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财务风险管理的未来TheFutureofFinancialRiskMana.pdf

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March1,2010 Preliminary:Commentswelcome TheFutureofFinancialRisk Management CharlesS.Tapiero,TopferChairDistinguishedProfessor ofFinancialEngineeringandTechnologyManagement DepartmentofFinanceandRiskEngineering NYU-PolytechnicInstitute,BrooklynandNewYork ctapiero@poly.edu ThirdannualconferenceoftheCass-CapcoInstitutePaperSeriesonRisk, CassBusinessSchool,CityUniversityLondon,106BunhillRow,LondonEC1Y8TZ Monday19thApril,2010 1|Page Electroniccopyavailableat:http://ssrn.com/abstract=1562682 Abstract Thefinancialcrisisof2008hasrevealedwhatweallknow:Thatliquiditymattersvery much;Thatthefuturemaybeunpredictable;Thatnon-transparency,complexityand ambiguityhaveconjuredwithgreedtoinduce“Management’sRisks”asbeingabletoderail financialsustainabilityandThatfinancialmodelsarenotefficient.Theserevelationshave increasedourawarenessthatourfinancialexpectationscananddofalter.Thisrenewed awarenessmayalterthefinancialregulatoryenvironment,financialmarketsingeneral,our financialattitudesandbeliefsandbyextension,thefutureoffinancialriskmanagement.In lightoftheseevents,thepurposeofthispaper-presentationistoassessthefutureoffinancial riskmanagementandpointouttoessentialconcernsthatmayberelevantinmeetingthe challengesofafinancialworldincreasinglyinturmoil. 2|Page Electroniccopyavailableat:http://ssrn.com/abstract=1562682 1.Introduction FinancialRiskManagement(FRM)isfueledbyfutureneedsandthefutureillsof financialpartiesandsocietiesinteractinginanincreasinglycomplexglobalfinancialworldin turmoil(Peter,1995,Gleick,1987,GrandmontandMalgrange,1986).These“futureneeds andills”haveimplicationstothefuturefocusoffinancialriskmanagementinthesmall (pertainingtopersonsandcorporateentities)andinthelarge(pertainingtosovereignstates andglobalinitiativesandfinancialregulation).Theeffectsofalingeringfinancialcrisismay expanddramaticallyunderlyingfinancialtrendsandalterthefinanciallandscapeand thereforethefuturechallengesoffinancialriskmanagement.Thesetrendsinc