[轉錄] The Ultimate Risk Manager

看板CFAiafeFSA (精算師/基金經理人/銀行家)作者arbitrageur (Cambridge不是好學校?!!)時間22年前 (2002/12/29 14:17)推噓0(0推 0噓 0→)

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原文在 http://www.fenews.com/fen29/one_time_articles/actuary_intro.html 這也可以給大家一個暗示，xRM的價值何在？大家覺得經過六關考試，平均每關及格率約40%，的副精算師對風險了解透徹呢？還是考一關，平均及格率50%的風險管理經理人(不論是哪家頒的)更懂風險？當然，如果2005年新制發表後xRM還是可以抵PD的點數的話，想考到FSA的人不妨到時候再考一下xRM。 ----------------------------------------------------------------------- Who Is The Ultimate Risk Manager? The Answer May Surprise You! By Meredith Lego Financial markets are fluctuating. Regulators are enforcing stricter laws resulting from financial scandals. The threats of war and terrorism are in the news daily. Clearly, the role of forecasting and managing risk has become an increasingly important function within the enterprise. With that much uncertainty looming, how can you be certain about your risk exposure? Just when you thought no hope was possible, did you ever consider hiring or seeking the advice of an actuary? An “Actuary” you say? “I thought actuaries were those guys who sit in the back room crunching numbers to determine life expectancies.” This is true. Many actuaries do determine pricing and valuations for pension plans and insurance companies. But did you know that the number of actuaries working in the financial, investment and commercial banking sector has grown at a 15 percent annual compounded growth rate since 1990? Why has this occurred? The very nature of being an actuary lies in the essence of managing risk. Before the advent of financial engineering, risk managers -- and yes -- even before the invention of calculators, actuaries were the first professionals managing risk and modeling financial implications based upon the likelihood of future scenarios. Actuaries have a deep understanding of the nature of risk and excel at putting a value to a risk exposure, regardless of the industry. Concepts of managing risk exposure, options pricing, Black-Scholes models, and stochastic modeling are ingrained into actuarial education and qualification, which are learned and tested through a rigorous credentialing process. While asset and liability management are a part of typical actuarial analysis, there are broad examples of other feats actuaries have accomplished. Of course, before decisions can be reached, dynamic modeling and analysis is usually required. Examples of models developed and run by the actuarial staff at major consulting and financial institutions include: o Financial simulations based upon capital management, asset/liability analysis and potential valuations o Neural network-based artificial intelligence systems for using credit analysis o Portfolio analysis systems o Monte Carlo models for interest rate scenario generation for valuation or strategy development of investment options But what occurs next with the information? Well, let’s look at it from the perspective of financial engineering. Frederick Novomestly, Academic Director of the Financial Engineering Program at Polytechnic University in Brooklyn, New York, gave a presentation at the 1998 International Association of Financial Engineers Conference and listed one perspective of the functions that financial engineers perform: 1. Develop, price, trade, evaluate and apply new financial products; and, 2. Assess/manage risk and implement sophisticated investment and risk management strategies. Let’s examine these two value-added functions in detail: Develop, price, trade, evaluate and apply new financial products. Most actuaries do exactly this – they develop, price, evaluate and manage financial products. Due to the complexity of the environment, this is typically done in the context of retirement plans, investment portfolios and insurance instruments for life, health and property/casualty companies. For example, let’s consider a recent case of actuarial involvement relating to the poor performance of equity markets. Consulting actuaries in the New York office of Milliman USA were contacted by a life insurance company to help it evaluate the option risks embedded in its variable annuity contracts. A basic variable annuity is an annuity that allows a policyholder to accumulate funds through participating in the performance of the security markets, by allowing the holder to invest the annuity funds in various investment accounts. Upon contract termination, such as at surrender or death, the contract holder typically receives the account value, as determined by the performance of the investment accounts. However, most newer variable annuities provide some type of additional enhanced death benefit. In this case, the company guaranteed that the death benefit would be at least equal to the initial deposit into the policy, regardless of the performance of the underlying investment accounts. This would mean that, as the value of the investment accounts drops below the amount initially deposited under the policy, the company has committed to pay out at least the initial deposit amount in the event of the policyholder's death. With the recent stock market decline, this guarantee is "in the money," resulting in a loss to the company equal to the value of the "free" death benefit provided. Because of the combination of insurance and equity market risks, there are no market-traded instruments available to replicate this contingent benefit. In order to quantify the unknown loss, the actuaries combined a Monte Carlo simulation of market returns with projected mortality rates. As a final step, they summarized the results into percentiles to help the client determine both the reserve liabilities and the capital needed for future unknown losses. As a result, the company is able to quantify the potential risk exposure resulting from such an enhanced benefit guarantee. Assess/manage risk and implement sophisticated investment and risk management strategies. Actuaries have been the risk managers for insurance companies for over 100 years. As such, their assessment of risk goes hand in hand with broader risk management strategies applicable to financial service industries in general. Some of the risk management functions that have been performed by actuaries include: (1) Risk Measurement and Risk Exposure Reports: Financial institution companies, in addition to many other, are exposed to market, credit insurance, operational risks, and other risks. Actuaries have been called upon by company management to measure those risks using tools such as: actual to expected experience monitoring; duration and convexity, and key rate durations; credit exposure; risk-based capital ratios; performance attribution; earnings at risk; value at risk; tracking error and Sharpe ratio; cash flow testing; liquidity analysis; stress testing and probable maximum loss. (2) Risk Management Techniques: Insurance companies use many techniques for managing risks, including: retention limits; reinsurance; diversification of assets; selective underwriting; risk-based capital ratio targets; continual process improvement; diversification of liabilities; hedging via capital markets; stochastic pricing; risk-adjusted pricing targets; risk-sharing arrangements; watch list; setting Risk-Adjusted Return on Capital (RAROC) targets; risk-based surplus allocation; and surplus investment strategy. Actuaries have a major role in the development and implementation of all of these risk management programs, and therefore, can use these skills to provide services to other financial entities. (3) Develop Risk Limits: Periodically, actuaries are asked to review the limits that have been used by companies as part of their risk management process. In addition, new products and programs often trigger the development of new limits. Common limits are found regarding the amount of insurance exposure to a single life, the amount of credit exposure to a single group of companies and the degree of duration mismatch allowed for interest sensitive asset liability portfolios. (4) Develop Risk Control Process: Risk measures, risk management and risk limits are brought together within a risk control process. Actuaries have been called upon to develop risk control processes and to sit on risk management committees that oversee the implementation of risk control processes. (5) Risk Analysis of New Products and Investment Opportunities: Financial service companies have long had a process for systematically assessing the risks inherent in new products and investment ventures. Typically, this process is led by an actuary. As technology advanced the standards and complexity, the analysis underlying that review has steadily increased. (6) Earnings Volatility Analysis and Reaction: As more insurance companies have become publicly-traded, earnings and their volatility have received increasing scrutiny. Actuaries have been called upon to explain the reasons for the variances as well as to develop strategies for avoiding situations that could lead to future fluctuations. (7) RAROC & Risk Adjusted Financial Reporting: Insurance companies need to be careful that they do not judge their riskiest business as their most profitable in a period when no losses happen to occur. Actuaries are responsible for developing the internal financial reporting mechanisms that allocate loss reserves and risk capital to the insurance company's businesses, giving a proper risk adjustment to the financial reports. (8) Risk Adjusted Pricing: By their nature, insurance contracts transfer risk. Some of these risks are largely diversifiable, while others are not. Actuaries determine the level of risk premiums that insurance companies will charge for those risks where there is no market and therefore no market risk premium. (9) Merger Due Diligence Risk Analysis: Actuaries regularly participate in due diligence analysis of company transactions to determine the adequacy of reserves and the likelihood of achieving expected future profits from financial instruments where the results are almost always uncertain. In the arena of mergers/acquisitions and IPO practices, actuaries can also represent either the buyer or the seller in valuing blocks of business and allocating prices. As an example, a large actuarial consulting firm determined the value for a major financial institution during its demutualization process, basically allowing it to convert from a company representing policyholders to a public enterprise representing stockholders. As part of the valuation process, an analysis was performed to determine the fixed and variable allocations of value across the individual policies. While actuaries can be involved in determining the potential value of the company for negotiation purposes; in this case actuarial analysis was used to determine how value would be allocated once the marketplace established the actual value for company. As a result, the client was able to provide a check or offer stock to each policyholder. (10) Economic Capital Calculations: Actuaries have used a variety of techniques for determining the appropriate level of risk-based capital that is needed by individual insurance companies. With increasing frequency, actuaries are being called upon to build, operate and maintain complex internal company models for determination of economic risk capital using stochastic techniques to analyze long-term contingent liabilities and the associated value at risk or conditional tail liability. Insurance regulators are beginning to understand that for some insurance company coverages, these complex internal models are the only appropriate way to determine an appropriate level of regulatory capital as well. Success is in the Long-Term Since insurance instruments are long-term in nature, actuaries are trained to analyze and manage long-term risk exposures better than anyone. Moreover, these skills are highly transferable to any industry because they are based upon fundamental principals in risk management. The demand for this skill could be more necessary than you may think. As the potential increases for the adoption of international standards into U.S. accounting practices, public companies will need to shift their thinking from a short-term financial perspective to a long-term perspective. This includes the modeling and reporting of financial scenarios and risks for a longer period than a typical 5-year business plan may allow. Finally, in these times when short-term rates of return are so volatile, who better understands how to manage a diversified portfolio with fixed income securities, such as bonds and mortgage-backed securities, than an actuary? Savvy executives, increasingly those outside of the insurance industry, are benefiting from calling on the impressive array of talent actuaries bring to bear in risk management. As the management of risk exposure becomes more critical for the enterprise, shouldn't you also consider utilizing an actuary? If you are interested in learning more about the actuarial profession, multiple organizations can provide information, including the Society of Actuaries, the Casualty Actuarial Society or the Academy of Actuaries. You can also visit the web site, http://www.beanactuary.org -- ※ 發信站: 批踢踢實業坊(ptt.csie.ntu.edu.tw) ◆ From: 140.112.243.239