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导致灾难的处方:杀死华尔街的公式

(2009-06-19 20:07:11)
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杂谈

导致灾难的处方:杀死华尔街的公式

字号:        | 打印 发布: 2009-3-01 19:29    作者: webmaster    来源: yeeyan.com    查看: 451次

In the mid-'80s, Wall Street turned to the quants—brainy financial engineers—to invent new ways to boost profits. Their methods for minting money worked brilliantly... until one of them devastated the global economy.

A year ago, it was hardly unthinkable that a math wizard like David X. Li might someday earn a Nobel Prize. After all, financial economists—even Wall Street quants—have received the Nobel in economics before, and Li's work on measuring risk has had more impact, more quickly, than previous Nobel Prize-winning contributions to the field. Today, though, as dazed bankers, politicians, regulators, and investors survey the wreckage of the biggest financial meltdown since the Great Depression, Li is probably thankful he still has a job in finance at all. Not that his achievement should be dismissed. He took a notoriously tough nut—determining correlation, or how seemingly disparate events are related—and cracked it wide open with a simple and elegant mathematical formula, one that would become ubiquitous in finance worldwide.

For five years, Li's formula, known as a Gaussian copula function, looked like an unambiguously positive breakthrough, a piece of financial technology that allowed hugely complex risks to be modeled with more ease and accuracy than ever before. With his brilliant spark of mathematical legerdemain, Li made it possible for traders to sell vast quantities of new securities, expanding financial markets to unimaginable levels.

His method was adopted by everybody from bond investors and Wall Street banks to ratings agencies and regulators. And it became so deeply entrenched—and was making people so much money—that warnings about its limitations were largely ignored.

Then the model fell apart. Cracks started appearing early on, when financial markets began behaving in ways that users of Li's formula hadn't expected. The cracks became full-fledged canyons in 2008—when ruptures in the financial system's foundation swallowed up trillions of dollars and put the survival of the global banking system in serious peril.

David X. Li, it's safe to say, won't be getting that Nobel anytime soon. One result of the collapse has been the end of financial economics as something to be celebrated rather than feared. And Li's Gaussian copula formula will go down in history as instrumental in causing the unfathomable losses that brought the world financial system to its knees.

How could one formula pack such a devastating punch? The answer lies in the bond market, the multitrillion-dollar system that allows pension funds, insurance companies, and hedge funds to lend trillions of dollars to companies, countries, and home buyers.

A bond, of course, is just an IOU, a promise to pay back money with interest by certain dates. If a company—say, IBM—borrows money by issuing a bond, investors will look very closely over its accounts to make sure it has the wherewithal to repay them. The higher the perceived risk—and there's always some risk—the higher the interest rate the bond must carry.

Bond investors are very comfortable with the concept of probability. If there's a 1 percent chance of default but they get an extra two percentage points in interest, they're ahead of the game overall—like a casino, which is happy to lose big sums every so often in return for profits most of the time.

Bond investors also invest in pools of hundreds or even thousands of mortgages. The potential sums involved are staggering: Americans now owe more than $11 trillion on their homes. But mortgage pools are messier than most bonds. There's no guaranteed interest rate, since the amount of money homeowners collectively pay back every month is a function of how many have refinanced and how many have defaulted. There's certainly no fixed maturity date: Money shows up in irregular chunks as people pay down their mortgages at unpredictable times—for instance, when they decide to sell their house. And most problematic, there's no easy way to assign a single probability to the chance of default.

Wall Street solved many of these problems through a process called tranching, which divides a pool and allows for the creation of safe bonds with a risk-free triple-A credit rating. Investors in the first tranche, or slice, are first in line to be paid off. Those next in line might get only a double-A credit rating on their tranche of bonds but will be able to charge a higher interest rate for bearing the slightly higher chance of default. And so on.


 

80年代中期,华尔街转向计量经济学 ,聪明的金融工程师发明新的方法来增加利润。他们的方法用钱来生钱,效果非常好。直到其中一个破坏了全球经济。

一年前,谁都认为数学精灵David Li(译者:中文名字为李祥林,现为中国国际金融有限公司的首席风险官)有朝一日可能获得诺贝尔奖。 毕竟,金融的经济学家,甚至华尔街计量计量经济学家 ,都已经获得了诺贝尔经济学。而李的工作,在测量经济风险的影响方面,比以往的诺贝尔文学奖得主的理论更快捷,贡献也更大。 如今,当迷茫的银行家,政治家,管理者,投资者的度过最大的金融危机大萧条以来,李或许该感激他仍然在金融领域有一份工作。 他提出了一个现在是臭名昭著的理论-决定相关性,或如何看似不相干的事件有关-并用一个简单而优雅的数学公式解释这个理论,一个成为世界范围内普遍存在的融资理论。

 

五年来,李的公式,被称为高斯连接函数 ,给人感觉是一个明确的积极的技术进步,这个个金融技术,使非常复杂的风险,被更容易和准确的预测。 在他的发散着灿烂的火花的数学花招的指引下,贸易商出售了大量的新的证券,扩大金融市场到无法想象的水平。

 

他的方法被从债券投资者到华尔街银行的评级机构和监管机构的各种人广泛使用。它变得如此影响深远,或者说使人们赚了这么多钱,导致任何的关于其局限性的警告在很大程度上被忽略。

 

然后这个理论模型土崩瓦解。在年初这个理论开始出现裂缝,金融市场开始表现得没有按李的公式的预期运行。2008年这个小裂缝成为巨大的峡谷,破裂侵蚀金融系统的基础,吞没了数万亿美元,并使全球银行系统的生存处于严重危险之中。

 

可以肯定地说,David Li 近期内将不会获得诺贝尔奖了。 这个经济崩溃的结果之一是结束了金融经济学,这个结果值得庆祝,而不是担心。李的高斯系词公式将永垂史册,这个工具对世界造成难以估量的损失,使世界金融体系陷入瘫痪状态。

 

一个公式怎么能产生这种破坏性冲击? 答案就在债券市场中 , 几十万亿美元的系统,使养老基金,保险公司和对冲基金能提供数万亿美元的贷款给企业,国家和购房者。

债券,当然,这只是一个借据,承诺到期归还并支付利息的纸条。 如果一个公司说,比如IBM公司,通过发行债券来借钱,投资者就会密切关注其帐户,以确保它有能力偿还这个债卷。 风险越高,当然风险总是有的,债券的利息也越高。

债券投资者很喜欢概率这个概念。 如果有百分之一违约的可能,但会获得额外的2个百分点的利息,他们就会勇往直前。就像一个赌场,非常高兴地失去一次大资金来换取大部分时间的利润。

 

债券投资者也投资于数百甚至数千的抵押贷款。潜在的涉及金额是惊人的:美国人现在应该有超过十一万点零亿美元的抵押贷款。 但抵押贷款的困乱超过了大多数债券。没有保证利率,因为金额业主每个月偿还利息是根据再融资和违约的多少来定的。而且没有固定的到期日:几时能收回钱是不知道的,因为人们支付他们的抵押贷款时间是不可预测的,这个时间举例来说,当他们决定出售他们的房子的时候。 最成问题的是,没有简单的方法来指定一个单一的概率。

 

华尔街解决这些问题的方法是,通过一个被称为tranching的过程 ,把这些债务分组,并允许设立安全债券与无风险的三A信贷评级 。 I投资者在第一档,或片,就可以得到首先支付。 排在后面的只能得一个双A的信贷评级,他们的债券,能够收取更高的利率但承担高违约的机会。 .等等这些评级分类方法。

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