摩根大通CEO危機管理失敗

????別再認為風險價值與現實相關。戴蒙可能不知道“倫敦鯨”交易員風險敞口的大小，但他的風險管理團隊肯定知道。而且，如果他們使用了風險價值（VaR），他們就應當受到嚴厲批評，就像戴蒙如今所遭受的一樣。我們沒有記住教訓？六年前，我曾思考風險價值和夏普比率（Sharpe Ratio）的問題，期間我們經歷了2008年金融危機和無數的小危機。如今風險價值仍是（金融風險管理和）金融披露的根基——這一事實很令人震驚。但要注意，當今世界對于是否應當強制實施真正的以市值計價（mark-to-market）會計準則仍有巨大爭議，這將使金融公司能夠不那么真實地展現基于清算的資產和負債。我們應當分離長期資產和債務——基于存續期調整，資金流對應的資產和負債。接著，我們應當關注短期資產和負債，看看對沖其余風險的成本，從而了解基于真正的以市值計價風險敞口的市場估值。為何這不是當前最佳的披露方式，這個問題我回答不出，但至少這些工具應當在所有金融公司內采用，不僅僅是摩根大通[鑒于它們的系統重要性，它們應當得到監管機構和美國財務會計標準委員會（FASB）的推行。]

????SEC永遠后人一步。這讓我想到網絡安全專家與邪惡黑客之間的斗爭，或者世界反興奮劑機構（WADA）與使用類固醇興奮劑的弄虛作假者。這是好人與壞蛋之間的經典斗爭[假定美國證券交易委員會（SEC）是“好人”——我認為它們正在努力做“好人”，只是沒成功罷了]。它們人手不夠，收入不高，沒有動力，運氣也不好。SEC主席瑪麗?夏皮羅日前表示：“可以說，所有的監管機構都在關注這個問題”，這就像消防部門在房子燒毀后才現身一樣。體系已經被打破了。會計準則有缺陷。風險分析和披露有缺陷。而且，監管框架也有毛病。此類損失不應是個意外。沒有健全的披露，不消除多年以來充斥資產負債表的含糊不清，此類損失將繼續發生。鑒于所產生風險的大小，金融體系中大公司間的相互交織和用于承擔風險工具的復雜程度，利害關系已經放大。這已經不是父代的債券和風險套利組合了，這是所有形式、大小和流動性的衍生品。除非實施嚴格的以市值計價規定，確保監管的透明化，否則SEC都在做必敗的戰斗。透明化會產生很多有益的東西。但SEC后人一步，對于股東出資的投機者有益。SEC越是后人一步，他們就越是有更多的時間進行不對稱押注（正面我贏——反面你輸）。

????對于很多人而言，摩根大通披露的交易巨虧消息或許令人震驚，這本不該如此。不管是對金融行業的從業者還是普通人來說，深入了解金融機構風險的機制都存在缺陷。在這一根本性薄弱環節得到解決前，SEC如何做都不會有實質性改變。銀行有足夠的自由度能讓自己（和整個金融體系）陷入麻煩。

????羅杰?恩瑞伯格（Roger Ehrenberg）是IA Ventures公司的創始人。他的博客地址是InformationArbitrage.com。

????譯者：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