博迪教學(xué)課件10

Chapter10:

Principlesof RiskManagementObjectiveRiskandFinancialDecisionMakingConceptualFrameworkforRiskManagementEfficientAllocationofRisk-Bearing1Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallChapter10Contents10.1WhatisRisk?10.2RiskandEconomicDecisions10.3TheRisk-ManagementProcess10.4TheThreeDimensionsofRiskTransfer10.5RiskTransferandEconomicEfficiency10.6InstitutionsforRiskManagement10.7PortfolioTheory:QuantitativeAnalysisforOptimalRiskManagement10.8ProbabilityDistributionsofReturns10.9StandardDeviationasaMeasureofRisk2Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall10.1WhatisRisk?

UncertaintyAnunrealizedeventisuncertainforanobserveratagiventimeifhe/shedoesnotknowitsoutcomeatthattimeIenterasealedbidonapubliccontractThevalueofmybidiscertaintomeBeforeunsealing,mybidisuncertaintoyouAfterunsealing,mybidisknowntoyou3Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallUncertaintythatmatters

Riskisuncertaintythat“matters”totheobserverYoumanage“TheIntergalacticHerrings”andhaveachoicebetweentwocontractsfortheconcerthall1Paythehallowner$2foreachticketsold2Payaspecifiedlump-sumforthehallthathasalowerexpectedcostthan(1)4Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallContractualOutcomes“Ticketsales”isthe“riskthatmatters”Whileeachfanmaybecertainaboutattendingornotattending,managementisnotfullyinformed,andisatriskbecauseifsalesareinfacthigherthanN*,itpaysmoreifitselectedchoice1ifsalesareinfactlowerthanN*,itpaysmoreifitselectedchoice25Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallStrategiesforControllingRiskHerring’smanagementhasseveralstrategiesforreducingcost-uncertaintyDoresearchtodeterminethenumberoffansandthepercentageoffanswhowillattendForafee,obtaintherighttoselectbetweencontract1and2atalaterdateHedgewithcontractstothirdparties,(radiostation,concessionaires,contractors,…)6Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallNamingtheStrategies:ResearchThefirststrategyispurchasinginformationbyresearchThereisacostassociatedwithcollectinginformation,butinformationenablesonetomakebetter-informeddecisionsInformationisoftencollectedincrementally,andadecisionismadeateachstepwhethertocontinuecollectingfurtherinformation7Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallNamingtheStrategies:InsuranceorOptionThesecondstrategyentailspurchasingtherighttomakeachoicebeforeaspecifiedtimeHavingtherighttakeanactionwheninformationbecomesclearercanbevaluableInthiscase,theoptionistherighttodelayselectionoftheexactcontractualtermsTheobligationtorentthehallmightbeagoodquidproquofortheoption8Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallNamingtheStrategies:HedgingThethirdstrategycreatessecondarycontractsthatreduceoverallexposuretotheriskcreatedbytheprimarycontractAprimaryfixed-feerentalcontractcreatesaforwardpositionin(unknown)futuresalesHerringmayoffsetthisriskbyrequiringitsconcessionairestoenterintofixedrentalfeecontractsratherthan%ofsalescontracts9Copyright?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-boardmanufacturerthatunderestimatesdemandwilllosecurrentsalesandmarketshareoverestimatesdemandwillownaninventorywithamarketpricethatisbeingerodedbyrapidtechnologicalobsolescenceAnydeviationisunfavorable12Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?20/20HindsightTheappropriatenessofarisk-managementdecisionshouldbedeterminedusingonlytheinformationavailablewhenthedecisionwasmadeWeshouldavoidcoloringourjudgementofaearlierdecisionwithfactsknowafterthedecisionBut...13Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?PreservingyourOptionsBut…adecisionthatpreservestheabilitytomakein-flightcorrections(atasmallcost)overonethatdisposesofthatabilitycharacterizesawell-madedecision“Preserveyouroptions”14Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?KnowingwhentoPurchaseInformationBut…adecisionthatwasbasedontimelyandcarefullypurchasedinformationcharacterizesawell-madedecision“Knowwhentobuyavowel”15Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?

TailortheContractBut…Riskreductionclausesmayoftenbeincludedinacontractatverylittlecostwhenthecontractiswritten,butareexpensivetoaddasacontractamendmentDevelopastandardsetofrisk-relatedclausesthatmaybeincorporatedintodraftcontractsWhennegotiating,thinkintermsofbothexpectedcostsandtheirassociatedrisks16Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?LookingBackBut…RevisitriskydecisionsinthelightoftheiroutcomestoimprovefuturedecisionmakingThisisnottopraiseluckymanagementnorscoldunluckymanagementAsk:“Howcouldtheinfrastructuresupportingdecisionmakingbeimprovedbypreparingfortheminadvance?”(e.g.Maintaincurrentdatabaseofkeyvariables)17Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?RiskExposureIfyoufaceaparticularkindofriskbecauseofthenatureofyourjob,business,orpatternofconsumptionyouhaveaparticularriskexposure18Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallWhatisRisk?Risk-ControllingToolsManytoolthatmaybeusedtoreduceriskmayalsobeusedtoincreaseriskIfyouinsureyourhouseagainstfire,youarereducingyourrisk(Hedger)IfIinsureyourhouseagainstfire,Iamincreasingmyrisk(Speculator)(Probablynotaninsurablerisk:moralhazardlackofalegitimateeconomicpurpose)19Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall10.2RiskandEconomicDecisionsRiskexposureofhouseholds:Sickness,disability,&deathrisksUnemploymentriskConsumer-durableassetriskLiabilityriskFinancialassetrisk20Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallRiskexposureoffirmsInput/outputchannelsstrike,boycott,embargo,war,safety,supply/demandLossofproductionfacilitiesfire,legislation,civilaction,strike,nationalization,warLiabilityriskcustomer,employee,community,environmentPricerisksinput,output,foreignexchange,interestCompetitorrisktechnology,intellectualproperty,economic21Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallGovernment:Majorcalamitiesweather,forestfires,riotsGuaranteesexports,smallbusinessloans,mortgages,andstudentloans,croppricesInterventionsbankfailures,strategicfirmfailures,cropfailures,medicalcoverage22Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall10.3TheRisk-ManagementProcessRiskidentificationRiskassessmentSelectionofrisk-managementtechniquesImplementationReview23Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallRiskidentificationSomerisksarecommonlyunder-identified,andsoarenothedgeddisabilitycoverageisoftentoolowSomerisksthatdonotexistare‘hedged’lifeinsuranceisoftenover-prescribedSomerisksoffseteachotherliabilityofacarwithinafleet;price/quantity24Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallRiskassessmentThequantificationoftheidentifiedrisksquantificationofexposuretoriskrequiresspecializedskillsActuariesInvestmentcounselors25Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallSelectionofrisk-managementtechniquesRiskavoidanceLosspreventionandcontrolRiskretentionRisktransfer26Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallImplementationRisktransferrequiresfindingasuitabletransfervehicleatanacceptablepriceObtaincompetitivequotationsandlookatalternativewaystohedgeConsiderthemixofupsidetodownsideriskOptionssheddownsiderisk,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%RISCOGENCO0ProbabilityReturnProbabilityDistributionsofReturnsofGENCOandRISCO43Copyright?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.PublishingasPrenticeHallNormalDistributionofStockReturns48Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallContinuousDistributionsAverycommonassumptionisthatthereturnsofastockaredistributednormally.Assume:NORMCO’shasanexpectedreturnof10%andastandarddeviationof0.1265VOLCOalsohasanexpectedreturnof10%,buthasastandarddeviationof0.253049Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall50Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTwoNewDistributionsofReturnThenextslideshowsanothertwodistributionsofreturnthathavebeensuperimposedTheyappeartohavethesamemean,namely10%,butODDCOappearstohaveahigherstandarddeviationthanVOLCO51Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall52Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallCaveatTheODDCOdistributionactuallyhasnomeannorstandarddeviationIfyoudrewsamplesfromthedistributionandcomputedthesetwostatistics,youwouldquicklydiscoverthatforn=100,200,etcetera,neitherstatisticconvergestoaconstantnumber53Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallCaveatThedistributionofODDCO’sreturnsfollowaCauchyDistributionTheCauchyandNormaldistributionsarespecialcasesoftheStabledistributionSomeresearchersbelievethatstockreturnsarenotnormal,butaredrawnfromastabledistributionwithoutaSD54Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallCaveatAsweprogress,wewillassumethatstockreturnsdohav