原文在
http://www.fenews.com/fen29/one_time_articles/actuary_intro.html
這也可以給大家一個暗示，xRM的價值何在？
大家覺得經過六關考試，平均每關及格率約40%，的副精算師對風險了解透徹呢？
還是考一關，平均及格率50%的風險管理經理人(不論是哪家頒的)更懂風險？
當然，如果2005年新制發表後xRM還是可以抵PD的點數的話，
想考到FSA的人不妨到時候再考一下xRM。
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Who Is The Ultimate Risk Manager? The Answer May Surprise You!
By Meredith Lego
Financial markets are fluctuating. Regulators are enforcing
stricter laws resulting from financial scandals. The threats of
war and terrorism are in the news daily. Clearly, the role of
forecasting and managing risk has become an increasingly important
function within the enterprise. With that much uncertainty
looming, how can you be certain about your risk exposure?
Just when you thought no hope was possible, did you ever consider
hiring or seeking the advice of an actuary? An “Actuary” you
say? “I thought actuaries were those guys who sit in the back
room crunching numbers to determine life expectancies.” This
is true. Many actuaries do determine pricing and valuations for
pension plans and insurance companies.
But did you know that the number of actuaries working in the
financial, investment and commercial banking sector has grown at a
15 percent annual compounded growth rate since 1990? Why has
this occurred? The very nature of being an actuary lies in the
essence of managing risk. Before the advent of financial engineering,
risk managers -- and yes -- even before the invention of calculators,
actuaries were the first professionals managing risk and modeling
financial implications based upon the likelihood of future scenarios.
Actuaries have a deep understanding of the nature of risk and excel
at putting a value to a risk exposure, regardless of the industry.
Concepts of managing risk exposure, options pricing, Black-Scholes
models, and stochastic modeling are ingrained into actuarial
education and qualification, which are learned and tested through
a rigorous credentialing process.
While asset and liability management are a part of typical
actuarial analysis, there are broad examples of other feats
actuaries have accomplished. Of course, before decisions can be
reached, dynamic modeling and analysis is usually required.
Examples of models developed and run by the actuarial staff at
major consulting and financial institutions include:
o Financial simulations based upon capital management,
asset/liability analysis and potential valuations
o Neural network-based artificial intelligence systems for
using credit analysis
o Portfolio analysis systems
o Monte Carlo models for interest rate scenario generation
for valuation or strategy development of investment options
But what occurs next with the information? Well, let’s look at it
from the perspective of financial engineering. Frederick Novomestly,
Academic Director of the Financial Engineering Program at
Polytechnic University in Brooklyn, New York, gave a presentation
at the 1998 International Association of Financial Engineers
Conference and listed one perspective of the functions that
financial engineers perform:
1. Develop, price, trade, evaluate and apply new financial
products; and,
2. Assess/manage risk and implement sophisticated investment
and risk management strategies.
Let’s examine these two value-added functions in detail:
Develop, price, trade, evaluate and apply new financial products.
Most actuaries do exactly this – they develop, price, evaluate and
manage financial products. Due to the complexity of the environment,
this is typically done in the context of retirement plans,
investment portfolios and insurance instruments for life, health
and property/casualty companies. For example, let’s consider a
recent case of actuarial involvement relating to the poor
performance of equity markets. Consulting actuaries in the New York
office of Milliman USA were contacted by a life insurance company
to help it evaluate the option risks embedded in its variable
annuity contracts.
A basic variable annuity is an annuity that allows a policyholder
to accumulate funds through participating in the performance of the
security markets, by allowing the holder to invest the annuity
funds in various investment accounts. Upon contract termination,
such as at surrender or death, the contract holder typically
receives the account value, as determined by the performance of
the investment accounts.
However, most newer variable annuities provide some type of
additional enhanced death benefit. In this case, the company
guaranteed that the death benefit would be at least equal to the
initial deposit into the policy, regardless of the performance
of the underlying investment accounts.
This would mean that, as the value of the investment accounts
drops below the amount initially deposited under the policy,
the company has committed to pay out at least the initial deposit
amount in the event of the policyholder's death.
With the recent stock market decline, this guarantee is
"in the money," resulting in a loss to the company equal to the
value of the "free" death benefit provided.
Because of the combination of insurance and equity market risks,
there are no market-traded instruments available to replicate
this contingent benefit. In order to quantify the unknown loss,
the actuaries combined a Monte Carlo simulation of market returns
with projected mortality rates. As a final step, they summarized
the results into percentiles to help the client determine both the
reserve liabilities and the capital needed for future unknown
losses. As a result, the company is able to quantify the potential
risk exposure resulting from such an enhanced benefit guarantee.
Assess/manage risk and implement sophisticated investment and risk
management strategies.
Actuaries have been the risk managers for insurance companies for
over 100 years. As such, their assessment of risk goes hand in
hand with broader risk management strategies applicable to financial
service industries in general. Some of the risk management
functions that have been performed by actuaries include:
(1) Risk Measurement and Risk Exposure Reports: Financial
institution companies, in addition to many other, are exposed
to market, credit insurance, operational risks, and other risks.
Actuaries have been called upon by company management to
measure those risks using tools such as: actual to expected
experience monitoring; duration and convexity, and key rate
durations; credit exposure; risk-based capital ratios;
performance attribution; earnings at risk; value at risk;
tracking error and Sharpe ratio; cash flow testing;
liquidity analysis; stress testing and probable maximum loss.
(2) Risk Management Techniques: Insurance companies use many
techniques for managing risks, including: retention limits;
reinsurance; diversification of assets; selective
underwriting; risk-based capital ratio targets; continual
process improvement; diversification of liabilities; hedging
via capital markets; stochastic pricing; risk-adjusted pricing
targets; risk-sharing arrangements; watch list; setting
Risk-Adjusted Return on Capital (RAROC) targets; risk-based
surplus allocation; and surplus investment strategy. Actuaries
have a major role in the development and implementation of all
of these risk management programs, and therefore, can use these
skills to provide services to other financial entities.
(3) Develop Risk Limits: Periodically, actuaries are asked to review
the limits that have been used by companies as part of their risk
management process. In addition, new products and programs often
trigger the development of new limits. Common limits are found
regarding the amount of insurance exposure to a single life,
the amount of credit exposure to a single group of companies
and the degree of duration mismatch allowed for interest
sensitive asset liability portfolios.
(4) Develop Risk Control Process: Risk measures, risk management
and risk limits are brought together within a risk control
process. Actuaries have been called upon to develop risk
control processes and to sit on risk management committees that
oversee the implementation of risk control processes.
(5) Risk Analysis of New Products and Investment Opportunities:
Financial service companies have long had a process for
systematically assessing the risks inherent in new products
and investment ventures. Typically, this process is led by an
actuary. As technology advanced the standards and complexity,
the analysis underlying that review has steadily increased.
(6) Earnings Volatility Analysis and Reaction: As more insurance
companies have become publicly-traded, earnings and their
volatility have received increasing scrutiny. Actuaries have
been called upon to explain the reasons for the variances as
well as to develop strategies for avoiding situations that could
lead to future fluctuations.
(7) RAROC & Risk Adjusted Financial Reporting: Insurance companies
need to be careful that they do not judge their riskiest
business as their most profitable in a period when no losses
happen to occur. Actuaries are responsible for developing
the internal financial reporting mechanisms that allocate loss
reserves and risk capital to the insurance company's
businesses, giving a proper risk adjustment to the financial
reports.
(8) Risk Adjusted Pricing: By their nature, insurance contracts
transfer risk. Some of these risks are largely diversifiable,
while others are not. Actuaries determine the level of risk
premiums that insurance companies will charge for those risks
where there is no market and therefore no market risk premium.
(9) Merger Due Diligence Risk Analysis: Actuaries regularly
participate in due diligence analysis of company transactions
to determine the adequacy of reserves and the likelihood of
achieving expected future profits from financial instruments
where the results are almost always uncertain. In the arena of
mergers/acquisitions and IPO practices, actuaries can also
represent either the buyer or the seller in valuing blocks of
business and allocating prices. As an example, a large
actuarial consulting firm determined the value for a major
financial institution during its demutualization process,
basically allowing it to convert from a company representing
policyholders to a public enterprise representing stockholders.
As part of the valuation process, an analysis was performed to
determine the fixed and variable allocations of value across
the individual policies. While actuaries can be involved in
determining the potential value of the company for negotiation
purposes; in this case actuarial analysis was used to determine
how value would be allocated once the marketplace established
the actual value for company. As a result, the client was able
to provide a check or offer stock to each policyholder.
(10) Economic Capital Calculations: Actuaries have used a variety
of techniques for determining the appropriate level of
risk-based capital that is needed by individual insurance
companies. With increasing frequency, actuaries are being
called upon to build, operate and maintain complex internal
company models for determination of economic risk capital using
stochastic techniques to analyze long-term contingent
liabilities and the associated value at risk or conditional
tail liability. Insurance regulators are beginning to
understand that for some insurance company coverages, these
complex internal models are the only appropriate way to
determine an appropriate level of regulatory capital as well.
Success is in the Long-Term
Since insurance instruments are long-term in nature, actuaries are
trained to analyze and manage long-term risk exposures better than
anyone. Moreover, these skills are highly transferable to any
industry because they are based upon fundamental principals in risk
management. The demand for this skill could be more necessary than
you may think. As the potential increases for the adoption of
international standards into U.S. accounting practices, public
companies will need to shift their thinking from a short-term
financial perspective to a long-term perspective. This includes
the modeling and reporting of financial scenarios and risks for a
longer period than a typical 5-year business plan may allow.
Finally, in these times when short-term rates of return are so
volatile, who better understands how to manage a diversified
portfolio with fixed income securities, such as bonds and
mortgage-backed securities, than an actuary?
Savvy executives, increasingly those outside of the insurance
industry, are benefiting from calling on the impressive array
of talent actuaries bring to bear in risk management. As the
management of risk exposure becomes more critical for the
enterprise, shouldn't you also consider utilizing an actuary?
If you are interested in learning more about the actuarial
profession, multiple organizations can provide information,
including the Society of Actuaries, the Casualty Actuarial Society
or the Academy of Actuaries. You can also visit the web site,
http://www.beanactuary.org
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