财务风险管理是一个增值活动吗文献翻译

欢迎阅读本文档，希望本文档能对您有所帮助!欢迎阅读本文档，希望本文档能对您有所帮助!欢迎阅读本文档，希望本文档能对您有所帮助!欢迎阅读本文档，希望本文档能对您有所帮助!欢迎阅读本文档，希望本文档能对您有所帮助!欢迎阅读本文档，希望本文档能对您有所帮助!原文：Financialriskmanagement:isitavalue-addingactivity？Financialriskmanagementisaprocesstodealwiththeuncertaintiesresultingfromfinancialmarkers.Itinvolvesassessingthefinancialrisksfacinganorganizationanddevelopingmanagementstrategiesconsistentwithinternalprioritiesandpolicies.Addressingfinancialrisksproactivelymayprovideanorganizationwithacompetitiveadvantage.Italsoensuresthatmanagement,operationalstaff,stakeholders,andtheboardofdirectorsareinagreementonkeyissuesofrisk.Consideringwhetherfinancialriskmanagementisvalue-adding.Althoughriskmanagementcanreducetotalrisk,thismaynotaffectthecostofcapitalorfirmvalue.Well-diversifiedinvestorshavealreadyeliminatedallofthespecificrisk,andrisk-managementmaybeseenasazeroNPVactivityatbest,andatworst,avalue-reducingactivity.However,thereisaroleforriskmanagement.Reductionoftotalriskmayreducetheexpectedcostsoffinancialdistress,thisincreasesfirmvalue.Presentamethodofinvestmentappraisalthattakesaccountoftotalriskthroughexpectedfinancialdistresscosts.Suchamethodcanresultinthreepossibledecisionsrelatingtoanewproject;rejecttheprojectinvestintheproject;andrisk-manage;orinvestintheprojectbutdonotrisk-manage.Finally,presentsworkedexamples.Whenconsideringafirm’sfinancialriskmanagementactivities,wemayasktwoquestions;whydofirmsengageinsuchactivities,andhowdotheydoit?Howfirmsengageinrisk-managementhasbeenextensivelyconsidered.Methodstypicallyinvolvecombiningfinancialinstrumentssuchasshares,bonds,optionsandfutures,inordertoobtainadesiredpayoffprofile(seeSmithandSmithson(1998)foranexcellentanalysis).Inthispaper,weconsiderthemorecontroversialquestion;whybotherwithfinancialrisk-management?Isfinancialrisk-managementvalueadding?ShapiroandTitman(1998)considerthisquestionofwhetherriskmanagementisdesirable.Afirm’stotalriskconsistsoftwoelements;marketrisk(whichmeasuresthesensitivityofthefirm’sstockpricetomarket-widemovements),andspecificrisk(whichmeasuresthestockpricemovementswhicharespecifictothefirm,andindependentofmarketmovements).AccordingtotheCAPMandAPTmodels,well-diversifiedinvestorsholdportfoliosthathavealreadyeliminatedallofafirm’sspecificrisk,butinvestorscannoteliminatemarketrisk.Theequilibriummarketpriceofeachfirm’ssharesintheportfolioissuchthatexpectedreturnsonlycompensateinvestorsforholdingmarketrisk,asembodiedinafirm’sbeta.Assuch,risk-managementactivitiesbythefirmareirrelevantinthesensethattheyareunabletoaddvalue.Theseactivitiesmayreducetotalrisk,butdiversifiedinvestorshavealreadydonesobyeliminatingallofthespecificrisk.Hence,riskmanagementactivitieswillnotincreasethemarketpriceofthefirm’sshares.ShapiroandTitman(1998)arguethat,sincefinancialinstrumentsarefairlypriced,andcompensateinvestorsformarketriskonly,hedgingriskthroughfinancialinstrumentsis,atbest,azeronetpresentvalue(NPV)activity.Intheworstscenario,riskmanagementmayactuallybevaluereducing,sinceitmaybeacostlyactivityintermsoftimeandresources.Riskmanagementirrelevancecanbeanalysedasfollows.Considerthevalueofthefirmasthesumofthediscountedvalueofexpectedfuturecashflows.Thatis,ifthefirmisexpectingcashflowsofX1inyeari,andthefirmdiscountsatacostofcapitalr,thenfirmvalueVisgivenby:V1=X1/(1+r)+X2/(1+r)^2+…(1)Thecostofcapital(ortheinvestors’requiredreturn)includesanelementformarketrisk.Thefirm’sriskmanagementactivitiesreducetotalrisk,butthiswillnotaffectthemarketrisk.Therefore,thefirm’sbetawillbeunchanged,andhencethecostofcapitalrwillremainthesame.Havingdemonstratedhowriskmanagementmaybe(atbest)anirrelevantactivity,SheperdandTitman(1998)proceedtorescueriskmanagementbyshowingthatitcanhaveaneffectonfirmvalue.Theyarguethattotalriskdoesmatter,throughitseffectsonthecashflows.Ahighleveloftotalriskmayincreaseexpectationsoffinancialdistress,hencereducingtheexpectedcashflows,andreducingfirmvalue.Riskmanagementaimedatreducingtotalrisk,althoughnotaffectingthediscountrate,mayincreaseexpectedcashflows,whichwouldbevalueincreasing.Furthermore,afirm’smanagershaveanincentivetoengageinriskmanagement,evenifthisisnotvalueincreasing.Asinglefirm’sfinancialdistressmaynotbeofmuchconcernforawell-diversifiedinvestor.However,itcouldbedisastrousforthemanagementofthatfirm,intermsoflossofemploymentandreputation.Itmaybearguedthatmanagementhasaprivatediscountratewhichreflectstotalrisk,andhenceexceedsthesocialdiscountrater.Sincethefirmisvaluedinthemarketusingr,themanagementwouldhavealowerprivatevaluationofthefirmthanthemarket.Riskmanagementcouldthenbeviewedasmanagement’sattemptstoincreasetheirprivatevaluationtowardsthemarketvaluation.Shouldweadjustthediscountrate?Shimko(2001)arguesthatwell-diversifiedinvestorsdonotexist.Therefore,theNPVmethodofinvestmentappraisalmaybeflawed,sinceitusesadiscountratethatonlyreflectsmarketrisk.HeproposesanadjustmenttotheNPVmethodinordertotakeaccountoftotalrisk.Hisrisk-adjustedpresentvalue(RPV)methodattackstheproblembyadjustingthediscountrate.Shimko’sRPVapproachisderivedasfollows.ConsideraoneperiodinvestmentprojectwithpresentvalueV1attime0(thisistheamountthattheinvestorispreparedtopayattime0,andisdefinedascashcapital).Thetime1cashflowprovidedbytheprojectisanormallydistributedrandomvariablewithmeanμ1andstandarddeviationσ1.Shimkoassumesthatthecashflowisnotcorrelatedwithanymarketriskfactors.Therisk-freerateisr.Theinvestorrequiresareturnonhis/hercashcapitalandhis/herriskcapital.Riskcapitalisthemaximumamountthattheinvestormightloseontheprojectovertheyear.Inordertoderiveriskcapital,thefirmmustdefinea“worstcase”time1cashflow,W1=μ1−z1.Thatis,theworstcasecashflowiszstandarddeviationsbelowthemean.ThepresentvalueoftheworstcasecashflowisW0=W1/(1+r).Hence,riskcapital=V0−W0.Theexpectedcapitalgainovertheyearis:μ1-V=r*V0+k*(V0-W0)(2)Theleft-handsideshowsthattheexpectedcapitalgainistheexpectedtime1value(thatis,themean)minustheinitialcashinvestment.Theright-handsidepartitionsthisexpectedgainintothereturnoncashcapitalr*V0plusthereturnonriskcapitalk*(V0−W0).Shimkore-arranges(2)toprovidethefollowingformulation:V0=μ1/(1+r)–(k/(1+r+k))*(z*σ1/(1+r))(3)ThissuggeststhatthevalueoftheprojectequalsitsNPVvalueminusariskchargethatisproportionaltothedifferencebetweentheexpectedvalueandtheworstcasevalue.“Theproject’scashflowsarenotcorrelated”Notethat,sinceitisassumedthattheproject’scashflowsarenotcorrelatedwiththemarket,theNPVisfoundbydiscountingtheexpectedcashflowattherisk-freerate.ShimkopointsoutthatweobtaintheNPVformulation,V0=μ1/(1+r),asaspecialcasewhenk=0.Furthermore,ask=≥∞thevalueoftheassetapproachesitsworstcasevalueW0.Hence,thevalueoftheassetisaffectedbytotalrisk,andparticularlythevalue-at-risk.Thisapproachemphasisesthat,whentherearelimitationstoportfoliodiversification,investors(andmanagers)becomeconcernedwithtotalrisk.TheRPVmethodallowsustofocusonacrucialelementofriskmanagement;thevalue-at-risk.ApotentialdrawbackisthatthevalueV0isaffectedbydifferentagents’privatevaluations,eitherthroughk,orthroughthechoiceofW0(sincethischoiceaffectsz).Indeed,theauthorpresentsnumericalexamplesthatshowthatNPVvaluationcanbemuchgreaterthanthesubjectiveRPVvaluation.Therefore,usingRPVcouldhaveseriousproblemsforinvestmentappraisal.ItispossiblethattheRPVmethodcouldleadtoincorrectprojectacceptance/rejectiondecisions.Itisbettertoadjustthecashflows!Inthissection,weprovideanapproachtoinvestmentappraisalbaseduponShapiroandTitman(1998)ratherthanShimko(2001).Thegoalofinvestmentappraisalistoidentifyandacceptvalue-increasingprojects.Thismethodshouldreflectthemarketvaluationoftheproject.IfweassumethattheCAPMformulationisrobust,andthatinvestorsareonlyrewardedforholdingmarketrisk,itisbettertoadjustthecash-flowsratherthanthediscountrate.Inouranalysis,weretaintheideaofvalue-at-risk,specificallyrelatingittofinancialdistress.Consideraoneperiodinvestmentopportunitythatrequiresinvestmentoflattime0.Thetime1cashflowXisnormallydistributed,withmeanμ1andstandarddeviationσ1.Furthermore,iftherealisedcashflowislessthanl,thefirmfacesfinancialdistress.ThiscarriesacostofF,whereFreflectsdisruptiontoservices,lossofreputation,legalcostsandsoforth.TheexpectedcostoffinancialdistressisE(F)=F*Prob{X<l}.Inoursubsequentworkedexample,weshowthatcalculationofE(F)isstraightforward.Thecostofcapitalkreflectsmarket(nottotal)risk.Theproject’spresentvalueequalsthepresentvalueofexpectedcashflowsminusthepresentvalueoffinancialdistresscosts:V0=μ1/(1+k)–E(F)/(1+k)(4)NotethatthisisanalogoustotheRPVformulation(3).LiketheRPVmodel,ourvaluationformulatakesaccountofthevalue-at-risk.However,weexplicitlymodelthisasfinancialdistress,andweintroduceitinthecashflow,ratherthanthediscountrate.TheNPVformulais:NPV=-l+(μ1-E(F))/(1+k)(5)ThefirmtakestheprojectifNPV≥0,sincethiswillbevalue-increasing.LiketheRPVmodel,wecanincorporateprivatevaluationsthroughtheE(F)term.LetFrepresentthecostsoffinancialdistresstowell-diversifiedinvestors,andletFmrepresentthecostsoffinancialdistresstothefirm’smanagement.Duetotheargumentsrelatingtowell-diversifiedinvestorsversusnon-diversifiedmanagerssetoutpreviously,wewouldexpectFm>F.ManagementmaybetemptedtoincorporatetheexpectedvalueE(Fm)intotheNPVformulasuchthat:NPVm=-l*(μ1-E(F))/(1+k)<NPV(6)IfNPVm<0<NPV,self-interestedmanagementmayrejectavalue-increasingproject.Wedonotpursuethisavenueinthispaper.Instead,weassumethatmanagersactintheinterestsofshareholders.“Sufficientlytoeliminatefinancialdistress”Risk-managementanditseffectonfirmvalueAssumethatmanagementcanspendanamountConrisk-managementactivities.Furthermore,assumethatthisactivityreducestotalrisksufficientlytoeliminatefinancialdistress.Ifthemanagementtakestheprojectandcarriesoutrisk-managementactivities,theNPVwillbe:NPV=-l-C+μ1/(1+k),(7)wherethesubscriptrmsignifiesNPVafterrisk-management.Ifthemanagementtakestheprojectanddoesnotcarryoutriskmanagementactivities,NPVisgivenby(5).NotethatNPVrm>NPVifE(F)/(1+k)>C.Thismeansthatriskmanagementactivitiesareworthwhileiftheeliminationofthepresentvalueoffinancialdistresscostsexceedstheexpenditurerequiredonriskmanagementactivities.Theprojectacceptanceandriskmanagementdecisionrulesareasfollows:Taketheproject,andriskmanageifNPVrm>0,andNPVrm>NPV.Risk-managementactivitiesarevalue-adding,andtheprojecthasapositiveNPVaftersuchactivities.Taketheproject,butdonotrisk-manage,ifNPV>0,andNPV>NPV.Risk-managementactivitiesarevalue-reducing,buttheprojecthasapositiveNPVwithoutthem.Rejecttheprojectif0>NPVrm>NPV,or0>NPV>NPVrm.Inthiscase,werejecttheproject,whetherrisk-managementactivitiesarevalue-addingorvalue-reducing.Conclusion:Financialrisk-managementactivitiescanreducetotalrisk.Thismaybevalue-addingifitreducesthecostoffinancialdistress.Ifinvestorsarewell-diversified,andifCAPMisrobust,thenthereductionoftotalriskshouldnotaffectthecostofcapital.Therefore,followingShapiroandTitman(1998),wehaveanalysedtheeffectsofrisk-managementonfirmvaluethroughthecashflows,ratherthanthroughthediscountrate.Wedevelopamethodofinvestmentappraisalthattakesaccountoftotalriskthroughexpectedfinancialdistresscosts.Suchamethodcanresultinthreepossibledecisionsrelatingtoanewproject:(1)Refusetothisproject;(2)Investmentandriskmanagement;(3)Investmentprojectsbutnoriskmanagement.Source:RichardFairchild,2002.“Financialriskmanagement:isitavalue-addingactivity”.BalanceSheet,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，而最坏的情况则是一个减值活动。然而，风险管理有这样一个作用，即总风险减少可能会减少财务危机，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？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。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）。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。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。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。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。在最坏的情况下，风险管理，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，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。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。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。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。一个企业的财务困境，可能不会太关注一个主张的投资者。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。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。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。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。（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μ1和标准差σ1。史默克假设现金流量不与任何市场风险因素相关，无风险利率值为r。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。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。为了得到风险资金，公司必须定义“最坏情况”下的现金流，W1=μ1−z2，也就是说，最坏的情况下的现金流是低于z标准差的。而现金流量现值最严重的情况是W0=W1/（1+R），因此，风险资本=V0－W0。这一年的预期资本增益是：μ1－V=r*V0+k*（V0－W0）（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=μ1/（1+r）–（k/（1+r+k））*（z*σ1/（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=μ1/（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