Risk Management For Global Financial Organizations: Applying Large-Scale Optimization

全球金融组织的风险管理：应用大规模优化

• 批准号: 0323410
• 负责人: John Mulvey
• 金额: $ 29.79万
• 依托单位: Princeton University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2003
• 资助国家: 美国
• 起止时间: 2003-09-01 至 2007-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0323410&HistoricalAwards=false
• 关键词: Risk; Management; Global; Financial; Organizations

The research focuses on risk management at the strategic (enterprise) level, with an emphasis on global financial companies. The research will demonstrate that a decentralized optimization-based planning model provides a practical approach for global risk management. Successful risk management depends upon an organization's ability to achieve well-defined objectives. These systems not only protect an organization against losses, but also increase risk-adjusted profits. The research will compare leading approaches for optimizing a firm under uncertainty, including resource and price directive procedures. Senior management and regulators will evaluate the strategies. Building on previous work with financial companies, the research will extend ongoing risk management systems to address decentralized elements. The research will study the selection of firm-critical scenarios as part of risk transfer mechanisms. Since dynamic financial models possess benefits over traditional single-period approaches, decentralized optimization will be deployed in a discrete-time, multi-period setting. The research addresses problems in current risk management practices: (1) historical data may misrepresent the future, especially regarding rare events; (2) financial organizations fail to predict future performance under a set of plausible scenarios; (3) regulations may work at cross purposes for mitigating enterprise risks; (4) regulators lack experience in technical aspects; and (5) managers possess inconsistent guidelines for evaluating risks. Each topic will be evaluated during the project tenure.Global risk management has become a significant concern due to several emerging trends. Modern financial companies span a wide spectrum of activities in global markets from insurance to investment banks, retail banks and security brokerages. While these organizations attempt to diversify risks, recent events have shown that large financial organizations are unable to fully anticipate their overall loss exposure, especially during stressful conditions. European financial firms have lost considerable market value due to convergence of losses. In the US, pension plans have reduced their ability to pay beneficiaries. The research's risk management techniques can have a positive impact on professional practice. Companies that operate in an efficient manner are less likely to fail, thus reducing external societal costs. The current US pension problem is an example, whereby improved asset-liability management would have been beneficial.

研究重点是战略（企业）层面的风险管理，重点是全球金融公司。研究表明，基于分散优化的规划模型为全局风险管理提供了一种实用的方法。成功的风险管理依赖于组织实现明确目标的能力。这些系统不仅可以保护组织免受损失，还可以增加风险调整后的利润。本研究将比较在不确定性下优化企业的主要方法，包括资源和价格指导程序。高级管理层和监管机构将对这些战略进行评估。在先前与金融公司合作的基础上，该研究将扩展现有的风险管理系统，以解决分散的因素。本研究将研究企业关键情景的选择作为风险转移机制的一部分。由于动态金融模型比传统的单周期方法具有优势，分散优化将部署在离散时间，多周期设置。该研究解决了当前风险管理实践中的问题：(1)历史数据可能会歪曲未来，特别是在罕见事件方面；(2)金融机构无法在一组合理情景下预测未来业绩；（三）规章制度可能与减轻企业风险相互矛盾；(4)监管机构在技术方面缺乏经验；(5)管理者评估风险的指导方针不一致。每个主题将在项目任期内进行评估。由于几个新兴趋势，全球风险管理已成为一个重大问题。现代金融公司在全球市场上的活动范围很广，从保险到投资银行、零售银行和证券经纪。虽然这些机构试图分散风险，但最近的事件表明，大型金融机构无法完全预测其整体损失敞口，尤其是在压力大的情况下。由于亏损趋同，欧洲金融公司损失了相当大的市场价值。在美国，养老金计划已经降低了向受益人支付养老金的能力。本研究的风险管理技术可以对专业实践产生积极影响。以高效方式运营的公司不太可能倒闭，从而降低外部社会成本。当前的美国养老金问题就是一个例子，改善资产负债管理本来是有益的。