戴蒙听证会引发银行风险模式质疑

    看来在银行业模式中，风险总是开启的。

    上周三，摩根大通（JPMorgan Chase）首席执行官杰米•戴蒙在美国国会作证时，花了很多时间试图向参议院银行委员会（Senate Banking Committee）证明，除了伦敦鲸（London Whale），摩根大通的大部分对冲交易都是审慎的。他说，他相信压力测试，愿意与监管部门进行开诚布公地交流。摩根大通有整个委员会负责制定风险模型。乍听上去，这些似乎证明了戴蒙的说法，摩根大通最近爆出20亿美元并还在扩大的交易损失是一次性的。戴蒙甚至直言，他宁愿花更多时间想想欧洲。

    投资者似乎很满意这些说法。戴蒙作证结束后，摩根大通股价向上，涨了0.45美元，涨幅超过1.3%。但如果你能稍微深入地剖析一下戴蒙的讲话内容，就会发现金融危机以来通过的银行业改革方案对控制摩根大通或其他银行的风险收效甚微。

    戴蒙表示，虽然伦敦的信贷衍生品交易违反了公司的风险规定，但摩根大通首席投资官办公室管理的3500亿美元中的其他部分是流动性好、风险低的投资品种。为证明这一点，戴蒙说，这个投资组合的平均收益率只有2.6%，平均存续期3年。虽然2.6%听起来有点低，但在当前形势下还算不错了。如果戴蒙的投资组合风险很低，估计收益率就得和美国国债差不多。但3年期美国国债的平均收益率目前为0.375%。摩根大通投资组合的收益率是这个水平的7倍。显然，不承担风险是很难取得这样的收益率。

    而且，众所周知，华尔街人士喜欢定制西服，在风险模型上他们似乎也有这样的偏好。戴蒙表示，摩根大通有几十种风险模型，每个都按不同的业务类型特制。取决于经济环境，这些风险模型定期更新。这似乎有点荒谬。不管是银行的哪个部门在交易，信贷衍生品的风险都是一样的。而市场和经济环境能迅速改变。你想要的风险模型是不管环境好坏都能保护你的模型。

    戴蒙表示，摩根大通为首席投资官办公室建立了新的VaR模型，符合巴塞尔协议III（Basel III）规定的银行业新监管条例。这些协议的本意是降低（而非提高）银行的风险水平。但实际情况往往事与愿违。新的风险模型允许首席信息官承担更多风险和损失。

    最后，摩根大通和戴蒙再度指出，制定和执行限制银行高风险交易的沃尔克法则（Volcker rule）难度很大。沃尔克法则允许对冲交易，但禁止自营交易。戴蒙表示，他不能“清楚地区分”这两者。如果戴蒙看不出自营交易和对冲交易的区别，很可能摩根大通的交易员们也不太加以区分。

    In banking, it appears, the model is always risk on.

    In Congressional testimony on Wednesday JPMorgan Chase's CEO Jamie Dimon spent a lot of time trying to prove to members of the Senate Banking Committee that the bulk of what his bank does - London Whale aside - is prudent. He said he believes in stress testing. And that he has an open door policy with regulators. He has a whole committee of people assigned to develop risk models. On the surface, it all seemed to prove Dimon's argument that JPMorgan's recent $2 billion and counting trading loss was a one-off. Frankly, Dimon said that he would rather be spending more of his time thinking about Europe.

    And it appears investors liked what they heard. Shares of JPMorgan (JPM) reacted positively, up $0.45, or just over 1.3%, shortly after Dimon finished testifying. But if you dig a little deeper into what Dimon said there is a lot of reason to believe that recent banking reforms passed in the wake of the financial crisis have done little to reign in risk at JPMorgan or elsewhere.

    Dimon said that while the credit derivatives trades that were made out of London violated the firm's risk rules, the rest of the $350 billion managed by the firm's chief investment office is in liquid, generally low-risk investments. To prove that, Dimon said that on average the portfolio has a yield of just 2.6% and a duration of 3 years. But while 2.6% might sound low, these days that's rather hefty. If Dimon's portfolio was truly low-risk, you would expect it to have a similar yield to U.S. Treasury bonds. But the average yield on a 3-year Treasury bond is currently 0.375%. JPMorgan's portfolio is yielding seven times that. That's hard to do without taking a lot more risk.

    What's more, while it's well known that Wall Streeters like bespoke when it comes to suits, that appears to be their taste in risk models as well. Dimon said that his firm has dozens of risk models, each individually tailored to different lines of business. And those risk models are regularly updated depending on the economic environment. That seems foolish. Credit derivatives have the same risk no matter what division of the bank is trading them. And markets, and economic environments, can quickly change. What you want is one risk model that will be sufficiently strict to protect you when things are good and when things are bad.

    In the current instance, Dimon says the firm introduced a new value-at-risk model for its CIO office to be compliant with new banking regulations put in place by the Basel III accords. But those accords were supposed to make banks less risky, not more so. Instead, the opposite happened. The updated risk model allowed the CIO to take on more risk, and more losses.

    Lastly, JPMorgan and Dimon prove once again that instituting and policing the Volcker rule, which is supposed to limit risky trading at the banks, will be very hard to do. Hedging is allowed under the Volcker rule. Prop. trading is not. But Dimon said he can't "draw a bright line" between the two. And if Dimon can't see the difference proprietary trading and hedging, it's very likely his bank's traders don't make much of a distinction either.