摩根大通CEO危机管理失败

    别再认为风险价值与现实相关。戴蒙可能不知道“伦敦鲸”交易员风险敞口的大小，但他的风险管理团队肯定知道。而且，如果他们使用了风险价值（VaR），他们就应当受到严厉批评，就像戴蒙如今所遭受的一样。我们没有记住教训？六年前，我曾思考风险价值和夏普比率（Sharpe Ratio）的问题，期间我们经历了2008年金融危机和无数的小危机。如今风险价值仍是（金融风险管理和）金融披露的根基——这一事实很令人震惊。但要注意，当今世界对于是否应当强制实施真正的以市值计价（mark-to-market）会计准则仍有巨大争议，这将使金融公司能够不那么真实地展现基于清算的资产和负债。我们应当分离长期资产和债务——基于存续期调整，资金流对应的资产和负债。接着，我们应当关注短期资产和负债，看看对冲其余风险的成本，从而了解基于真正的以市值计价风险敞口的市场估值。为何这不是当前最佳的披露方式，这个问题我回答不出，但至少这些工具应当在所有金融公司内采用，不仅仅是摩根大通[鉴于它们的系统重要性，它们应当得到监管机构和美国财务会计标准委员会（FASB）的推行。]

    SEC永远后人一步。这让我想到网络安全专家与邪恶黑客之间的斗争，或者世界反兴奋剂机构（WADA）与使用类固醇兴奋剂的弄虚作假者。这是好人与坏蛋之间的经典斗争[假定美国证券交易委员会（SEC）是“好人”——我认为它们正在努力做“好人”，只是没成功罢了]。它们人手不够，收入不高，没有动力，运气也不好。SEC主席玛丽•夏皮罗日前表示：“可以说，所有的监管机构都在关注这个问题”，这就像消防部门在房子烧毁后才现身一样。体系已经被打破了。会计准则有缺陷。风险分析和披露有缺陷。而且，监管框架也有毛病。此类损失不应是个意外。没有健全的披露，不消除多年以来充斥资产负债表的含糊不清，此类损失将继续发生。鉴于所产生风险的大小，金融体系中大公司间的相互交织和用于承担风险工具的复杂程度，利害关系已经放大。这已经不是父代的债券和风险套利组合了，这是所有形式、大小和流动性的衍生品。除非实施严格的以市值计价规定，确保监管的透明化，否则SEC都在做必败的战斗。透明化会产生很多有益的东西。但SEC后人一步，对于股东出资的投机者有益。SEC越是后人一步，他们就越是有更多的时间进行不对称押注（正面我赢——反面你输）。

    对于很多人而言，摩根大通披露的交易巨亏消息或许令人震惊，这本不该如此。不管是对金融行业的从业者还是普通人来说，深入了解金融机构风险的机制都存在缺陷。在这一根本性薄弱环节得到解决前，SEC如何做都不会有实质性改变。银行有足够的自由度能让自己（和整个金融体系）陷入麻烦。

    罗杰•恩瑞伯格（Roger Ehrenberg）是IA Ventures公司的创始人。他的博客地址是InformationArbitrage.com。

    译者：早稻米

    Stop thinking that VaR has any linkage with reality. While Dimon himself may not have been aware of the magnitude of the Whale's risk position, certainly his risk managers were. And if they were using VaR, they should be skewered as should Dimon. Have we learned nothing? I was musing about problems with VaR and Sharpe Ratio six years ago, and in between we've seen the 2008 crisis and myriad mini-crises in between, and the fact that VaR is still a bedrock of financial disclosure - and financial risk management - is chilling. But hey, we're still in a world where there are huge arguments over the imposition of true mark-to-market accounting rules, enabling financial firms to present something less than a true picture of how assets and liabilities are valued on a liquidation basis. We should isolate long-term assets and liabilities - those that are truly match-funded on a duration adjusted basis. Then we should look at those short-term assets and liabilities and look at the costs for hedging out the residual risks, understanding the market's assessment of the true mark-to-market exposure. Why this isn't current best practice for disclosure is beyond me, but at the very least these tools should be employed within all financial firms, not only the JP Morgan's of the world (though given their systemic importance they should be mandated by both regulators and the FASB).

    Acknowledge that the SEC will forever be playing catch-up. The metaphors that come to mind are Network Security Specialists vs. Black Hat Hackers. Or WADA (the world anti-doping authority) vs. Steroid Using Cheaters. It is a classic good guys vs. bad guys conflict (though I am operating on the assumption that the SEC are the "good guys" - I believe they are trying, just failing). They are out-manned. Out-paid. Out-incentivized. Out of luck. The fact that Mary Schapiro just uttered "I think it's safe to say that all the regulators are focused on this" is akin to the fire department showing up after the house has burned down. The system is broken. The accounting rules are flawed. Risk analysis and disclosure is flawed. And the regulatory framework is broken as well. Losses of this nature should not come as a surprise. They have and will continue to occur in the absence of common sense disclosure and elimination of all the obfuscation that has been allowed to pervade balance sheets for generations. It's just that the ante has risen given the magnitude of the risks being borne, the inter-connectedness of the major players in the financial system and the complexity of the tools being used to take risk. It's not your father's bond and risk arbitrage portfolios any more: it's derivatives of all shapes, sizes and liquidity. Until rigorous mark-to-market rules are enacted that facilitate the transparency required to regulate properly, the SEC is fighting a losing battle. All good things stem from transparency. But a broken SEC is good for shareholder-funded speculators. The longer it stays broken, the longer they get to continue making asymmetric bets in their favor (heads I win - tails you lose).

    While to many the JP Morgan trading revelations might have been shocking, they should't have been. The system for deeply understanding financial institutions' risk is flawed, both inside and outside the house. Until this fundamental weakness is addressed, it doesn't really matter what the SEC does. Our banks have more than enough latitude to get themselves - and our financial system - in trouble.

    Roger Ehrenberg is founder of IA Ventures. He blogs at InformationArbitrage.com