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

研究的重点是战略(企业)层面的风险管理，重点是全球金融公司。研究将证明，基于分散优化的规划模型为全球风险管理提供了一种实用的方法。成功的风险管理取决于组织实现明确目标的能力。这些系统不仅保护组织免受损失，而且还增加了风险调整后的利润。这项研究将比较在不确定情况下优化公司的主要方法，包括资源和价格指令程序。高级管理层和监管机构将对这些战略进行评估。在以前与金融公司合作的基础上，这项研究将扩展正在进行的风险管理系统，以解决分散的因素。这项研究将研究选择企业关键情景作为风险转移机制的一部分。由于动态财务模型比传统的单周期方法更有优势，分散优化将部署在离散时间、多周期的设置中。这项研究解决了当前风险管理实践中的问题：(1)历史数据可能歪曲未来，特别是关于罕见事件；(2)金融组织未能在一系列看似合理的情景下预测未来业绩；(3)监管机构可能在降低企业风险方面发挥交叉作用；(4)监管机构在技术方面缺乏经验；以及(5)管理人员在评估风险方面拥有不一致的指导方针。每个主题都将在项目期限内进行评估。由于几个新出现的趋势，全球风险管理已成为一个重要的问题。现代金融公司在全球市场的活动范围很广，从保险到投资银行、零售银行和证券经纪公司。虽然这些组织试图分散风险，但最近的事件表明，大型金融机构无法完全预测其总体损失敞口，特别是在压力较大的情况下。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，养老金计划降低了他们支付受益人的能力。这项研究的风险管理技术可以对专业实践产生积极影响。高效运营的公司不太可能倒闭，从而降低了外部社会成本。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。

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.