會不會再來一次經濟大恐慌啊… - 經濟

※ 引述《liton (歐吉桑留學生)》之銘言：
看到liton大的文章我想到最近讀到的一篇文章：

Confessions of a risk manager

　　讀完感覺很複雜，似乎真實社會運作與想像的世界往往有很大的落差。有些

時候，並不是對錯問題，而是不同價值概念的判斷。而風險就在放任中逐漸擴大

，主管漸次授權放行投資一些本來不該通過的金融商品。造成可能的損害上限不

斷的增加卻缺乏足夠的準備應付流動性問題。

　　而公平價值會計恰好有起了推波助瀾的作用：公平價值會計本身是中性的，

企圖使金融商品的評價能夠更反應其真實價值。但是許多金融商品本身對於市場

變動的敏感性很高（如衍生性金融商品），一有風摧草動就會引起鉅額的價值變

化。而不巧的，市場有可能因此引發信心危機造成市場崩塌，出現流動性風險。

　　有些批評公平價值會計的人認為：天下本無事，大家只要「有信心」，就能

夠支撐金融商品的價值到足夠高的水準。因此會計處理適時的反應其價格變化是

不必要的，反而會增加市場的恐慌。*1

　　我卻不認為這樣，資訊自有其價值存在，會計處理是一個資訊傳遞的反應

過程，延後處理（如：除非處分，否則不認列損益）其實只是「不是不爆，時

候未到。」






*1

這個假設是建立在市場上有可分別的兩種投資人，一種是法人，本身以有足夠

能力（私有資訊）去評價金融商品，不需要會計資訊提供公開資訊。

　　而另一類[小額]投資人需要公開資訊，但是卻沒辦法評估商品目前價格未來走勢，

只有盲從市場變化追漲追跌。（而金融風爆發生時，往往發現是本來應該是為專業機

構設計的商品，卻是這種人佔市場的多數部份，因此市場價值決定於此類投資人的進

場與退場。）

　　在這種情況下，公平價值會計對於提供金融商品的「正確」評價，並沒有幫助，

只會造成市場的不穩定。在有價格變動時，市場會趨於發散體系。　


*2

關於「信心」問題我印象最深的，就是大二修總經時，老師最喜歡問的問題：

同樣是政府發行的紙製品，兩者同樣是政府信用的指標。為什麼財政部發行的「公債」

價值較低（要附加利息吸引投資人），而央行發行的「新台幣」卻不用？　　

　 還有投資學舉的：只要投資人非風險中立者，你就有發行一種證券，左口袋進，右

口袋出，發行者卻可以賺得現金流量的機會。（這裡說的是現金流量完全match的情形，

因為足額準備所以Default free，如單期的互保，彩券）


　　更進一步的，只要投資人「相信」發行者永遠「不會倒」，發行者就可使用部份準

備或是不提任何準備（當然實務上必須要有一小塊比例的自有資本），提高財務槓桿，

做起投機的生意。（最顯著的部份準備例子是銀行，其經營成敗存款戶「信心」佔很大

比例；）

令人訝異的是，現在的金融商品似乎不只是轉移風險而已，發行者往往自己撩落去

並提高槓桿（現金流量未完全配合，流動性準備不足，部份準備……），看對時大賺一

票，看錯時「退場」：紅利，退休金打包回家，債務交給政府（代表市場投資人？）處

理。

　　反正too big too fail，先創造「信心」假象，在順風時可以賺更多，在逆風時「

信心崩潰」經常會造成市場系統性風險（特別是流動性問題），在出現系統性風險時，

正是大有為政府出面「保障投資人」利益的時候：若政府不出面處理，明天會更糟，而

且對很多人來說太陽就不會升起了.（如自殺等社會問題）

　
以上是一個會計學徒的管窺面。還在學校讀書，僅僅就閱讀文章提出感想，如果有

錯誤之處，還請各位大大指正……

_________________________________________


Confessions of a risk manager

中譯文可以在

http://www.accounting.org.tw/5.asp 找到

Economics原文則在
http://www.economist.com/finance/displaystory.cfm?story_id=11897037


轉錄如下：
__________________________________________

http://www.accounting.org.tw/5.asp
專欄-金融觀點

一位風控長的告白

會計研究月刊 274期 2008/09/01


■ 陳伯松

會計研究發展基金會秘書長

當前這場源頭在美國房產質押貸款市場，衍生發展到美國證券金融市場，更蔓延至
全世界的世紀金融風暴，堪稱百年一見，目前尚在擴展中，甚至無人敢說：「最壞的情
況已過去」。

讓人驚訝的是，在風暴中受重創的不乏赫赫有名的大銀行：花旗、美林、高盛、李曼
、AIG、BOA、UBS、匯豐、二房…等。大家要問：在銀行內部，到底發生了什麼事？
Hyman P. Minsky說過，金融體系內存有內生性的不穩定現象，每隔一段時間就會產生大
型的金融危機。
「Minsky現象」是解釋金融泡沫危機的學說之一，著眼在一般的投機者和賭徒型的
投機者(Ponzi borrowers)的現金流量安排失衡，造成了金融資產市場價格崩潰。然而，
銀行是創造貨幣信用的機器，上述投機者對受信的需求若無銀行供給授信，也不會成事。
在銀行內部中，風控機制一旦失衡，Minsky所說的內生性不穩定條件就成立了。

日前，筆者閱讀經濟學人一篇”Confessions of a risk manager”（一位風控長的
告白），感慨甚深，從該報導裡，讀者可以見到上述內生性不穩定現象的因子：失靈的
風控機制、績效誘因的扭曲、過度金融發達…。在一窩蜂狂熱的錢潮追逐中，船上其他
人享受著漲潮時的狂飈和狂喜，風控長則必須思考退潮時船如何全身而退？是時候了，
以下，讓我們聽聽這位風控長的喃喃自語，也希望喚起國內金融機構對於風險管理的重
視。

「2007年初的金融世界看起來毫無風險跡象，元月時，我和我的風險小組開了一次
會，檢討未來12個月內，銀行可能碰到的五項風險。我們這一小組的功能在隨時思考銀
行可能遭受不利(downside)的各種情況。過去四年來，利率低，信用差(credit spread)
一直縮小，銀行貸款無倒帳違約，金融市場震盪性很小，一切的一切都顯示，這是二十
年來所僅見的風平浪靜的風險環境。

風控小組的職能在審核銀行端(bankers)和交易端(traders)移送案件的授信和交易
風險，並決定是否同意放行。此外，風控小組也全面監看、報告銀行的風險水位，並對
超出警戒水準者施以限制。風控小組永遠會擔心市場流動性突然乾枯的可能，可是，我
們所看到的是流動性綿綿不絕地流入市場，在過去幾年，機構投資者、避險基金、私募
基金和主權基金等不斷湧入市場，尋找投資機會，這正是信用差不斷縮小的原因所在，
尤其是新興市場更明顯，而在私募基金市場，債對盈餘(debt-to-earnings)比也放大了
。在會議上有人提問：「市場流動性危機可能發生於何處？」沒人能夠回答。

如今回想起來，我們應該對危機的第一個訊號付予更多注意才對，危機來臨前都有
前兆，如果你能正確解讀通常就能化險為夷。2005年五月的結構債市場出現了一個微小
風波，卻是如今這場風暴即將發生的預警，在那個月份，通用汽車的公司債被評等機構
降等，從投資等級降為垃圾等級，因為通用的公司債廣被持有，降級馬上引來一陣換手
的市場重組。跟其他銀行一樣，我們也持有大量的CDOs（證券化的質押債權），各種不
同的級次(tranches)均有，我們收購金融資產（大部份是債券），予以重組、分類包裝
，加以證券化、結構化成CDOs，然後售給全世界投資者。在這中間，我們會留住最好級
次的CDOs在手上，而儘量賣清所有低級次的CDOs，因為在CDOs中債權若發生倒帳，吸收
損失的順位從最低級次開始算起，最好級次的排在最後，幾乎沒有風險。

在2005年五月中，如上述原則我們持有AAA或超高(super-senior)級次的CDOs，並
賣空低級次的CDOs，以風險管理的觀點言，此舉十分正確，高級次的CDOs價值將升高，
低級次者將跌價。可是，2005年五月的市場情況正好相反，高級次的價跌，低級次的價
升，讓我們遭致損失。

這真讓人始料未及，高低級次之間市場有了微妙的變化，因為大家追逐高利率（譯
註：輕忽了風險），所以低級次的CDOs很搶手而缺貨，價格反而上漲，相對地，高級次
的CDOs沒人要（譯註：利息太低），價格下跌。

2005年五月的市場騷動在2007年夏天又重演一次，不同的是，這回的規模大多了，
而且，我們也沒下對判斷。以風控角度言，我們應出清所有級次的 CDOs，而非只有低級
次的CDOs ，然而，我們無法相信AAA級的CDOs竟然價格下跌了1%，而讓我們的無倒帳風
險的資產組合價值貶損了20%，很顯然，我們對流動性風險的評價不準確，而可容錯的空
間又非常有限。

我們在市場上建立如此巨大的交易部位，如何一步一步陷入了險境之中？問題的答
案牽涉到許多因素，而每一項都是逐日累積而不易預先察覺風險。

終極大戰

風險聚焦在貸款的傳統業務風險這塊。貸款這項業務的市場變現性不佳，而且，在
銀行帳上，會計採權責基礎，有別於在交易帳上採每日洗價基礎。貸款的授信風險都經
過嚴謹分析和控管，以有效降低倒帳損失，至於股權、公債、外滙和衍生性的交易，則
以逐日洗價基礎管控風險。

銀行的風險管理缺口，隨著多年來交易CDOs和其他的資產質押證券(ABS)而逐漸擴
大，也引起市場部門和信用部門間的不愉快。市場部門認為CDOs和 ABS等都是信用風險
的工具，管控徵信風險不是他們的事，信用部門則認為市場風險與他們無關，而且，這
類商品也列在交易帳上。

結構債市場爆炸性成長和高獲利則讓上述問題更趨嚴重。我們的風險管理做不澈底
，既對部位依評等別設限又讓交易桌以產品別交易。此外，我們所建立的兩項假設則讓
我們付出了代價。首先，我們認為，所有以每日洗價為基礎的交易商品若發生損失，必
能引起我們的關注，因為損益均有每日報表可看。其次，我們認為交易商品若有麻煩，
應該很容易可以處理掉，尤其是一些評為AAA或AA級的商品，更沒問題才對。我們的注意
力永遠放在不良等級的商品上，尤其注意新興市場的貨幣工具，以前發生過俄國和拉丁
美洲國家的債市危機讓我們深以為戒，然而，在這回的信貸危機中，新興市場的表現卻
比歐美市場好。我們也信任評等機構，很難想像我們竟然不敢挑戰它，然而事實就是如
此。外面的評等機構權威性如此高，以致於銀行內部判斷若有所降級，必招來自己人的
質疑，我們假設評等機構懂得比我們多。

我們因而對所持龐大規模的優良等級商品覺得放心，以致於太慢出清它們。我們只
需一點點支援的資金，不必加流動性貼水，很少違約險，只圖一點點正利差──持有它
所生孳息和銀行拆放息或附買回(repo)市場利息間的息差。逐漸地，我們的資產組合變
得愈來愈複雜了，因為它們都列在交易帳上，許多逃避了徵信審核，而暴露了我們的弱
點。風險管理部門的審核和核准交易的壓力很大，心理因素佔重要地位。為維護它的獨
立性，風管部門單獨向董事會提報告，或許主管者認為為落實風險分析與評估而有必要
如此安排，但是，這種安排卻傷了銀行部門和交易部門的關係。

變調的比賽

在業務部門（銀行和交易）人員眼中，我們不是賺錢單位，更糟的是我們握有權力
阻止他們賺錢。交易單位的業務人員總認為我們擋了他們的財路，妨礙他們獲取更高利
潤。他們不會認為我們係從另一個角度幫他們忙，結果雙方面常在會議上爭吵。我的主
管常提醒我：許多交易員已經要我為他們少做的交易負責，通常是，業務人員不接受風
管人員的「不」的答案，尤其對利得大的案件更是如此。可是，在我們看來，利差愈大
表示風險愈高。對我們的評語如「沒有商業腦筋」、「無建設性」、「頑固不通」等也
就家常便飯了。必須公允的說，風管人員常常不是一個良好的溝通者和說服者，雖然有
優異的分析技巧，卻不善於把「不」的理由說清楚，因而，業務人員既被我們對他所否
定的內容，也被我們給他的理由所激怒。

癥結出在長久以來根深蒂固的內部文化，在決策過程中一直存在這樣的裂縫，在銀
行內部，決策會議不可能不偏不倚公正客觀地裁判，總會向一方傾斜。業務端渴望交易
被核准通過，更甚於其中的風險確認，風險因素在簡報中會被提到，但不成比例地輕微
，並且帶著緩和、安撫的語氣，這使得要反對該項交易變得師出無名，此時，風管人員
如果開口說不，馬上就成為業務人員聯合攻擊的目標，風險的思維因而向甘冒風險端傾
斜。所以，在會議上很難寄望集思廣益的效果能發揮出來。常常是風管人員鼓起勇氣來
扮黑臉，卻敵不過隨之而來的反擊，無力阻止該項交易，尤其是，業務人員花好幾週準
備簡報資料，而風管人員常常在會議前一個小時才拿到它。結果，為了部門盈餘，也為
了和諧氣氛，我們常常屈服而同意交易。

經常地，銀行在資產負債表上金融資產項目累積許多微差、微誤的風險評價，這裡
一點那裡一點，積沙成塔堆成了很高的風險。幾十億美元的金融資產的一點點價格微差
，結果成為每日洗價的巨額損失。在我們持有較少而風險較高的商品上，我們反而會斤
斤計較，但對我們持有多數而認為安全的商品，我們常常大而化之，結果是，20%的不
良品所遭致的損失遠低於80%的優良等級商品。

射門和守門員

整個銀行業和風管人員究竟從這場危機中學到了什麼？有許多心得值得分享：
其一是回歸基本面，在從事風險交易之前和之後，隨時分析、檢討資產負債表上各種
部位的型態、規模和複雜性。不要假設評等都是對的，即便他們對，他們也會很迅速
改變。

其二，流動性風險應由下述兩方面予以評量：一、對交易帳上的部位，應該同時用內
部資金成本和外部資金成本計費，與銀行帳的部位相較，其關聯性太低而須重新對正
水準。二、提列流動性準備金，目前業界還沒普遍注意到此點。公平價值會計實施也
不允許此項作法，他們會認為這樣做是為讓盈餘平緩化。然而，在銀行資產負債表上
供交易目的的資產愈來愈重的市場環境裡，提列流動性準備較能因應標的資產的各種
可能變化，這樣做總比某些銀行根本反對公平價值會計的原則好。

最後，但非僅止於此，銀行應更重視風險管理部門，給予更多尊重，最好的方法
是鼓勵交易人員轉調風控人員。不幸的是，實務上剛好相反，風控熟練人員隨時想上
交易線，而成功的交易人員很少考慮要轉行。風管人員就像足球賽的守門員，他一直
在球場上，少數關鍵時刻他才是球賽的焦點，罰射球門時便是。

風管這職能吃力不討好，有如選擇權的賣方－報酬有限(limited upside)而風險
無窮(unlimited downside)。風控長深知無論如何必須防止危險發生，聰明的企業在
選用優秀人才擔任此項職務時，則必須謹記此點。」


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http://www.economist.com/finance/displaystory.cfm?story_id=11897037

Finance and economics

A personal view of the crisis
Confessions of a risk manager

Aug 7th 2008
From The Economist print edition
Why did banks become so overexposed in the run-up to the credit crunch? A
risk manager at a large global bank—someone whose job it was to make sure
that the firm did not take unnecessary risks—explains in his own words

Gary Neil

IN JANUARY 2007 the world looked almost riskless. At the beginning of that
year I gathered my team for an off-site meeting to identify our top five
risks for the coming 12 months. We were paid to think about the downsides but
it was hard to see where the problems would come from. Four years of falling
credit spreads, low interest rates, virtually no defaults in our loan
portfolio and historically low volatility levels: it was the most benign risk

As risk managers we were responsible for approving credit requests and
transactions submitted to us by the bankers and traders in the front-line. We
also monitored and reported the level of risk across the bank’s portfolio
and set limits for overall credit and market-risk positions.

The possibility that liquidity could suddenly dry up was always a topic high
on our list but we could only see more liquidity coming into the market—not
going out of it. Institutional investors, hedge funds, private-equity firms
and sovereign-wealth funds were all looking to invest in assets. This was why
credit spreads were narrowing, especially in emerging markets, and
debt-to-earnings ratios on private-equity financings were increasing. “Where
is the liquidity crisis supposed to come from?” somebody asked in the
meeting. No one could give a good answer.

Looking back on it now we should of course have paid more attention to the
first signs of trouble. No crisis comes completely out of the blue; there are
always clues and advance warnings if you can only interpret them correctly.
It was the hiccup in the structured-credit market in May 2005 which gave the
strongest indication of what was to come. In that month bonds of General
Motors were marked down by the rating agencies from investment grade to
non-investment grade, or “junk”. Because the American carmaker’s bonds
were widely held in structured-credit portfolios, the downgrades caused a big
dislocation in the market.

Like most banks we owned a portfolio of different tranches of
collateralised-debt obligations (CDOs), which are packages of asset-backed
securities. Our business and risk strategy was to buy pools of assets, mainly
bonds; warehouse them on our own balance-sheet and structure them into CDOs;
and finally distribute them to end investors. We were most eager to sell the
non-investment-grade tranches, and our risk approvals were conditional on
reducing these to zero. We would allow positions of the top-rated AAA and
super-senior (even better than AAA) tranches to be held on our own
balance-sheet as the default risk was deemed to be well protected by all the
lower tranches, which would have to absorb any prior losses.

In May 2005 we held AAA tranches, expecting them to rise in value, and sold
non-investment-grade tranches, expecting them to go down. From a
risk-management point of view, this was perfect: have a long position in the
low-risk asset, and a short one in the higher-risk one. But the reverse
happened of what we had expected: AAA tranches went down in price and
non-investment-grade tranches went up, resulting in losses as we marked the
positions to market.

This was entirely counter-intuitive. Explanations of why this had happened
were confusing and focused on complicated cross-correlations between
tranches. In essence it turned out that there had been a short squeeze in
non-investment-grade tranches, driving their prices up, and a general selling
of all more senior structured tranches, even the very best AAA ones.

That mini-liquidity crisis was to be replayed on a very big scale in the
summer of 2007. But we had failed to draw the correct conclusions. As risk
managers we should have insisted that all structured tranches, not just the
non-investment-grade ones, be sold. But we did not believe that prices on AAA
assets could fall by more than about 1% in price. A 20% drop on assets with
virtually no default risk seemed inconceivable—though this did eventually
occur. Liquidity risk was in effect not priced well enough; the market always
allowed for it, but at only very small margins prior to the credit crisis.

So how did we get ourselves into a situation where we built up such large
trading positions? There were a number of factors. As is often the case, it
happened so gradually that it was barely perceptible.
Fighting the last war

The focus of our risk management was on the loan portfolio and classic market
risk. Loans were illiquid and accounted for on an accrual basis in the “
banking book” rather than on a mark-to-market basis in the “trading book”.
Rigorous credit analysis to ensure minimum loan-loss provisions was
important. Loan risks and classic market risks were generally well understood
and regularly reviewed. Equities, government bonds and foreign exchange, and
their derivatives, were well managed in the trading book and monitored on a
daily basis.

The gap in our risk management only opened up gradually over the years with
the growth of traded credit products such as CDO tranches and other
asset-backed securities. These sat uncomfortably between market and credit
risk. The market-risk department never really took ownership of them,
believing them to be primarily credit-risk instruments, and the credit-risk
department thought of them as market risk as they sat in the trading book.

The explosive growth and profitability of the structured-credit market made
this an ever greater problem. Our risk-management response was half-hearted.
We set portfolio limits on each rating category but otherwise left the
trading desks to their own devices. We made two assumptions which would cost
us dearly. First, we thought that all mark-to-market positions in the trading
book would receive immediate attention when losses occurred, because their
profits and losses were published daily. Second, we assumed that, if the
market ran into difficulties, we could easily adjust and liquidate our
positions, especially on securities rated AAA and AA. Our focus was always on
the non-investment-grade part of the portfolio, especially the
emerging-markets paper. The previous crises in Russia and Latin America had
left a deeply ingrained fear of sudden liquidity shocks and widening credit
spreads. Ironically, of course, in the credit crunch the emerging-market
bonds have outperformed the Western credit assets.

We also trusted the rating agencies. It is hard to imagine now but the
reputation of outside bond ratings was so high that if the risk department
had ever assigned a lower rating, our judgment would have been immediately
questioned. It was assumed that the rating agencies simply knew best.

We were thus comfortable with investment-grade assets and were struggling
with the huge volume of business. We were too slow to sell these better-rated
assets. We needed little capital to support them; there was no liquidity
charge, very little default risk and a small positive margin, or “carry”,
between holding the assets and their financing in the liquid interbank and
repo markets. Gradually the structures became more complicated. Since they
were held in the trading book, many avoided the rigorous credit process
applied to the banking-book assets which might have identified some of the
weaknesses.

The pressure on the risk department to keep up and approve transactions was
immense. Psychology played a big part. The risk department had a separate
reporting line to the board to preserve its independence. This had been
reinforced by the regulators who believed it was essential for objective risk
analysis and assessment. However, this separation hurt our relationship with
the bankers and traders we were supposed to monitor.
Spoilsports

In their eyes, we were not earning money for the bank. Worse, we had the
power to say no and therefore prevent business from being done. Traders saw
us as obstructive and a hindrance to their ability to earn higher bonuses.
They did not take kindly to this. Sometimes the relationship between the risk
department and the business lines ended in arguments. I often had calls from
my own risk managers forewarning me that a senior trader was about to call me
to complain about a declined transaction. Most of the time the business line
would simply not take no for an answer, especially if the profits were big
enough. We, of course, were suspicious, because bigger margins usually meant
higher risk. Criticisms that we were being “non-commercial”, “
unconstructive” and “obstinate” were not uncommon. It has to be said that
the risk department did not always help its cause. Our risk managers,
although they had strong analytical skills, were not necessarily good
communicators and salesmen. Tactfully explaining why we said no was not our
forte. Traders were often exasperated as much by how they were told as by
what they were told.

At the root of it all, however, was—and still is—a deeply ingrained flaw in
the decision-making process. In contrast to the law, where two sides make an
equal-and-opposite argument that is fairly judged, in banks there is always a
bias towards one side of the argument. The business line was more focused on
getting a transaction approved than on identifying the risks in what it was
proposing. The risk factors were a small part of the presentation and always
“mitigated”. This made it hard to discourage transactions. If a risk
manager said no, he was immediately on a collision course with the business
line. The risk thinking therefore leaned towards giving the benefit of the
doubt to the risk-takers.
Gary Neil

Collective common sense suffered as a result. Often in meetings, our gut
reactions as risk managers were negative. But it was difficult to come up
with hard-and-fast arguments for why you should decline a transaction,
especially when you were sitting opposite a team that had worked for weeks on
a proposal, which you had received an hour before the meeting started. In the
end, with pressure for earnings and a calm market environment, we reluctantly
agreed to marginal transactions.

Over time we accumulated a balance-sheet of traded assets which allowed for
very little margin of error. We owned a large portfolio of “very low-risk”
assets which turned out to be high-risk. A small price movement on billions
of dollars’ worth of securities would translate into large mark-to-market
losses. We thought that we had focused correctly on the non-investment-grade
paper, of which we held little. We had not paid enough attention to the
ever-growing mountain of highly rated but potentially illiquid assets. We had
not fully appreciated that 20% of a very large number can inflict far greater
losses than 80% of a small number.

Goals and goalkeepers

What have we, both as risk managers and as an industry, to learn from this
crisis? A number of thoughts come to mind. One lesson is to go back to
basics, to analyse your balance-sheet positions by type, size and complexity
both before and after you have hedged them. Do not assume that ratings are
always correct and if they are, remember that they can change quickly.

Another lesson is to account properly for liquidity risk in two ways. One is
to increase internal and external capital charges for trading-book positions.
These are too low relative to banking-book positions and need to be
recalibrated. The other is to bring back liquidity reserves. This has
received little attention in the industry so far. Over time fair-value
accounting practices have disallowed liquidity reserves, as they were deemed
to allow for smoothing of earnings. However, in an environment in which an
ever-increasing part of the balance-sheet is taken up by trading assets, it
would be more sensible to allow liquidity reserves whose size is set in scale
to the complexity of the underlying asset. That would be better than
questioning the whole principle of mark-to-market accounting, as some banks
are doing.

Last but not least, change the perception and standing of risk departments by
giving them more prominence. The best way would be to encourage more traders
to become risk managers. Unfortunately the trend has been in reverse; good
risk managers end up in the front-line and good traders and bankers, once in
the front-line, very rarely go the other way. Risk managers need to be
perceived like good goalkeepers: always in the game and occasionally
absolutely at the heart of it, like in a penalty shoot-out.

This is hard to achieve because the job we do has the risk profile of a short
option position with unlimited downside and limited upside. This is the one
position that every good risk manager knows he must avoid at all costs. A
wise firm will need to bear this in mind when it tries to persuade its best
staff to take on such a crucial task.


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