Risk Measurement An Introduction to Value at Risk 部分内容如下： A DIFFICULT QUESTION
You are responsible for managing your company's foreign exchange positions. Your boss, or
your boss's boss, has been reading about derivatives losses suffered by other companies, and
wants to know if the same thing could happen to his company. That is, he wants to know just
how much market risk the company is taking. What do you say?
You could start by listing and describing the company's positions, but this isn't likely to be
helpful unless there are only a handful. Even then, it helps only ifyour superiors understand all
of the positions and instruments, and the risks inherent in each. Or you could talk about the
portfolio's sensitivities, i.e. how much the value of the portfolio changes when various
underlying market rates or prices change, and perhaps option delta's and gamma's.l However,
you are unlikely to win favor with your superiors by putting them to sleep. Even ifyou are
confident in your ability to explain these in English, you still have no natural way to net the risk
ofyour short position in Deutsche marks against the long position in Dutch guilders. (It makes
sense to do this because gains or losses on the short position in marks will be almost perfectly
offset by gains or losses on the long position in guilders.) You could simply assure your
superiors that you never speculate but rather use derivatives only to hedge, but they understand
that this statement is vacuous. They know that the word "hedge" is so ill-defined and flexible
that virtually any transaction can be characterized as a hedge. So what do you say?
Perhaps the best answer starts: "The value at risk is ..
How did you get into a position where the best answer involves a concept your superiors might
never have heard of, let alone understand? This doesn't seem like a good strategy for getting
promoted.
The modern era of risk measurement for foreign exchange positions began in 1973. That year
saw both the collapse of the Bretton Woods system of fixed exchange rates and the publication
of the Black-Scholes option pricing formula. The collapse of the Bretton Woods system and the
rapid transition to a system of more or less freely floating exchange rates among many of the
major trading countries provided the impetus for the measurement and management of foreign
exchange risk, while the ideas underlying the Black-Scholes formula provided the conceptual
framework and basic tools for risk measurement and management.
The years since 1973 have witnessed both tremendous volatility in exchange rates and a
proliferation of derivative instruments useful for managing the risks of changes in the prices of
foreign currencies and interest rates. Modern derivative instruments such as forwards, futures,
swaps, and options facilitate the management of exchange and interest rate volatility. They can
be used to offset the risks in existing instruments, positions, and portfolios because their cash
flows and values change with changes in interest rates and foreign currency prices. Among other
things, they can be used to make offsetting bets to "cancel out" the risks in a portfolio. Derivative
instruments are ideal for this purpose, because many of them can be traded quickly, easily, and
with low transactions costs, while others can be tailored to customers' needs. Unfortunately,
1 0ption delta's and gamma's are defined in Appendix A.
2 Your answer doesn't start: "The most we can lose is ..." because the only honest way to finish this sentence is
"everything." It is possible, though unlikely, that all or most relevant exchange rates could move against you by
large amounts overnight, leading to losses in all or most currencies in which you have positions. |