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1、CHAPTER1AFRAMEWORKFORUNDERSTANDINGMARKETCRISIS?RichardM.BookstaberThekeytotrulyeffectiveriskmanagementliesinthebehaviorofmarketsduringtimesofcrisis,wheninvestmentvalueismostatrisk.Observingmarketsunderstressteachesimportantlessonsabouttheroleanddynamicsofmarketsandthe
2、implicationsforriskmanagement.Noareaofeconomicshasthewealthofdatathatweenjoyinthe?eldof?nance.Thenormalprocedureweapplywhenusingthesedataistothrowawaytheoutliersandfocusonthebulkofthedatathatweassumewillhavethekeyinformationandrelationshipsthatwewanttoanalyze.Thatis,i
3、fwehave10yearsofdailydata2,500datapointswemightthrowout10or20datapointsthataretotallyoutofline(e.g.,thecrashof1987,theproblemsinmid-January1991duringtheGulfWar)andusetheresttotestourhypothesesaboutthemarkets.Iftheobjectiveistounderstandthetypicalday-to-dayworkingsofth
4、emarket,thisapproachmaybereasonable.Butiftheobjectiveistounderstandtherisks,wewouldbemakingagravemistake.Althoughwewouldgetsomegoodriskmanagementinformationfromthe2,490datapoints,unfortunately,thatinformationwouldresultinariskmanage-mentapproachthatworksalmostalltheti
5、mebutdoesnotworkwhenitmattersmost.Thissituationhashappenedmanytimesinthepast:Correlationsthatlookedgoodonadailybasissuddenlywentwrongatexactlythetimethemarketwasinturmoil;valueatrisk(VAR)numbersthattrackedfairlywelldaybydaysuddenlyhadnorelationshiptowhatwasgoingoninth
6、emarket.Inthecontextofeffectiveriskmanagement,whatwereallyshoulddoisthrowoutthe2,490datapointsandfocusontheremaining10becausetheyholdthekeytothebehaviorofmarketswheninvestmentsaremostatrisk.?ReprintedfromAIMRConferenceProceedings:RiskManagement:PrinciplesandPractices(
7、August1999):719.7CH001.indd78/28/108:14:25PM8PartI:Overview19901999Thispresentationconsidersthenatureofthemarketthatsurroundsthoseoutlierpoints,thepointsofmarketcrisis.Itcoversthesourcesofmarketcrisisandusesthreecasestudiestheequitymarketcrashof1987,theproblemswiththe
8、junkbondmarketintheearly1990s,andtherecentproblemswithLong-TermCapitalManagement(LTCM)toillustratethenatureofcrisisandtheles
