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Yen Yee Chong
John Wiley & Sons Ltd 出版
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1 Introduction to Investment Risk 1
Dream versus rude awakening 1
Book structure 3
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2 The Beginning of Risk 5
Risk and business 5
Case study: The shark and its risk 5
Case study: The ruin of Cr´edit Lyonnais (CL) 7
Case study: ABB engineering 7
Investment scams 9
Banking risk and sharks 9
Risk management as a discipline 10
Humans and risk 11
Case study: High-street retail store losses 12
Case study: Allied Irish Bank (AIB) 12
The state of the investment game 13
Risk types 13
Reputation risk 14
Case study: Equitable Life 14
Credit risk 15
Market risk 15
Operational risk 16
Risk and damage 17
Viable alternatives 18
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3 Investing under Risk 21
Human behaviour and investment choice 21
Portfolio management 22
Value-at-Risk (VaR) 25
Monte Carlo simulation 28
Collective use of mathematical tools 29
Position keeping 30
Investment managerial control 31
The treasurer’s role 31
Trading and risk management 32
Investment risk experts 38
Case study: A large UK PLC defined benefits pension fund 39
Who controls whom 39
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4 Investing under Attack 41
Investor disenchantment 41
Risk-bearers and risk-takers 41
Professional investor/shareholder 41
Investment companies/fund managers 42
Investment banks 43
Auditors 43
A look in the risk mirror 44
Risk-averse 44
Risk-neutral 45
Risk-takers 45
Investor analysis 46
Types of CEO – birds of a feather 47
The CEO eagle – The M&A addict 47
The CEO dodo – Risk-phobic 48
The CEO ostrich – Risk-ignorant 48
The CEO owl – Risk-acceptable 48
The CEO magpie – Risk-seeking 48
Company structure and risks 49
Case study: The executive background check 49
Risk vanities 51
Pensions mis-selling 52
Case study: Boo.com 53
Corporate misgovernance 53
Accuracy of corporate losses 54
Classes of instruments and their risk components 55
Derivatives 56
Bonds 57
Equities 60
Investment as a project 62
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5 Investing under Investigation 63
Instinct versus ability 63
Checking corporate fundamentals 64
Formulate a business plan 64
Due diligence 67
Risk support and methodology 68
Investor cynicism 69
Case study: LTCM 70
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6 Risk Warning Signs 73
Prevailing risk attitudes 73
Reputational risk 74
Case study: Enron 74
Airborne early warning (AEW) 76
International accounting standards (IAS) 77
Credit ratings 78
The ratings procedure 79
Business lines 80
Law and risk management 81
Case study: the UK Football League 81
What the law covers 82
Completeness of contract 82
Case study: Merrill Lynch versus Unilever pension fund 83
Sarbanes–Oxley Act for audit control 84
Insurance 85
Risk retention: self-insurance 87
Case study: Insuring big oil projects 88
Case study: the Names and Lloyds, London 89
Sharing, transferring or mitigating risk 89
Search for risk management 92
Alternative theories 92
Causality and managing investment risk 92
Value-added chain 93
Risk management to pick up the pieces 94
Scenario analysis 94
Case study: Business Continuity, lessons from September 11th 94
Case study: Guaranteed annuity payments 96
Stress testing 96
Bayesian probability 97
Artificial intelligence (AI) and expert systems 97
Case study: Anti-money laundering 97
Risk maps 99
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7 The Promise of Risk Management Systems 101
Current state of systems 101
Risk management methodology – RAMP 102
Activity A: Analysis and project launch 102
Activity B: Risk review 102
Activity C: Risk management 102
Activity D: Project close down 103
Financial IT system support 103
The Basel II Loss Database project 103
Case study: Algorithmics systems in a bank 105
Integration and straight-through processing (STP) 106
IT systems project failure 107
Case study: IT overload 107
Tying financial system functionality to promise 108
Risk Prioritisation 108
Giving the go-ahead 109
Building risk management systems 109
Finding the “best” risk management system 109
The invitation to tender (ITT) process 110
Business functionality requirements 110
User’s functional priorities 111
Business flirting – the user’s system specification 113
Business flirting – the supplier’s reply 113
Judging the ITT beauty show 114
System priorities 115
Project life cycle 116
Risk management project plan 117
A – Our risk strategy 117
B – Risk review 117
C – Risk management 117
D – Project close down 119
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8 Realistic Risk Management 121
Intentional damage 121
Fraud, theft and loss 121
Fraud perceived as the main criminal threat 122
419 – not a number, but a way of life 123
Operational risk in emerging markets 124
Parachuting in the experts 125
Case study: Chase Manhattan in Russia 125
Unintentional damage 126
Case study: Split capital investment funds 126
Rogue staff 129
Exposure to fraud at the top 129
Exposure to fraud lower down the rung 131
Case Study: Deutsche Morgan-Grenfell, 1996 132
An operational risk perspective 132
Operational risk protection: the “roof” 133
Investment project growth 134
Phase 1: High skill 135
Phase 2: High performance 135
Phase 3: Client growth 135
Phase 4: Asset growth 136
Case Study: Soros Quantum Fund and Buffett’s Berkshire Hathaway 136
Phase 5: Skill decline 136
Investor risk skills 137
Investment management skills in the market 137
Hiring star managers and CEOs 138
Investment managers and governance 138
Creating a winning fund management team 139
Building for investment resilience 140
Moving ahead from the investment herd 140
Recap on operational risk 141
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9 The Basel II Banking Regulations 143
Current banking problems 143
Basel II – a brief overview 143
1 Pillar one: Capital requirements 144
2 Pillar two: Supervisory review 145
3 Pillar three: Market discipline 146
Cost-benefits under Basel II 146
Risk for financial institutions and insurance 148
The Basel II OpRisk principles 150
Loss database 151
Loss database drawbacks 152
Scenarios for Basel II OpRisk 154
Next steps: After Basel 154
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10 Future-proofing against Risk 159
Moral hazard 159
Risk detection 160
Case study: Marconi 161
Risk countermeasures 163
Case study: The Yakuza and shareholder meetings 163
Risk firepower 164
Case study: Huntingdon Life Sciences (HLS) 164
Insurance: the buck used to stop here 166
Risk monitoring 167
Case study: WorldCom 168
Forensic accounting 169
Appropriate risk management structure 170
Case study: BCCI bank 171
Facts, not figures 174
New risk focus 175
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11 Integrated Risk Management 177
Developments in the finance sector 177
Organic risk management 178
Separating reputation from risk management 180
Case study: Enron 181
Future for risk management 184
The case for organic risk management 184
Case study: Hunting for staff deceit 187
Unintentional (ostensibly) and legal 187
Intentional and illegal 189
The reigning investment ideology 189
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12 Summary and Conclusions 195
Summary of risk management 195
Identify stakeholders and interests 195
Match risk appetites 196
Match risk time horizons 197
Organic due diligence 198
Value for money 199
Reputation risk 199
The corporate governance model 200
Hitting back 200
Keep your eyes on the prize 201
Conclusions 203
Index 205
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