1、Risk Measures and Risk Management. 风险衡量基准与风险管理.,Jeremy Porter, FIA博杰明英国精算师June / July 2005 （2005年6月7月）,风险衡量基准与风险管理,2,Agenda 目录,ALM Risks faced by Life Insurers 寿险公司面临的 ALM 风险 Essential Features of Risk Measures 风险衡量基准的基本特征 Traps and Pitfalls 陷阱与缺陷 A Holistic Approach to Risk Measurement 风险衡量的综合方法 Ex
2、amples 实例,风险衡量基准与风险管理,3,ALM Risks. ALM 风险.,风险衡量基准与风险管理,4,ALM Risks ALM 风险,Statutory Risks 法定风险,Economic (real) Risks 经济（实际）风险,Two Main Categories 两大类,风险衡量基准与风险管理,5,Most Economic Risks are also Statutory Risks 大多数经济风险亦是法定风险,Interest rates fall 利率下跌,Time 时间,Statutory insolvency 法定偿还能力,Companies can (a
3、ccurately) predict when they will have a statutory problem 公司可以（准确）预测在法定基础上将发生问题的时间,For example in Japan: 例如，在日本：,风险衡量基准与风险管理,6,Statutory Risks may not be Real 法定风险未必是实际风险,Increase in Equity prices 股价上涨,Reduction in dividend yield 股息率下跌,Increase in Reserves 储备金 增加,Increase in Assets 资产增加,Extra Capit
4、al 额外资金,For example, in Hong Kong: 例如，在香港：,Reduction in HK valuation interest rate 香港准备金 计算利率下跌,Reduce Equity holding 减少持股,Inject Capital 注入资金,or或,风险衡量基准与风险管理,7,Statutory Risks 法定风险,Very different in different statutory reporting regimes 不同的法定报告架构大相径庭,风险衡量基准与风险管理,8,Economic Risks and Statutory Risks
5、 经济风险与法定风险,The relationship between economic and statutory risks is very specific to the local valuation regulations 经济风险与法定风险之间的关系有赖于当地的准备金法规In Hong Kong, the first example would immediately impact the insurance companys statutory solvency 在香港，第一个实例会立即影响到寿险公司的法定偿付能力 Because of the use of market bas
6、ed valuation interest rates 因为采用基于市场的估值利率Note that in Japan, the second example would not have any impact on the companies statutory liabilities (policy reserves) 在日本，第二个实例不会对公司的法定负债（保单储备金）产生任何影响,风险衡量基准与风险管理,9,Economic Risks 经济风险,Falling investment returns caused by 由于以下原因，致使投资回报减少 prolonged low int
7、erest rates, or 长期低利率，或 poor equity market performance, or 股市表现欠佳，或 falling real estate values, or 房地产价值下跌，或 asset defaults, etc. 资产违约等Falling asset values at a bad time 资产价值下跌时机不当 high interest rates or falling equity markets at a time of significant surrender or maturity payments 在大量解约或到期偿付时，利率高企或
8、股市下滑Un-hedged currency movements act against the insurer 保险公司对货币兑换率未进行对冲 Unexpected removal (or failure) of a currency peg 意外取消货币挂钩,风险衡量基准与风险管理,10,Valuation Basis 估值基准,ALM problems that materialize are quite different under the following types of valuation basis: 根据以下各类估值基准具体化的 ALM 问题相当不同：,“slow dea
9、th”“逐渐死亡” Less urgency to resolve the problem, unless there is strong regulation there is a natural pressure for the market to follow the least responsible market player 不必紧急解决问题，除非制订严格的法规，整个市场有自然压力跟随最不负责任的市场参与者,Time时间,Passive (Fixed) Valuation Basis 被动（固定）的估值基准,Active Valuation Basis 主动的估值基准,“sudde
10、n death” “突然死亡” Strong incentive to manage options / guarantees and risks 强烈鼓励管理期权保证及风险,风险衡量基准与风险管理,11,Passive Valuation Basis 被动的估值基准,Extremely important for companies working passive basis to be aware of 采用被动基准的公司必须知悉 the economic basis solvency 经济基准偿债力 the economic risks, as well as 经济风险，以及 the s
11、tatutory basis solvency 法定基准偿债力Extremely important for regulators in markets with a passive basis to be aware of 采用被动基准的市场监管机构必须知悉 the likely economic basis solvency 实际的以经济基准评估的偿还力 the economic risks, and 经济风险，及 the shortcomings of a purely passive valuation basis 纯粹被动估值基准的不足之处,风险衡量基准与风险管理,12,Essent
12、ial Features of Risk Measures. 风险衡量基准的基本特征.,风险衡量基准与风险管理,13,Essential Features of Risk Measures 风险衡量基准的基本特征,Many different risk measures are used in practice 实际工作中采用许多不同的风险衡量基准 Only one rule for risk measures: 风险衡量基准的唯一规则是：They need to mean something to the target audience 它们需要向目标受众提供信息 Strongly sugg
13、est when working on an ALM project, that risk measures are not decided by the project team强烈建议在开展ALM项目时，不要由项目团队决定风险衡量基准,ALM Committee ALM 委员会,Project Team 项目团队,Rely on risk measures to make strategic decisions 依据风险衡量基准，做出策略性决策,1) Present variety of commonly used risk measures 展示各种常用风险衡量基准,2) Able to
14、 make required decisions using these risk measures? 可以采用这些风险衡量基准，做出所需决策吗？,风险衡量基准与风险管理,14,Essential Features of Risk Measures 风险衡量基准的基本特征,Essential Features 基本特征 Understandable by the target audience 目标受众可以理解 Take account of essential features of both assts and liabilities and allow for their interac
15、tion 考虑到资产与负债的基本特征，并兼顾它们之间的相互作用 Relevant to the key questions that need addressing 涉及需要解决的关键问题 Consistent and seen to be consistent with the overall corporate objectives 符合且看似符合企业整体目标,Simple, Concise and Targeted 简单、简洁且具有针对性,风险衡量基准与风险管理,15,Traps and Pitfalls. 陷阱与缺陷.,风险衡量基准与风险管理,16,Traps and Pitfalls
16、 陷阱与缺陷,Many people, including financially aware professionals, are not good at understanding and making decisions objectively using stochastic information presented to them. 许多人，包括金融界专业人士都不善于理解展现在他们面前的随机计算结果，且不会利用这些信息客观地做出决策。Potential Problems 潜在问题Is information understood? 信息可被理解吗？Issues that handi
17、cap professionals making decisions 妨碍专业人士做出决策的问题 “Framing” “表达方式” “Overconfidence” “过于自信”Importance of Communication 沟通的重要性 Learning the language 学习语言,Source = “making actuaries less human” by Nigel Taylor 资料来源 = making actuaries less human 作者：Nigel Taylor,风险衡量基准与风险管理,17,Overconfidence 过分自信,Theory s
18、hows that people are consistently overconfident in their estimates. The more knowledgeable the respondent, the greater the tendency to be overconfident. 理论显示人们一向对自己的估计过于自信。知识越渊博的人，过分自信的趋向越大。,An Experiment 一个试验 People were asked to provide a low estimate and a high estimate of the gestation period of
19、 an Asian elephant, such that the true answer had a 90% chance of lying between estimates 要求人们对亚洲大象的怀孕期，做出最低与最高估计，而正确答案有90%的可能在估计的范围内,风险衡量基准与风险管理,18,Overconfidence 过分自信,If people make low estimate and high estimate in a way that accurately reflects how confident they are, 如果人们以准确反映其自信程度的方式做出最低与最高估计
20、90% of people should find that the true answer lies between their low and high guess. 90% 的人应发现正确答案在他们的猜测范围内。,风险衡量基准与风险管理,19,Overconfidence 过分自信,In practice in the experiment only 10% of people managed to do this. The others gave too narrow a range because they were overconfident.在实际试验中，仅有 10% 的人这样做
21、。其他人提供的范围非常窄，因为他们比较过分自信。 Actual answer = 645 days 实际答案 = 645 天 I tried this on two colleagues: 我对两位同事进行了这项试验：,Actual answer outside range 实际答案不在此范围内 = overconfident 过分自信,I asked another colleague who admitted to having no idea 我询问另一位同事，他承认自己不知道答案 Guess = 360 days to 1800 days 猜测范围 = 360 天至 1800 天,Fi
22、rst one told me he knew even before I finished explanation (he thought it was about 540 days) 我还没解释完，一位同事就告诉我他知道答案 （他认为是 540 天左右） Guess = 450 days to 600 days 猜测范围 = 450 天至 600 天,Actual answer within range 实际答案在此范围内 = NOT overconfident 不过分自信,风险衡量基准与风险管理,20,Overconfidence 过分自信,Evidence shows that the
23、 more people know a subject, the more likely they are to be overconfident in their ability to estimate an unknown amount. 证据显示， 人们对某主题了解的越多，他们对自己估计未知数字的能力产生过分自信的可能性越大。This is important for ALM because as actuaries we are often asked to say whether certain assumptions are reasonable. 这一点对ALM而言非常重要，因为
24、作为精算师，我们常常需要判断若干假设是否合理 We are also asked whether a set of stochastic simulations is reasonable 我们还被问及一组随机模拟的计算结果是否合理Typically we consider whether the 90% confidence interval for interest rates, equity returns, etc. over a given period is reasonable 通常，我们考虑既定期间内的利率、股票回报等的90%信心区间是否合理,风险衡量基准与风险管理,21,Ov
25、erconfidence 过分自信,Example: 例如：Consider stochastic simulations used in recent years, compared with stock market (or exchange rate) movements in last five to ten years 考虑近年使用、与最近五至十年的股市（或兑换率）变动相比较的随机模拟I believe we have seen many examples of overconfidence 我认为我们已经看到许多过分自信实例Famous example is the insolve
26、ncy of the LTCM hedge fund 最有名的例子是LTCM对冲基金的无力偿债,风险衡量基准与风险管理,22,Framing 表达方式,A subtle change in the way in which a decision is proposed (or “framed”) may effect the course of action taken. 建议或“表达” 的方式发生细微的变化都可能影响到采取的行动方案。,Only 20% of people chose Option 1. 只有20%的人选择选项1。,Option 2: a 25% chance of losi
27、ng $200, and a 75% chance of losing nothing 选项2： 25%的可能损失200美元，但75%的可能不会损失,Option 1: a 100% chance of losing $50选项1： 100%的可能损失50美元,Another Experiment: 另一个试验： People were asked to choose between two options: 要求人们对以下两种选项进行选择：,风险衡量基准与风险管理,23,Framing 构思,However when the question was framed differently:
28、不过，当问题以不同的方式表达：,Option 2: a 25% chance of losing $200, and a 75% chance of losing nothing 选项2： 25%的可能损失200美元，但75%的可能不会损失,Option 1: an insurance premium of $50 to avoid a 25% chance of losing $200 选项1： 支付50美元的保险费，可避免25%的可能损失200美元,This time 65% of people chose Option 1. 这次，65%的人选择了选项1。,So the way we a
29、sk questions, especially with probabilistic outcomes can have a big impact on the answer 因此，我们提出问题（尤其是具有概率结果的问题）的方式，会对答案产生巨大的影响,风险衡量基准与风险管理,24,Framing 表达,This is a fact of life which makes decision making, and presenting to decision makers challenging 这是做决策时和向决策者展示结果时遇到的最大挑战No obvious solution to th
30、is issue, other than: 这个问题没有明显的答案，除非： to be aware that framing exists and therefore the way we present an issue (risk measure) can be as important as the answer (decision) 了解表达方式的影响，因此我们表示问题（风险衡量基准）的方式与答案（决策）一样重要 it is even more important to get decision makers agreement on how to present risk measu
31、res 更重要的是，决策者应就如何表示风险衡量基准达成一致的意见 we should use all means at our disposal to communicate statistical results, including tables, charts, graphs, alternative descriptions of the same ideas, etc. 我们应该采用一切可能的方法来传达统计结果，包括表格、图表、图形、相同观点的替代描述等,风险衡量基准与风险管理,25,Communication 沟通,ALM projects involve many differe
32、nt business units / departments in a life insurance company other than actuarial 除了精算部门外，ALM 项目还涉及到寿险公司的多个不同业务单位部门 Investment 投资 Finance 财务 Distribution channel managers 分销渠道 Product Development 产品开发 Marketing 营销 Actuaries are well positioned to take a leadership role in ALM work 精算师具有良好的条件，可领导 ALM
33、工作 However we need to ensure that we communicate effectively 不过，我们需要确保相互之间有效沟通 This may mean we need to learn the language used by other professionals in the organisation 这可能意味着我们需要学习公司其他专业人士使用的语言 Risk Managers may use language developed from ALM applied to banking sector 风险经理可能要使用银行业的ALM术语 “VaR”, “
34、Present value of a basis point”, “Macaulay” vs “effective” duration, etc,风险衡量基准与风险管理,26,Holistic Approach to Risk Measurement 风险衡量的综合方法.,风险衡量基准与风险管理,27,Holistic Approach to Risk Measurement 风险衡量的综合方法,Are there any magical risk measures everyone should include in their output results presentation? 有没
35、有哪一种每个人都需要的万能风险衡量基准？,No 没有,Studies suggest individuals decision making capabilities are not enhanced by having access to too much information. 研究显示，个人的决策能力没有因获取过多信息而提高。,风险衡量基准与风险管理,28,Holistic Approach to Risk Measurement 风险衡量的综合方法,Some questions to be considered before deciding on risk measures: 决定
36、风险衡量基准前考虑的一些问题：What are the companys medium to long term objectives? 公司的中长期目标是什么？How easy is it for the company to have access to additional capital? 公司获得额外资金的容易程度如何？What is the planning time horizon? 规划时限多久？,风险衡量基准与风险管理,29,Holistic Approach to Risk Measurement 风险衡量的综合方法,Risk measures should take ac
37、count of these facts. 风险衡量基准应考虑以下事实。 For example 例如 if all decisions in the company are driven by US GAAP results, dont produce risk measures based on statutory profits only 若公司的所有决策均受美国GAAP结果的影响，请勿仅基于法定利润制订风险衡量基准if very difficult to attract additional capital then should look at short term statutor
38、y capital requirements 若很难吸收到额外资金，则应考虑短期法定偿还能力要求if capital is plentiful, may prefer to look at economic solvency than statutory solvency 若资金充足，可优先考虑经济偿还能力if business planning time horizon is 5 years, then look at impact of making different decisions (e.g. new business volume and mix) over the next 5
39、 years 若业务规划时限为5年，则考虑未来5年做出不同决策（如新业务量及业务组合）的影响,Examples 实例.,风险衡量基准与风险管理,31,Examples 实例,Some risk measures with helpful properties: 一些有所帮助的风险衡量基准：Conditional Tail Expectation 有条件的末尾预期（CTE） Some reserves are determined to be sufficient “in majority of cases” 一些储备金“在大多数情况下”被确定为充足 E.g. in HK GN7 require
40、d reserves to be held for guaranteed MPF business that means the company has at most a 1% chance of needing extra capital 例如，在香港，GN7要求久保证强积金持有储备金，即公司最多有1%的可能需要额外资金 This reserve only looks at the result at the 99th percentile, and effectively discards other information 此储备金仅考虑第99个百分点的结果，并有效排除其它信息。An
41、alternative is to look at the CTE. CTEs are used quite extensively in Canada. 替代方法是考虑CTE。CTE在加拿大应用相当广泛。 For example the 2% CTE is the average amount that would be needed from the 98th to the 100th percentile. It uses all of the information provided on the reserve needed in the tail of the distributi
42、on (from the 98th percentile) 例如，2% CTE是第98个百分点至第100个百分点所需的平均数额。它使用就分销末期（自第98个百分点开始）所需储备金提供的所有信息However the 99th percentile measure may be easier to explain and to understand! 不过，第99个百分点衡量基准可能更容易解释和理解！,风险衡量基准与风险管理,32,Examples 实例,Advisable to consider measures that look at the true economic position,
43、 especially when the statutory basis is passive 尤其当法定基准为被动时，公司应考虑真实经济状况的衡量基准 E.g. compare the market value of liabilities with market value of assets 例如，将负债市值与资产市值相比较 Market value liabilities is difficult to estimate for many liability classes, so a possible alternative is to compare 对于许多负债类别而言，市值负债
44、难以估计，因此可能比较替代市值负债 Distribution of GP reserves vs. current market value of assets GP储备金的分配与资产的现有市值 GP reserves in each scenario equal PV future benefits plus commissions & expenses less premiums at market interest rates.每种情境下的GP储备金等于未来利益加佣金及费用的现值，减去保费的现值（使用市场利率作贴现率）。 Repeat for say 1,000 scenarios, a
45、nd plot the distribution. 重复假设1,000种情境，得到数据分布。 If probability of shortfall is too high, we should try to reduce the asset-liability risk. 若短缺机率过高，我们应试着降低资产负债风险。 In many cases room to manoeuvre on assets is limited 在许多情况下，资产调动空间有限 However may be able to reduce the liability guarantees on new business
46、 不过，或许可以减少新业务的负债保证,风险衡量基准与风险管理,33,Examples 实例,Or at least to consider the projected statutory position 或至少考虑计划的法定偿还能力状况 Project statutory balance sheets stochastically 随机推算法定资产负债表 Determine probability of statutory insolvency in future years 确定未来数年发生法定无力偿债的机率,风险衡量基准与风险管理,34,Examples Risk Return Prof
47、iles 实例 风险回报评估,Importance of Selecting Correct Risk Measure: 选择正确的风险衡量基准的重要性Same results, different risk measures 同样的结果，不同的风险衡量基准,风险衡量基准与风险管理,35,Risk-Return Profile using NII 采用NII评估风险-回报,Default 既有策略,Low risk 低风险,High risk 高风险,Dynamic 动态,-60,000,-40,000,-20,000,0,20,000,40,000,60,000,80,000,100,000
48、,120,000,140,000,160,000,0,100,000,200,000,300,000,400,000,500,000,600,000,700,000,800,000,900,000,Standard Deviation of NII for 2004/5 Fiscal Year 2004/5财政年度的NII标准偏差,Mean NII for 2004/5 Fiscal Year ($ m) 2004/5财政年度的平均NII（百万美元）,风险衡量基准与风险管理,36,Risk-Return Profile using Probability of Insolvency 采用无力偿
49、债机率评估风险-回报,Default 既有策略,Low risk 低风险,High risk 高风险,Dynamic 动态,490,000,500,000,510,000,520,000,530,000,540,000,550,000,560,000,570,000,580,000,590,000,0%,5%,10%,15%,20%,25%,30%,35%,Probability that MV Assets ever Statutory Reserves MV资产的机率始终 法定储备金,Median Free Assets ($ m) 自由资产中间值（百万美元）,风险衡量基准与风险管理,37
50、,Examples Risk Return Profiles 实例 风险回报评估,Default Strategy does not appear especially attractive under the NII view 从NII的角度看，既有策略没有显示出特别的吸引力Appears significantly better on a Probability of Insolvency measure 无力偿债机率衡量基准好像更有帮助Why? 为什么？ May be that the NII ignores some information 可能是NII忽略了一些信息 For exam
51、ple NII determined based on policy reserves only 例如，仅根据保单储备金确定NII Interest on Free Assets means that solvency of company fairly robust to volatility in NII up to a certain point 自由资产的利息收入导致公司的偿付能力足以应付最高达致某一点的 NII 波动 after which probability of insolvency increases rapidly 此后，无力偿债机率迅速增大Understanding why the results look how they do may be more important than the results themselves 了解产生结果的原因可能比结果本身更重要,
