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A special report on financial risk 金融危机特别报道 The gods strike back 天威重返 Financial risk got ahead of the world’s ability to manage it. Matthew Valencia asks if it can be tamed again 金融风险已经超出人们的控制范围。马修·瓦伦西亚在讨论风险能够重新被人们驾驭么 Feb 11th 2010 | From The Economist print edition 译者：tinawang “THE revolutionary idea that defines the boundary between modern times and the past is the mastery of risk: the notion that the future is more than a whim of the gods and that men and women are not passive before nature.” So wrote Peter Bernstein in his seminal history of risk, “Against the Gods”, published in 1996. And so it seemed, to all but a few Cassandras, for much of the decade that followed. Finance enjoyed a golden period, with low interest rates, low volatility and high returns. Risk seemed to have been reduced to a permanently lower level. “界定现在和过去的革命思想是对风险的掌握：未来不是上帝的一时兴趣，人类在自然界面前不是全然被动的。” 彼得·伯恩斯坦在其1996年出版的对风险具有划时代意义的“与上帝抗争”一书中写道。过去十年间，除了对于少数预言家，他的话在大多数人看来都是正确的。金融业经历了一个黄金时期，在这个时期的特点是低利率，低波动性和高回报率。风险似乎已减至一个永久的较低水平。 This purported new paradigm hinged, in large part, on three closely linked developments: the huge growth of derivatives; the decomposition and distribution of credit risk through securitisation; and the formidable combination of mathematics and computing power in risk management that had its roots in academic work of the mid-20th century. It blossomed in the 1990s at firms such as Bankers Trust and JPMorgan, which developed “value-at-risk” (VAR), a way for banks to calculate how much they could expect to lose when things got really rough. 这可能是一个新的有联系的范式，在很大程度上，是由三个关系紧密的阶段体现的：衍生工具的大幅增多；通过证券化来分解和分散信用风险；以及植根于20世纪中期的学术成果的数学和计算科学在风险管理方面的强大组合。这项技术在20世纪90年代蓬勃发展起来，以信托银行和JP摩根为代表的公司发展了风险价值模型（VAR），这个模型使得银行能够计算他们在风险真正到来之后的预期损失。 Suddenly it seemed possible for any financial risk to be measured to five decimal places, and for expected returns to be adjusted accordingly. Banks hired hordes of PhD-wielding “quants” to fine-tune ever more complex risk models. The belief took hold that, even as profits were being boosted by larger balance sheets and greater leverage (borrowing), risk was being capped by a technological shift. 突然之间，貌似所有的金融风险都可以精确的预计到小数点后五位，相应的，预期收益也可以预计到这个精度。银行雇佣了一大群图有博士之表的“quants”（译者注：指从事计量金融研究者）对更为复杂的金融模型进行微调。大家都相信，即使利润被更加强大的资产负债表和更高的杠杆率（借入）进一步推高，风险似乎由于技术的发展而被限制在一定水平之内。 There was something self-serving about this. The more that risk could be calibrated, the greater the opportunity to turn debt into securities that could be sold or held in trading books, with lower capital charges than regular loans. Regulators accepted this, arguing that the “great moderation” had subdued macroeconomic dangers and that securitisation had chopped up individual firms’ risks into manageable lumps. This faith in the new, technology-driven order was reflected in the Basel 2 bank-capital rules, which relied heavily on the banks’ internal models. 这给人以谋私利的空间。风险校的越准，将债务转化成能够在交易账户中持有，且其费用低于正常贷款的资本费用的证券的机会就越大。监管者也认同这点，他们认为“大稳健”减弱了宏观经济风险，而证券化将公司的独立风险削减到到可控状态。巴塞尔协议2的银行资本规所反映出的信念以新的技术为前导规范，这个协议严重依赖银行的内部模型。 There were bumps along the way, such as the near-collapse of Long-Term Capital Management (LTCM), a hedge fund, and the dotcom bust, but each time markets recovered relatively quickly. Banks grew cocky. But that sense of security was destroyed by the meltdown of 2007-09, which as much as anything was a crisis of modern metrics-based risk management. The idea that markets can be left to police themselves turned out to be the world’s most expensive mistake, requiring $15 trillion in capital injections and other forms of support. “It has cost a lot to learn how little we really knew,” says a senior central banker. Another lesson was that managing risk is as much about judgment as about numbers. Trying ever harder to capture risk in mathematical formulae can be counterproductive if such a degree of accuracy is intrinsically unattainable. 前进的道路上亦有坎坷，比如说长期资本管理公司（LTCM）和对冲基金的近乎崩溃，网络泡沫，但是每一次，市场总能快速恢复。银行妄自尊大。但是这种安全感被2007年09月的金融崩溃所打破，这场金融危机在某种程度上其实是以现代数量经济学为基础的风险管理的危机。市场能够自治观点是全球经济最严重的错误，所付出的代价是高达15万亿的资金注入和一些其他形式的援助。“我们付出来巨大的代价才意识到了自己的无知”，一位资深的央行行长说到。另一个教训是我们对风险管理的认识仅仅停留在数字层面。如果我们对于计算结果的精确度在本质上是无法把握的，那么这种竭力去在数学公式中量化风险程度的方法很可能起到反作用。 For now, the hubris of spurious precision has given way to humility. It turns out that in financial markets “black swans”, or extreme events, occur much more often than the usual probability models suggest. Worse, finance is becoming more fragile: these days blow-ups are twice as frequent as they were before the first world war, according to Barry Eichengreen of the University of California at Berkeley and Michael Bordo of Rutgers University. Benoit Mandelbrot, the father of fractal theory and a pioneer in the study of market swings, argues that finance is prone to a “wild” randomness not usually seen in nature. In markets, “rare big changes can be more significant than the sum of many small changes,” he says. If financial markets followed the normal bell-shaped distribution curve, in which meltdowns are very rare, the stockmarket crash of 1987, the interest-rate turmoil of 1992 and the 2008 crash would each be expected only once in the lifetime of the universe. 目前，虚假的精度所引起的妄尊已被谦卑所取代。目前看来，金融市场的“黑天鹅”或者说一些极端事件所发生的频率，比通常的概率模型所预测的要大得多。更糟糕的是，资本变得更加的脆弱：加州大学伯克利分校的巴里·艾森格林和罗格斯大学的迈克尔·波尔多认为，现在的金融市场危机发生的频率是第一次世界大战之前的两倍。分形几何理论的创始人同时也是市场波动研究的先驱伯努瓦·曼特罗伯认为金融倾向于一种“野性的”随机，而不是我们在自然界中所常见到的那种随机。在市场中，“罕见的大变化所造成的影响要比很多小的变化加总所带来的影响要大得多，”他说道。如果金融市场能够遵从正态分布曲线，那危机就是及其罕见的了，1987年的股市崩溃，1992年的利率风暴和2008年的金融危机，在宇宙形成到现在这么长时间里，估计只能够预见到一次。 This is changing the way many financial firms think about risk, says Greg Case, chief executive of Aon, an insurance broker. Before the crisis they were looking at things like pandemics, cyber-security and terrorism as possible causes of black swans. Now they are turning to risks from within the system, and how they can become amplified in combination. 这改变了许多公司对风险的态度，克雷格·凯斯说到，他是保险经纪公司安怡的首席行政长官。在危机爆发之前，大人都认为黑天鹅时间的可能原因会是大规模流行病，网络安全和恐怖主义。现在，我们转向系统内部寻找诱因，以及这些内因和外因是如何相互作用，引起放大结果的。 Cheap as chips, and just as bad for you 廉价害人似薯片 It would, though, be simplistic to blame the crisis solely, or even mainly, on sloppy risk managers or wild-eyed quants. Cheap money led to the wholesale underpricing of risk; America ran negative real interest rates in 2002-05, even though consumer-price inflation was quiescent. Plenty of economists disagree with the recent assertion by Ben Bernanke, chairman of the Federal Reserve, that the crisis had more to do with lax regulation of mortgage products than loose monetary policy. 但是，把危机归咎于危机本身，甚至把主要责任推卸在碌碌无为的风险管理这和狂热激进的quants身上就显得太简单了。廉价资本导致了大规模的风险低估；在2002年5月，美国的实际利率为负，尽管如此，美国的消费者物价通胀率还是没变。很多经济学家不认同联邦储备委员会主席本·伯南克的言论，伯南克认为，危机的原因绝大部分是由于按揭贷款产品的监管缺失，而非宽松的货币政策。 Equally damaging were policies to promote home ownership in America using Fannie Mae and Freddie Mac, the country’s two mortgage giants. They led the duo to binge on securities backed by shoddily underwritten loans. 同样有危害性的政策是政府鼓励美国居民向房地美和房利美申请按揭贷款，这两家公司是美国按揭贷款业的巨头。政策使得两房深陷由粗制滥造的承销贷款包装成的证券的泥潭。 In the absence of strict limits, higher leverage followed naturally from low interest rates. The debt of America’s financial firms ballooned relative to the overall economy (see chart 1). At the peak of the madness, the median large bank had borrowings of 37 times its equity, meaning it could be wiped out by a loss of just 2-3% of its assets. Borrowed money allowed investors to fake “alpha”, or above-market returns, says Benn Steil of the Council on Foreign Relations. 监管的缺失更加导致了由低利率衍生出的高杠杆率。美国金融公司的债务占整个GDP的比重在膨胀（见图表1）。在经济疯狂的高峰期，大型银行负债权益比的中位值是38，这代表着它们可能在资产损失2-3%的情况下，就面临破产风险。借入资本能够使得投资者们伪造“alpha”值，换句话来说，就是得到高于市场回报率的回报，美国外交关系委员会的本恩·斯泰尔说到。 The agony was compounded by the proliferation of short-term debt to support illiquid long-term assets, much of it issued beneath the regulatory radar in highly leveraged “shadow” banks, such as structured investment vehicles. When markets froze, sponsoring entities, usually banks, felt morally obliged to absorb their losses. “Reputation risk was shown to have a very real financial price,” says Doug Roeder of the Office of the Comptroller of the Currency, an American regulator. 这种恐慌又由支持低流动性的长期资产所大量发行的短期债务所加剧，而那些短期借款往往是由监管范围之外的高杠杆率的“影子”银行所发行的，比如说结构性投资工具。当市场低迷时，作为赞助实体的银行通常会觉得在道义上有义务承担他们的损失。“声誉上的损失有明显而且非常现实的经济代价，”美国货币监理署的道格·罗德如是说。 Everywhere you looked, moreover, incentives were misaligned. Firms deemed “too big to fail” nestled under implicit guarantees. Sensitivity to risk was dulled by the “Greenspan put”, a belief that America’s Federal Reserve would ride to the rescue with lower rates and liquidity support if needed. Scrutiny of borrowers was delegated to rating agencies, who were paid by the debt-issuers. Some products were so complex, and the chains from borrower to end-investor so long, that thorough due diligence was impossible. A proper understanding of a typical collateralised debt obligation (CDO), a structured bundle of debt securities, would have required reading 30,000 pages of documentation. 更有甚者，放眼望去，激励都是错位的。“太大以至于不会倒闭”成为了公司不言而喻的保障。“格林斯潘政策”减弱了市场对风险的敏感度，这个政策使得大众相信美联储会在需要的时候，通过降低利率和减少市场流动性来救市。审核借款者的工作被下放给了信用评级机构，这些信用评级机构靠贷款发行者吃饭。一些金融产品过于复杂，而从借款人到最终投资者的链条又过长，所以进行彻底尽职的审查几乎是不可能的。要了解一个典型的债务抵押债券（CDO），即结构化的债务证券包，需要阅读多达30000页的文件。 Fees for securitisers were paid largely upfront, increasing the temptation to originate, flog and forget. The problems with bankers’ pay went much wider, meaning that it was much better to be an employee than a shareholder (or, eventually, a taxpayer picking up the bail-out tab). The role of top executives’ pay has been overblown. Top brass at Lehman Brothers and American International Group (AIG) suffered massive losses when share prices tumbled. A recent study found that banks where chief executives had more of their wealth tied up in the firm performed worse, not better, than those with apparently less strong incentives. One explanation is that they took risks they thought were in shareholders’ best interests, but were proved wrong. Motives lower down the chain were more suspect. It was too easy for traders to cash in on short-term gains and skirt responsibility for any time-bombs they had set ticking. 证券发行者的佣金大部分都是提前支付的，这进一步加剧了证券发行者的发行证券行为，无意义的重复行为，以及好了伤疤忘了疼。银行家薪酬问题越来越大，这意味着做雇员比做股东（或者说，最终作为一个担起救市重任的纳税者）来说是更好的选择。高管的高薪早已不那么稳定了。雷曼兄弟和美国国际集团（AIG）的高管在股价大跳水时遭受了惨重的损失。最近的一项研究调查表明，相较起那些对高管的激励不那么明显的公司，财富与银行表现联系更加紧密的银行高管表现的更差，而不是更好。对这种现象的一种解释就是，银行的高管认为他们所冒的风险是符合股东最关心的利益的，但事实证明并非如此。减短从借款者到最终投资者的链条的动机是可疑的。对于交易商来说，赚取短期利得和避开它们所设定的定时炸弹是在容易不过的了。 Asymmetries wreaked havoc in the vast over-the-counter derivatives market, too, where even large dealing firms lacked the information to determine the consequences of others failing. Losses on contracts linked to Lehman turned out to be modest, but nobody knew that when it collapsed in September 2008, causing panic. Likewise, it was hard to gauge the exposures to “tail” risks built up by sellers of swaps on CDOs such as AIG and bond insurers. These were essentially put options, with limited upside and a low but real probability of catastrophic losses. 信息不对称造成了场外衍生品市场极大的破坏，在场外市场，甚至连大型交易公司都无法估计其他公司倒闭造成的后果。与雷曼兄弟有关的合同损失看起来并不是太剧烈，但是没有人能够预见雷曼在2008年9月倒闭时所引起的恐慌。同样，例如AIG和其他债券保险商所发行的CDO互换的“尾部”风险的暴露也很难估计。这些本质上都是看跌期权，潜在利润有限，产生灾难性损失的概率虽小但确实存在。 Another factor in the build-up of excessive risk was what Andy Haldane, head of financial stability at the Bank of England, has described as “disaster myopia”. Like drivers who slow down after seeing a crash but soon speed up again, investors exercise greater caution after a disaster, but these days it takes less than a decade to make them reckless again. Not having seen a debt-market crash since 1998, investors piled into ever riskier securities in 2003-07 to maintain yield at a time of low interest rates. Risk-management models reinforced this myopia by relying too heavily on recent data samples with a narrow distribution of outcomes, especially in subprime mortgages. 造成过度风险的另一个因素是英格兰银行主管公司金融稳定的安迪·霍尔丹所说的“灾难短视”。如同那些由于看到车祸而减速但在后来又提速的司机，投资者在危机后的一段时间会变得十分谨慎，但这段谨慎期往往不超过10年，之后，投资者又会变得冒进了。由于没有看到债券市场在1998年的暴跌，为了在低利率时期保持收益，在2003年7月投资者们的资金都流向了更有风险的证券。风险管理模型由于过于依赖近期的数据样本加剧了这种短视，而这些数据样本的分布结果过窄，特别是在次级抵押贷款模型方面。 A further hazard was summed up by the assertion in 2007 by Chuck Prince, then Citigroup’s boss, that “as long as the music is playing, you’ve got to get up and dance.” Performance is usually judged relative to rivals or to an industry benchmark, encouraging banks to mimic each other’s risk-taking, even if in the long run it benefits no one. In mortgages, bad lenders drove out good ones, keeping up with aggressive competitors for fear of losing market share. A few held back, but it was not easy: when JPMorgan sacrificed five percentage points of return on equity in the short run, it was lambasted by shareholders who wanted it to “catch up” with zippier-looking rivals. 2007年，当时的花旗集团老板恰克·普林斯认为危害又加重了一层，他说道“一旦音乐响起，我们就不得不去跳舞。”对于公司表现的判断往往是基于竞争对手的表现或者行业标准，这种判断鼓励银行去模仿彼此的冒险行为，即使从长远来看，这对任何公司都没有好处。在抵押贷款市场，劣币驱逐良币，那些信用低的贷款者另每家银行都因害怕失去市场份额而追赶者冒进的竞争对手。一些银行收手了，但是这并不容易：当摩根大通牺牲5个百分点的短期回报时，遭到了股东的职责，这些股东希望公司能够尽快“赶超”那些来势汹汹的竞争对手。 An overarching worry is that the complexity of today’s global financial network makes occasional catastrophic failure inevitable. For example, the market for credit derivatives galloped far ahead of its supporting infrastructure. Only now are serious moves being made to push these contracts through central clearing-houses which ensure that trades are properly collateralised and guarantee their completion if one party defaults. 另一个非常重要的令人担忧的因素是由于现在的全球金融网络的复杂性使得偶然性的灾难性失败变得难以避免。比如说，信用衍生品市场遥遥领跑于其基础设施。直到现在，才采取了严厉的措施，这些合同必须通过中央结算所的审核，以确保交易是有担保的，以及在一方违约的情况下保证交易能够正常完成。 Network overload 超负荷网络 The push to allocate capital ever more efficiently over the past 20 years created what Till Guldimann, the father of VAR and vice-chairman of SunGard, a technology firm, calls “capitalism on steroids”. Banks got to depend on the modelling of prices in esoteric markets to gauge risks and became adept at gaming the rules. As a result, capital was not being spread around as efficiently as everyone believed. 过去的20年内，业界为了推动资本更加有效的分配所创造出的被蒂尔·古迪曼称为“暴走的资本主义”，古迪曼是SunGard集团的全球副主席，同时也被称为风险价值之父。银行在分析专业市场的风险时，开始依赖定价模型，并且变得益发能绕过规则得利。结果就是，资本并不像人们所认为的那样能够有效的分配。 Big banks had also grown increasingly interdependent through the boom in derivatives, computer-driven equities trading and so on. Another bond was cross-ownership: at the start of the crisis, financial firms held big dollops of each other’s common and hybrid equity. Such tight coupling of components increases the danger of “non-linear” outcomes, where a small change has a big impact. “Financial markets are not only vulnerable to black swans but have become the perfect breeding ground for them,” says Mr Guldimann. In such a network a firm’s troubles can have an exaggerated effect on the perceived riskiness of its trading partners. When Lehman’s credit-default spreads rose to distressed levels, AIG’s jumped by twice what would have been expected on its own, according to the International Monetary Fund. 随着金融衍生产品的盛行以及电脑股票交易的普及等等，银行间的依赖性逐渐增强。有一种债券是跨所有制的：在金融危机的初期，很多金融公司相互持有大量同行的普通股全和混合股权。如此紧密的联系使得“非线性”结果风险大大增加，很小的一个变数就会产生很大的影响。“金融市场不仅容易受到黑天鹅事件的影响，更成为了黑天鹅时间产生的温床，”古迪曼说道。在这样一个网络中，某个公司的的问题可能会对其业务伙伴的可预料风险产生倍数级的影响。国际货币基金称，当雷曼的信用违约息差上升到令人恐慌的高度时，美国国际集团的信用违约息差上升到其自身预计水平的两倍。 Mr Haldane has suggested that these knife-edge dynamics were caused not only by complexity but also—paradoxically—by homogeneity. Banks, insurers, hedge funds and others bought smorgasbords of debt securities to try to reduce risk through diversification, but the ingredients were similar: leveraged loans, American mortgages and the like. From the individual firm’s perspective this looked sensible. But for the system as a whole it put everyone’s eggs in the same few baskets, as reflected in their returns (see chart 2). 霍尔丹认为这些刀口动态不仅仅是由于复杂性造成的，同时，还会因为同质性。银行，保险公司，对冲基金和其他的一些公司购买自助组合的债券，通过多样化组合降低整体风险，但是这些组合的成分是相同的：杠杆贷款，美国住房抵押贷款等等。从企业个体的角度来说，这种组合是明智的。但是从整个系统来看，每个人的鸡蛋都放在了少数相同的篮子里，正如这些组合的回报所反映的那样（见图表2）。 Efforts are now under way to deal with these risks. The Financial Stability Board, an international group of regulators, is trying to co-ordinate global reforms in areas such as capital, liquidity and mechanisms for rescuing or dismantling troubled banks. Its biggest challenge will be to make the system more resilient to the failure of giants. There are deep divisions over how to set about this, with some favouring tougher capital requirements, others break-ups, still others—including America—a combination of remedies. 人们开始采取措施来应对危机。国际监管组织——金融稳定委员会正力图在资本，流动性和拯救陷入困境和破产边缘的银行方面来协调全球的改革。其中最大的挑战是能够让系统在应对银行巨头破产时能够更有弹性。在这个问题上，组织内存在严重分歧，一些人偏向于更加严格的资本要求，另一些人倾向于银行解体，还有一些——包括美国——希望能有一个补救措施的组合。 In January President Barack Obama shocked big banks by proposing a tax on their liabilities and a plan to cap their size, ban “proprietary” trading and limit their involvement in hedge funds and private equity. The proposals still need congressional approval. They were seen as energising the debate about how to tackle dangerously large firms, though the reaction in Europe was mixed. 1月份，巴拉克·奥巴马总统提出了一系列的议案，震惊了整个银行界，包括对银行负债征税，限制银行规模，禁止银行进行“自营交易”，并且对银行的对冲基金和私募股权业务加以限制。这些议案还需要提交国会批准。奥巴马的这些提议为如何处理处在困境之中的公司的辩论注入了新的活力，尽管这些提议在欧洲引发了不同的反应。 Regulators are also inching towards a more “systemic” approach to risk. The old supervisory framework assumed that if the 100 largest banks were individually safe, then the system was too. But the crisis showed that even well-managed firms, acting prudently in a downturn, can undermine the strength of all. 监管者们也正在向一个更加“系统化”处理危机的方向迈进。旧的监管体系认为，如果100家最大的银行各自是安全的，那么整个系统也就是安全的。但是这次的危机表明，尽管那些关系体系良好的公司，在经济低迷期能够谨慎行事，同样也会削弱整个系统的稳定性。 The banks themselves will have to find a middle ground in risk management, somewhere between gut feeling and number fetishism. Much of the progress made in quantitative finance was real enough, but a firm that does not understand the flaws in its models is destined for trouble. This special report will argue that rules will have to be both tightened and better enforced to avoid future crises—but that all the reforms in the world will never guarantee total safety. 银行自身也必须找到一个风险管理的中间地带，这个中间地带介于直觉和盲目崇拜数字之间。很多数量金融方面的进展是确实有用的，但是如果一个公司不能了解它所用的模型的缺陷的话，陷入麻烦就在所难免。这篇特别报道表明，规则必须被加强和更好的执行，以避免未来可能出现的危机——但是全球改革势必不能保证完全的安全性。 |
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