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别迷信金融模型 The very model of a modern market influence

(2010-12-30 10:38:24)
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This Christmas, a bevy of elegant models are on display. Not the long-legged female variety, instead regulators, bankers and investors have been flaunting their own smart models, as they seek to predict what 2011 might deliver.

这个圣诞节,我们看到了一批优雅的model。不是长腿的女模特在展示,而是监管者、银行家与投资者在预测2011年前景之际,不停卖弄着他们精巧的模型。

But as this economic catwalk gets under way, it is shot through with irony. When the financial crisis hit, many observers blamed the disaster on the misuse of financial models. Not only had these flashy computer systems failed to forecast behaviour in, say, the subprime mortgage world, but they had also seduced bankers and investors to take foolhardy risks. These days, in spite of all those missteps, there is little sign that financiers are falling out of love with those models. On the contrary, if you flick through the recent plethora of reports from the Basel Committees – or look at the 2011 forecasts emanating from investment banks – these remain heavily reliant on ever-more complex forms of modelling.

但这场经济T台秀却充满了讽刺。金融危机爆发时,许多观察人士将灾难归咎于滥用金融模型。这些华而不实的计算机系统不仅未能预测到,比方说,次贷领域的行为,而且还引诱银行家与投资者承担不明智的风险。但尽管有种种行差踏错之处,现如今却几乎没有迹象显示,金融家正抛弃对这些模型的喜爱。相反,如果你浏览一下巴塞尔委员会(Basel Committee)最近发布的形形色色的报告,或投行发布的2011年预测,你会发现,这些报告和预测仍严重依赖愈益复杂的模型构建形式。

So what are investors to make of this? One particularly thought-provoking set of ideas can be seen in the current work of Emanuel Derman, a former physicist-turned banker who shot to fame within the banking industry two decades ago by co-developing some path-breaking financial models, such as the Black-Derman-Toy model (one of the first interest-rate models) and the Derman-Kani local volatility model (the first model consistent with the volatility smile.)*

那么,投资者应如何对待这一现象?前银行家伊曼纽尔•德曼(Emanuel Derman)的新作,提出了一套尤为发人深省的理念。德曼是由物理学家转型做的银行家,二十年前与人合作开发了一些开创性的金融模型,从而在银行业声名鹊起。这些模型包括:布莱克-德曼-托伊利率模型(首批利率模型之一),以及德曼-卡尼局部波动率模型(首个与波动率微笑(volatility smile)吻合的模型。 )*

At first glance, Derman’s past might suggest he should be a model-lover par excellence. Indeed, in the banking world, he is often hailed as one of the great, original “quants”, who paved the way for the derivatives revolution. Yet, in reality, Derman has always been pretty cynical about those models that won him, and other quants, earlier accolades. For while investment bank salesmen might have treated his creations as near infallible, in truth Derman – like many brilliant scientists-turned-quants – has always recognised their flaws.

乍看之下,德曼的过去或许会让人认为,他应该是一个超凡的模型爱好者。确实,在银行业,他常常被誉为为衍生品革命铺平道路的首批伟大的“宽客(quants)”之一。然而事实上,对于为他和其他宽客赢得早期赞誉的那些模型,德曼总是持非常怀疑的态度。尽管投行的销售人员也许认为他的作品近乎完美,但实际上,与许多由科学家转型的杰出宽客一样,德曼始终认识到其中存在缺陷。

After all, as he explains in a recent paper – and forthcoming book – in the world of physics, scientists can deduce theories, laws and equations that tell you how the world works, in its own, absolute terms. But “there are no genuine theories in finance because finance is concerned with value, an even more subjective concept than heat or pressure”, he observes. And, unlike physics, financial experiments are not repeatable; history changes how markets work.

毕竟,正如他在最近的一篇论文和即将出版的书中所解释的,在物理学领域,科学家可以推导理论、定律和方程,告诉你世界是如何以自身的严密方式运行的。但“金融学没有纯正的理论,因为金融涉及的是价值——一个比热或压力更具主观性的概念,”他评述道。而且,与物理学不同,金融实验是不可重复的;历史会改变市场的运行方式。

Thus, while investors might like to see models as akin to physics theories, Derman says this is wrong – models are more like expansive metaphors, of the sort found in literature or philosophy. In essence, they are a tool to help us think, and order our world view, and explain something that is hard to grasp. “Models are reductions in dimensionality that always simplify and sweep dirt under the carpet. Theories tell you what something is. Models tell you merely what something is partially like.”

因此,尽管投资者也许愿意认为金融模型与物理学理论类似,但德曼表示这是错误的——模型更像可扩展的隐喻,就像我们在文学或哲学中看到的那种。本质上,它们是一种工具,可以帮助我们思考,理顺我们的世界观,解释难以领会的内容。“模型就是减少维度,总是会简化问题,把问题隐藏起来。理论告诉你某个东西是什么。模型只告诉你某个东西部分像什么。”

But that does not, Derman adds, mean that models should be junked. They can be valuable if employed with five key principles. First, financial models should avoid too much axiomatisation. Second, they should be as “vulgar” as possible (meaning there should be “as direct a path as possible between observation of similarities and the consequences”). Third – and crucially – they should “sweep dirt under the carpet but let users know about it” (that is, tell everyone upfront what has been ignored in the model assumptions). Fourth, model users should be trained to think of models as “Gedanken experiments”, used to illustrate a theory but never meant to be physically carried out – such as Schrödinger’s cat. Last, financial operators must stop their “idolatry” of models and their worship of quants.

但德曼补充道,这并不意味着我们应抛弃模型。如果使用时遵循五条关键原则,它们可以非常有价值。首先,金融模型应避免过多的公理化。其次,它们应当尽可能“通俗易懂”(即“相似性观察与结果的关系应一目了然”)。第三,也是至关重要的一点,它们应该“隐藏问题,但要让使用者了解这一事实”(即预先告诉所有人模型假设中忽略了哪些东西)。第四,应对模型使用者进行培训,让他们将模型视为“想象实验”(Gedanken experiments)——即用来证明一个理论但从来不会付诸实践的实验,如薛定锷的猫(Schrodinger's Cat)。最后,金融运营商必须停止他们对模型和宽客的“盲目崇拜”。

This is all profoundly sensible stuff. And the good news is that in the wake of the financial crisis, some of these five points are now being observed. Those regulators in Basel who are crafting new capital rules, for example, are now more wary about the efficacy models such as “Value at Risk”. Some economists are becoming newly humble about the reliability of their macro-economic forecasts. Some investors are also demanding data on what is being “swept under the carpet” in models – and, more specifically, wanting to know what is being ignored in the assumptions.

这些原则都甚为明智。好消息是,在金融危机过后,人们已开始遵循其中的部分原则。例如,巴塞尔那些设计新资本规则的监管者,如今对“风险价值”(Value at Risk)等效验模型更加谨慎了。一些经济学家最近对他们宏观经济预测的可靠性变得非常谦逊。一些投资者还要求获得模型中被“隐藏”内容的数据——更准确地说,是想知道假设中忽略了什么。

But, sadly, there is still plenty of “idolatry” about, just look at the current crop of investment bank forecasts, or the arcane rows that have broken out over models used to gauge the future macro-economic impact of the Basel rules. So perhaps investors, bankers and regulators alike could start the new year by pinning those five principles outlined by Derman on their computer screens. Or failing that, it might be time to make a course on Gedanken experiments a standard feature of any future banking and investment exam.

但不幸的是,“盲目崇拜”仍大量存在,只要看看当前这茬投行预测,或是用于评估巴塞尔规则未来宏观经济影响的模型所引发的晦涩争论就知道了。所以,投资者、银行家以及监管者开年的第一件事,可以将德曼归提出的五条原则固定在电脑屏幕上。否则,现在也许该让想象实验成为未来所有银行业与投资学考试的标准特征了。

*Metaphors, Models & Theories, Emanuel Derman. www.edge.org

*《隐喻、模型与理论》(Metaphors, Models & Theories),伊曼纽尔•德曼,www.edge.org。

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