全球風險管理專業(yè)人士協(xié)會(GARP)致力于為風險管理條線上的各級人員，包括各大金融機構的風險從業(yè)者和監(jiān)管機構人員提供風險教育和最新行業(yè)資訊。金程網(wǎng)校將持續(xù)轉載“GARP Risk Intelligence”系列文章，介紹科技、企業(yè)文化與治理、能源等領域對操作風險、信用風險、市場風險和資產(chǎn)負債管理的影響。讓我們一起全面認識風險，防范風險，化解風險。
回望剛剛過去的2018年最后一個月，我們發(fā)現(xiàn)它有些不同尋常：12月4日美國標準普爾500指數(shù)下跌了90點，12月7日又進一步下挫63點。盡管這些大幅下跌并非前所未有，但顯而易見的是金融市場壓力正逐步增大。在深入探討這些波動與過去70年來市場的其他劇烈的波動有何異同前，讓我們首先考慮為什么市場如此緊張不安。
當前的全球政治格局高度緊張，部分原因在于近在眼前的英國退歐、美中之間的貿(mào)易爭端以及法國“黃背心”運動引發(fā)的社會不穩(wěn)定。隱含在這些事件中的許多悖論或許能解釋市場波動性為何如此之大：不確定性和不一致性導致的困惑和混亂引發(fā)投資者不斷做出各種交易決定，從而進一步加劇了市場的波動。因此，對地緣政治風險的考慮必須成為當下金融風險管理思維的一部分。
12月的市場波動為何如此之大?
Today, the global political landscape is extremely stressful – driven, in part, by the upcoming Brexit, a trade war between the US and China and a social uprising in France. Why this leads particularly to volatility can be explained by the many paradoxes that underlie these events. These incongruities create confusion and steer investors in quickly fluctuating directions.
The social unrest in France and protests by the so-called yellow vests have led to violence and damage to the city of Paris, particularly the Arc de Triomphe.
In his address to the nation on December 10, French President Emmanuel Macron acknowledged the protestors' anger and walked back a number of his reforms, such as a planned tax rise for low-income pensioners. Although this may reduce the fierceness of the protests for the short term, the paradox is that protesters learn that it pays to disrupt the country and damage France's monuments, which may lead to more out-of-control protests in the future.
The UK's inability to negotiate a proper divorce with the European Union represents another contradiction. Recently, there have been many stops and starts with alleged Brexit deals, but the confusion reached new heights in early December, when Michael Gove, a secretary in Prime Minister Theresa May's cabinet, declared that a planned December 11 House of Commons vote on the Brexit deal would “definitely go ahead.” The problem, of course, is that May postponed the parliamentary vote on that Brexit deal on December 10.
Today, uncertainty remains, the value of the Sterling has decreased to a 21-month low and the Brexit process is looking as unpredictable and chaotic as ever. Moreover, at the moment, it is not clear how long May will remain prime minister – though a change of leadership would not, by itself, solve the many incongruities related to the Brexit.
與歷史上的波動有何異同
The early December declines were among the largest, most impactful market shocks over the past 70 years. Figure 1 (below) charts the differences and returns in the daily S&P 500 from 1950 through early December of this year, when the markets were clearly under great stress.
圖1： 每日標準普爾500指數(shù)的差異和回報：1950年 - 2018年12月7日
The second panel of Figure 1 depicts the phenomenon of “volatility clusters.” Black Monday (October 19, 1987) and its 58-point S&P 500 decline is clearly visible, as is October 27, 1997 (“the Asian flu”), and August 31, 1998 (the Russian crisis, devaluation of the ruble and LTCM default).
When Black Monday hit, such shocks were unprecedented. Since that time, however, we've seen many shocks (up or down) larger than 50 points. Indeed, as shown in Figure 2 (below), there have been 60 such shocks during the 1987-2018 period.
圖2： 標準普爾500指數(shù)起伏超過50點，1987年至2018年
Apart from the aforementioned “big three” events, there were seven dramatic shocks in 2000/2001 (resulting, in part, from the bursting of the dotcom-bubble and the 9/11 attack on the Twin Towers in 2001), one in 2007 and 19 during the global financial crisis (GFC) of 2008/2009. During the GFC period, we witnessed the largest market swings to date: -107 on September 29, 2008, and +104, two weeks later, on October 13.
There were seven shocks larger than 50 points in 2011, four in 2015 and two in 2016. In 2018, we've witnessed 17 such shocks – and counting. Since the level of the S&P 500 index has increased during the 31-plus years following Black Monday, one can argue that swings of 50+ points were more significant in the 1980s than they are now.
Indeed, there is no question that, on a relative basis (see the third panel of Figure 1), the swings in the aftermath of Black Monday are unrivaled. Moreover, the volatility during the GFC was higher than what we saw in early December of this year.
Still, there's no denying that the current volatility remains very high. Figure 3 (below) depicts a more recent (2018-only) view of the performance of the S&P 500. Using R quantmod, this trading chart tracks both long-term (200 days moving average, in brown) and short-term (50 days moving average, in red) trends.
Thanks to the two early December declines, the short-term trend has crossed the long-term trend in a declining market. Technical analysis is controversial, but from the perspective of technical analysts, this cross-over is a clear sell signal.
圖3： 2018年的標準普爾500指數(shù)：短期和長期趨勢(至12/7)
一些其他思考
Even by historical standards, the stock market declines of early December 2018 were quite dramatic. There is no question that they were driven by geo-political events that must now be factored into financial risk management planning and decision-making.
For financial risk managers, sticking to a traditional or Basel-inspired risk taxonomy is no longer enough.Geo-political risk can impact the bank's balance sheet and operations in multiple areas, and risk managers need to identify and assess these threats.
Indeed, to allow for second- and third-round effects, risk professionals need to set up complex scenarios – including internal bank stress tests – to prove their robustness. Geo-political risk is a relatively new territory that requires a risk mindset that's very different from simply building Basel-compliant capital models.
Marco Folpmers(FRM)是埃森哲財務和風險的董事總經(jīng)理。 他還是荷蘭蒂爾堡大學金融風險管理教授
2019年提前備考，F(xiàn)RM報二級送一級 ，提前備戰(zhàn)考試無憂
針對參加本次FRM考試的考生，金程教育特推出“FRM報二級送一級”，即提前報讀二級學習相關課程。FRM報二級送一級課程詳情在線咨詢
.png)
相關推薦：FRM考試科目 FRM科目占比 FRM成績 FRM是什么
2019年FRM備考群 835405115 FRM資訊&資料隨時分享，與眾多FRM持證人交流考試經(jīng)驗。
