksarecommonlyunder-identified,andsoarenothedgeddisabilitycoverageisoftentoolowSomerisksthatdonotexistare‘hedged’lifeinsuranceisoftenover-prescribedSomerisksoffseteachother【农作物价格风险与产量风险】liabilityofacarwithinafleet;price/quantity24Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallRiskassessmentThequantificationoftheidentifiedrisksquantificationofexposuretoriskrequiresspecializedskillsActuaries【精算师】Investmentcounselors25Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallSelectionofrisk-managementtechniquesRiskavoidanceLosspreventionandcontrolRiskretention【保留】Risktransfer26Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallImplementationRisktransferrequiresfindingasuitabletransfervehicleatanacceptablepriceObtaincompetitivequotations【报价】andlookatalternativewaystohedgeConsiderthemixofupsidetodownsideriskOptionsshed【摆脱】downsiderisk,whilemaintainingupsidepotential(ataprice)Futuresshedbothdown-andup-siderisks27Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallImplementationSomerisksmaybeshedonlyimperfectlyAspecialtyricegrowermaybeabletolowerbutnoteliminateriskusingcerealfuturesAseedgrowermaynotbeabletosignificantlyreducepricerisk28Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallReviewManagementofriskshouldbeanongoingsystematicactivitybecauseriskexposurechangesaspeoplematureMaintainingflexibilitywillenableyoutoreactmoreappropriatelytochangeTermlifeinsurancewithanannualrenewabletermismoreflexiblethanpolicieswithoutthisclause29Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall10.4TheThreeDimensionsofRiskTransferHedgingInsuringDiversifying30Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallHedgingAriskishedgedwhentheactiontakentoreduceadverseriskexposurealsocausesthelossofunexpectedgainAfarmerwhosellshercropbeforeitisharvestedreducestheriskoflowerpricesandloweryields,butsurrenderstherighttoincreasedpricesandyields(Note:Wesometimesuse“hedge”toinclude“insure”)31Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallInsuringInsuringisthepaymentofapremiumtoavoidlossesInsuranceisnothedgingbecauseyoumaintainownershipintheupsidepotentialAfarmerhastheright,butnottheobligationtosellsoytothegovernmentatasetprice32Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallDiversifyingDiversificationmeansholdingsimilaramountsofariskyassetinsteadofalargeramountofasingleriskyassetIhaveidentified10corporationsthateachhaveanexpectedreturnm=0.15,astandarddeviations=0.20,andarecorrelatedwitheachotherwithrho=0.933Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHalls=0.2000s=0.1421s*=0.1342TheoreticalMinimum34Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallObservationMostofthediversificationisobtainedbyincludingjustafewstockintheportfolioRiskcanonlybereducedtoafixedlevelthatdependsonthecorrelationProgressivelyaddingonemorenewstockhasadiminishingaffectonrisk35Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallEquationforHomogeneousDiversificationwithnStocks36Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall10.5RiskTransferandEconomicEfficiency

Institutionalarrangementsfortransferofriskcontributetoeconomicefficiencybyallocatingexistingriskstothosemostwillingtobearthemreallocationofresourcestoproductionandconsumptioninaccordancewiththenewdistributionofrisk-bearing37Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall10.6InstitutionsforRiskManagement

Acompletemarketforallocatingriskwouldpermittheseparationofproductiveactivityandrisk-bearingWhiletechnologyisdrivingtheriskmarket-placetowardscompleteness,thiswillnotbeachievedbecause:transactioncostsincentivecosts38Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall10.7PortfolioTheory:QuantitativeAnalysisforOptimalRiskManagement

PortfoliotheoryquantitativeanalysisforoptimalriskmanagementPortfoliotheoryselectsfromasetof(usuallydivisible)risksbyoptimizingrisk-returnConsumptionandriskpreferencesareexogenousItissometimespossibletodeviseastrategythatreducestheriskofallcontractingparties39Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall10.8ProbabilityDistributionsofReturnsAssumethattherearetwostockavailable,GENCOandRISCO,andeachrespondstothestateoftheeconomyaccordingtothefollowingtable40Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallReturnsonGENCO&RISCO41Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallProbabilityDistributionofReturns

forGenco42Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall50%30%10%-10%-30%RISCOGENCO00.10.20.30.40.50.6ProbabilityReturnProbabilityDistributionsofReturnsofGENCOandRISCO43Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallObservationBothcompanieshavethesameexpectedreturn,butthereisconsiderablymoreriskassociatedwithRISCO44Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall10.9StandardDeviationasaMeasureofRisk

Equations:Mean45Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallEquations:StandardDeviation46Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallObservationTheexpectedreturnsofGENCOandRISCOhappentobeequal,butthevolatility,orstandarddeviation,ofRISCOistwicethatofGENCO’sHowever,wewouldexpectsharepricestofollowacontinuousdistribution,ratherthanthediscretedistributionillustrated47Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallNormalDistributionofStockReturns【密度以1%收益率为单位长度计算】48Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallContinuousDistributionsAverycommonassumptionisthatthereturnsofastockaredistributednormally.Assume:NORMCO’shasanexpectedreturnof10%andastandarddeviationof0.1265VOLCOalsohasanexpectedreturnof10%,buthasastandarddeviationof0.253049Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall50Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallTwoNewDistributionsofReturnThenextslideshowsanothertwodistributionsofreturnthathavebeensuperimposedTheyappeartohavethesamemean,namely10%,butODDCOappearstohaveahigherstandarddeviationthanVOLCO51Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHall52Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallCaveat【警告】TheODDCOdistributionactuallyhasnomeannorstandarddeviationIfyoudrewsamplesfromthedistributionandcomputedthesetwostatistics,youwouldquicklydiscoverthatforn=100,200,etcetera,neitherstatisticconvergestoaconstantnumber53Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallCaveatThedistributionofODDCO’sreturnsfollowaCauchyDistributionTheCauchyandNormaldistributionsarespecialcasesoftheStabledistributionSomeresearchersbelievethatstockreturnsarenotnormal,butaredrawnfromastabledistributionwithoutaSD54Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallCaveatAsweprogress,wewillassumethatstockreturnsdohaveameanandastandarddeviation,butthisisakeyassumption55Copyright©2009PearsonEducation,Inc.PublishingasPrenticeHallAnotherCavea