财务风险管理是一个增值活动吗[文献翻译]

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1、编号：时间：2021年x月x日书山有路勤为径，学海无涯苦作舟页码：第11页 共12页原文：Financial risk management: is it a value-adding activity？Financial risk management is a process to deal with the uncertainties resulting from financial markers. It involves assessing the financial risks facing an organization and developing management str

2、ategies consistent with internal priorities and policies. Addressing financial risks proactively may provide an organization with a competitive advantage. It also ensures that management, operational staff, stakeholders, and the board of directors are in agreement on key issues of risk.Considering w

3、hether financial risk management is value-adding. Although risk management can reduce total risk, this may not affect the cost of capital or firm value. Well-diversified investors have already eliminated all of the specific risk, and risk-management may be seen as a zero NPV activity at best, and at

4、 worst, a value-reducing activity. However, there is a role for risk management. Reduction of total risk may reduce the expected costs of financial distress, this increases firm value. Present a method of investment appraisal that takes account of total risk through expected financial distress costs

5、. Such a method can result in three possible decisions relating to a new project; reject the project invest in the project; and risk-manage; or invest in the project but do not risk-manage. Finally, presents worked examples.When considering a firms financial risk management activities, we may ask tw

6、o questions; why do firms engage in such activities, and how do they do it? How firms engage in risk-management has been extensively considered. Methods typically involve combining financial instruments such as shares, bonds, options and futures, in order to obtain a desired payoff profile (see Smit

7、h and Smithson (1998) for an excellent analysis).In this paper, we consider the more controversial question; why bother with financial risk-management? Is financial risk-management value adding? Shapiro and Titman (1998) consider this question of whether risk management is desirable. A firms total r

8、isk consists of two elements; market risk (which measures the sensitivity of the firms stock price to market-wide movements), and specific risk (which measures the stock price movements which are specific to the firm, and independent of market movements). According to the CAPM and APT models, well-d

9、iversified investors hold portfolios that have already eliminated all of a firms specific risk, but investors cannot eliminate market risk. The equilibrium market price of each firms shares in the portfolio is such that expected returns only compensate investors for holding market risk, as embodied

10、in a firms beta. As such, risk-management activities by the firm are irrelevant in the sense that they are unable to add value. These activities may reduce total risk, but diversified investors have already done so by eliminating all of the specific risk. Hence, risk management activities will not i

11、ncrease the market price of the firms shares. Shapiro and Titman (1998) argue that, since financial instruments are fairly priced, and compensate investors for market risk only, hedging risk through financial instruments is, at best, a zero net present value (NPV) activity. In the worst scenario, ri

12、sk management may actually be value reducing, since it may be a costly activity in terms of time and resources. Risk management irrelevance can be analysed as follows. Consider the value of the firm as the sum of the discounted value of expected future cashflows. That is, if the firm is expecting ca

13、shflows of X1 in year i, and the firm discounts at a cost of capital r, then firm value V is given by: V 1=X 1/(1+r) + X 2/(1+r)2+(1) The cost of capital (or the investors required return) includes an element for market risk. The firms risk management activities reduce total risk, but this will not

14、affect the market risk. Therefore, the firms beta will be unchanged, and hence the cost of capital r will remain the same. Having demonstrated how risk management may be (at best) an irrelevant activity, Sheperd and Titman (1998) proceed to rescue risk management by showing that it can have an effec

15、t on firm value. They argue that total risk does matter, through its effects on the cashflows. A high level of total risk may increase expectations of financial distress, hence reducing the expected cashflows, and reducing firm value. Risk management aimed at reducing total risk, although not affect

16、ing the discount rate, may increase expected cashflows, which would be value increasing.Furthermore, a firms managers have an incentive to engage in risk management, even if this is not value increasing. A single firms financial distress may not be of much concern for a well-diversified investor. Ho

17、wever, it could be disastrous for the management of that firm, in terms of loss of employment and reputation. It may be argued that management has a private discount rate which reflects total risk, and hence exceeds the social discount rate r. Since the firm is valued in the market using r, the mana

18、gement would have a lower private valuation of the firm than the market. Risk management could then be viewed as managements attempts to increase their private valuation towards the market valuation.Should we adjust the discount rate?Shimko (2001) argues that well-diversified investors do not exist.

19、 Therefore, the NPV method of investment appraisal may be flawed, since it uses a discount rate that only reflects market risk. He proposes an adjustment to the NPV method in order to take account of total risk. His risk-adjusted present value (RPV) method attacks the problem by adjusting the discou

20、nt rate. Shimkos RPV approach is derived as follows.Consider a one period investment project with present value V 1 at time 0 (this is the amount that the investor is prepared to pay at time 0, and is defined as cash capital). The time 1 cashflow provided by the project is a normally distributed ran

21、dom variable with mean 1 and standard deviation 1. Shimko assumes that the cashflow is not correlated with any market risk factors. The risk-free rate is r.The investor requires a return on his/her cash capital and his/her risk capital. Risk capital is the maximum amount that the investor might lose

22、 on the project over the year. In order to derive risk capital, the firm must define a “worst case” time 1 cashflow, W1=1z1.That is, the worst case cashflow is z standard deviations below the mean. The present value of the worst case cashflow is W 0=W1/ (1+r). Hence, risk capital =V0W0.The expected

23、capital gain over the year is: 1-V=r*V0+k*(V0-W0) (2)The left-hand side shows that the expected capital gain is the expected time 1 value (that is, the mean) minus the initial cash investment. The right-hand side partitions this expected gain into the return on cash capital r*V0 plus the return on r

24、isk capital k* (V0W0).Shimko re-arranges (2) to provide the following formulation:V0=1/ (1+r) (k/ (1+r+k)*(z*1/ (1+r) (3)This suggests that the value of the project equals its NPV value minus a risk charge that is proportional to the difference between the expected value and the worst case value.“Th

25、e projects cash flows are not correlated”Note that, since it is assumed that the projects cashflows are not correlated with the market, the NPV is found by discounting the expected cashflow at the risk-free rate. Shimko points out that we obtain the NPV formulation, V0=1/ (1+r), as a special case wh

26、en k= 0. Furthermore, as k= the value of the asset approaches its worst case value W0. Hence, the value of the asset is affected by total risk, and particularly the value-at-risk.This approach emphasises that, when there are limitations to portfolio diversification, investors (and managers) become c

27、oncerned with total risk. The RPV method allows us to focus on a crucial element of risk management; the value-at-risk. A potential drawback is that the value V0 is affected by different agents private valuations, either through k, or through the choice of W0 (since this choice affects z). Indeed, t

28、he author presents numerical examples that show that NPV valuation can be much greater than the subjective RPV valuation. Therefore, using RPV could have serious problems for investment appraisal. It is possible that the RPV method could lead to incorrect project acceptance/rejection decisions.It is

29、 better to adjust the cashflows!In this section, we provide an approach to investment appraisal based upon Shapiro and Titman (1998) rather than Shimko (2001). The goal of investment appraisal is to identify and accept value-increasing projects. This method should reflect the market valuation of the

30、 project. If we assume that the CAPM formulation is robust, and that investors are only rewarded for holding market risk, it is better to adjust the cash-flows rather than the discount rate. In our analysis, we retain the idea of value-at-risk, specifically relating it to financial distress.Consider

31、 a one period investment opportunity that requires investment of l at time 0. The time 1 cashflow X is normally distributed, with mean 1 and standard deviation 1. Furthermore, if the realised cashflow is less than l, the firm faces financial distress. This carries a cost of F, where F reflects disru

32、ption to services, loss of reputation, legal costs and so forth. The expected cost of financial distress is E (F) =F * Pr obX F. Management may be tempted to incorporate the expected value E (Fm) into the NPV formula such that: NPVm=-l*(1-E (F)/ (1+k) NPV (6)If NPVm 0 NPV if E (F)/ (1 + k) C. This m

33、eans that risk management activities are worthwhile if the elimination of the present value of financial distress costs exceeds the expenditure required on risk management activities.The project acceptance and risk management decision rules are as follows:Take the project, and risk manage if NPVrm0,

34、 and NPVrmNPV. Risk-management activities are value-adding, and the project has a positive NPV after such activities. Take the project, but do not risk-manage, if NPV0, and NPVNPV. Risk-management activities are value-reducing, but the project has a positive NPV without them.Reject the project if 0

35、NPVrm NPV, or 0 NPV NPVrm. In this case, we reject the project, whether risk-management activities are value-adding or value-reducing. Conclusion: Financial risk-management activities can reduce total risk. This may be value-adding if it reduces the cost of financial distress. If investors are well-

36、diversified, and if CAPM is robust, then the reduction of total risk should not affect the cost of capital. Therefore, following Shapiro and Titman (1998), we have analysed the effects of risk-management on firm value through the cashflows, rather than through the discount rate. We develop a method

37、of investment appraisal that takes account of total risk through expected financial distress costs. Such a method can result in three possible decisions relating to a new project:(1) Refuse to this project; (2) Investment and risk management; (3) Investment projects but no risk management.Source: Ri

38、chard Fairchild,2002. “Financial risk management: is it a value-adding activity”.Balance Sheet,vol.10,no.4,pp.22-25. 译文：财务风险管理：这是一个增值活动？财务管理风险是应对财务市场导致的不确定性的过程。它包含评估企业面临的财务风险和制定财务风险管理战略，管理战略的制定应与企业内部的优先事项和政策相一致。积极应对财务风险能提高企业的竞争力，确保管理层、业务人、利益相关者和董事会在有关风险的重大问题上达成一致。财务风险管理考虑的是是否能增值。尽管风险管理可以降低总的风险，但这可能不

39、会影响资本或公司价值的成本，投资者们已经主张消除所有的特定风险和风险管理，这可以被看作是一个净现值为零时的最好活动，Well-diversified investors have already eliminated all of the specific risk, and risk-management may be seen as a zero NPV activity at best, and at worst, a value-reducing activity.而最坏的情况则是一个减值活动。投资者们已经主张消除所有的特定风险和风险管理可以被看作一个净现值是零时的最好活动, Well

40、-diversified investors have already eliminated all of the specific risk, and risk-management may be seen as a zero NPV activity at best, and at worst, a value-reducing activity.在最坏的情况，是一个减值活动。Well-diversified investors have already eliminated all of the specific risk, and risk-management may be seen

41、 as a zero NPV activity at best, and at worst, a value-reducing activity.投资者们已经主张消除所有的特定风险和风险管理可以被看作一个净现值是零时的最好活动,在最坏的情况，However, there is a role for risk management.然而，风险管理有这样一个作用，即 Reduction of total risk may reduce the expected costs of financial distress, hence increasing expected cashflows.总风险减

42、少可能会减少财务危机，This increases firm value.从而增加公司价值的预期成本。目前的投资评估方法，通过预期的财务危机成本来考虑总风险。这种方法在一个新项目中可能会导致三种决定：拒绝在该项目中投资；风险管理；或投资该项目，但没有风险管理。在考虑企业的财务风险管理活动时，我们可能会问到两个问题，企业为什么从事这些活动？他们是怎样做到的？而How firms engage in risk-management has been extensively considered.企业如何参与风险管理，也已经被广泛地考虑。具有代表性的金融工具比如说股票、债券、期货和期权等，以获取所需

43、的财务分析（见史密斯和史密森的一个精辟的分析）。在本文中，我们来考虑较有争议的问题，为什么要参与财务管理风险？Is financial risk-management value adding?财务风险管理是否增值？夏皮罗和特曼（1998）认为考虑风险管理这个问题是可取的。A firms total risk consists of two elements; market risk (which measures the sensitivity of the firms stock price to market-wide movements), and specific risk (whi

44、ch measures the stock price movements which are specific to the firm, and independent of market movements).一个企业的总风险包括两个组成部分，市场风险（用来衡量该公司的股票价格敏感度在市场范围内的运动），及特定风险（衡量股票价格所特有的变动方向，以及市场走势的独立性）。According to the CAPM and APT models, well-diversified investors hold portfolios that have already eliminated al

45、l of a firms specific risk, but investors cannot eliminate market risk.根据CAPM和APT模型，充分多元化的投资者认为持有投资组合可以消除一个公司所有的特定风险，但投资者不能消除市场风险。The equilibrium market price of each firms shares in the portfolio is such that expected returns only compensate investors for holding market risk, as embodied in a firms

46、 beta.平衡市场价格的各个企业的投资组合的股份，是补偿投资者在市场风险中的预期回报率，主要体现在公司的贝塔系数上。As such, risk-management activities by the firm are irrelevant in the sense that they are unable to add value.作为管理活动的企业等，风险是不相关的，即他们无法增加价值。These activities may reduce total risk, but diversified investors have already done so by eliminating

47、all of the specific risk.这些活动可能会降低总的风险，但已经做了消除所有的特殊风险，因此风险管理活动不会增加该公司的股票的市场价格。夏皮罗和特曼（1998）认为，由于金融工具的公平定价，并弥补市场风险的唯一投资者，通过金融工具的套期保值，充其量是一个零净现值（净现值）活动的风险。In the worst scenario, risk management may actually be value reducing, since it may be a costly activity in terms of time and resources.在最坏的情况下，风险管理

48、，实际上其价值可能是减少的，因为它可能是一个昂贵的时间和资源方面的活动。风险管理无关可分析如下，Consider the value of the firm as the sum of the discounted value of expected future cashflows.考虑到该公司把现金流的价值总和作为未来预期的贴现值。也就是说，如果公司在i年的预期现金流为X1，资本成本率为r，那么公司的价值V就为：V0=X1/（1+r）+X2/（1+r） 2+（1）资本成本率（或投资者要求的回报）包括市场风险因素。The firms risk management activities re

49、duce total risk, but this will not affect the market risk.该公司的风险管理活动降低总的风险，但这不会影响市场风险。Therefore, the firms beta will be unchanged, and hence the cost of capita will remain the same.因此，该公司的贝塔系数将保持不变，因此资本成本r也将保持不变。经演示了如何风险管理可能（充其量）是一个毫不相干的活动，谢德和特曼（1998）通过表明它能够对公司价值产生影响来拯救风险管理。他们认为，总的风险是重要的，通过其能影响现金流量的

50、问题。一个高水平的总风险可能会增加财务危机的预期，从而降低了预期现金流量，降低了公司价值。风险管理目的在于降低总风险，但不影响折现率，预期现金流量可能会增加，这将使其价值增加。A high level of total risk may increase expectations of financial distress, hence reducing the expected cashflows, and reducing firm value. Risk management aimed at reducing total risk, although not affecting the

51、 discount rate, may increase expected cashflows, which would be value increasing. They argue that total risk does matter, through its effects on the cashflows.A high level of total risk may increase expectations of financial distress, hence reducing the expected cashflows, and reducing firm value. R

52、isk management aimed at reducing total risk, although not affecting the discount rate, may increase expected cashflows, which would be value increasing. That is, if the firm is expecting cashflows of此外，公司的管理者有动力参与风险管理，即使这是不是价值增加。A single firms financial distress may not be of much concern for a well

53、-diversified investor.一个企业的财务困境，可能不会太关注一个主张的投资者。However, it could be disastrous for the management of that firm, in terms of loss of employment and reputation.不过，这也可能对该公司管理具有灾难性的，从而影响就业和声誉。It may be argued that management has a private discount rate which reflects total risk, and hence exceeds the s

54、ocial discount rate也可以这样说，管理层有一个私人的折现率反映总的风险，因此超出了社会折现率。Since the firm is valued in the market using , the management would have a lower private valuation of the firm than the market.由于该公司的价值在市场上是使用社会折现率来估价，管理层将有一个低于市场的私人公司的估值。Risk management could then be viewed as managements attempts to increase

55、their private valuation towards the market valuation.风险管理便可以看作是管理层试图增加对市场估值的私人估价。我们是否应该调整贴现率？史默克（2001）认为，充分多元化的投资者不存在。因此，投资评价净现值法可能是有缺陷的，因为它使用的折现率只反映市场风险。他提出了一个调整的净现值法，以承担风险的帐户总数的百分比。他的风险调整后的现值系统（RPV）方法有力的解决了贴现率的调整问题。史默克的遥控飞行器方法推导如下：考虑到在时间0时，一个投资项目在目前的价值为V0。Consider a one period investment project w

56、ith present value 0 at time 0 (this is the amount that the investor is prepared to pay at time 0, and is defined as cash capital).（这是在时间0时投资者愿意支付的金额，并以现金资本定义）。在时间1时，该项目提供的现金流量是一个正态分布的随机变量1和标准差1。史默克The time 1 cashflow provided by the project is a normally distributed random variable with mean 1 and s

57、tandard deviation 1 .Shimko assumes that the cashflow is not correlated with any market risk factors. 史假设现金流量不与任何市场风险因素相关，The risk-free rate i .无风险利率值为r。 The investor requires a return on his/her cash capital and his/her risk capital.投资者的资本回报是要求他/她的现金资本和他/她的风险之和。Risk capital is the maximum amount th

58、at the investor might lose on the project over the year.风险资本的最高金额就代表投资者可能会失去在该年度项目。In order to derive risk capital, the firm must define a “worst case” time 1 cashflow, W 1 = 1 z 1 .为了得到风险资金，公司必须定义“最坏情况”下的现金流，W1=1z2，也就是说，最坏的情况下的现金流是低于z标准差的。而The present value of the worst case cashflow is 0 = 1 /(1 )

59、.现金流量现值最严重的情况是W0=W1/（1+R），Hence, risk capital 0 0 .因此，风险资本=V0W0。这一年的预期资本增益是：1V=r*V0+k*（V0W0） （2）左边显示的是预期资本收益是预期时间在1时的值（即平均值）减去初始现金投资。右边这个分区是现金资本回报加上风险投资回报。史默克针对公式（2）重新提出了以下公式：V0=1/ （1+r） （k/ （1+r+k）*（z*1/ （1+r） （3）他认为该项目的价值等于其净现值减去风险费用是不同于期望值和最坏条件下的价值。“该项目的现金流量是不相关的”请注意，因为它是假设该项目的现金流是不与市场相关的，净现值是在贴现的无风险利率的预期现金流量中发现的。史默克指出，我们得到的净现值公式，V0=1/ （1+r），是在当K=0时的特殊情况下的。此外，当K = 时，资产的价值接近其最坏情况时的价值W0。因此，资产的价值是受总风险的影响，特别是高风险价值。这种方法强调的是，当投资组合多样化受到限制时，投资者（和管理者）就会变得关心总风险。The RPV method allows us to focus on