Dans la peau d’un Risk Manager …

Vous êtes-vous déjà imaginé dans la peau d’un responsable des risques pendant cette crise financière ? Auriez-vous réussi à juguler les pertes de votre banque ?  Comment auriez-vous détecter les premiers signaux de la crise ? quelles principes de gestion des liquidités auriez-vous adopter ?  …

Pour un Risk manager, il existe 3 manières de gérer les risques. S’il ne réussit pas à les réduire, il pourra alors tenter de les transférer. Si ces deux options ne sont pas concevables, il ne lui restera alors qu’à les accepter. N’est-ce d’ailleurs pas la principale approche retenue dans le contexte de la crise actuelle ?

Si vous n’arrivez toujours pas à vous identifier, alors peut-être que l’article A personal view of the crisis: Confessions of a risk manager publié par la revue The Economist vous y aidera. Ce billet apporte le témoignage direct d’un Risk manager qui a préféré garder l’anonymat … pour mieux gérer ses risques.

As risk managers we were responsible for approving credit requests and transactions submitted to us by the bankers and traders in the front-line. We also monitored and reported the level of risk across the bank’s portfolio and set limits for overall credit and market-risk positions.

The possibility that liquidity could suddenly dry up was always a topic high on our list but we could only see more liquidity coming into the market—not going out of it. Institutional investors, hedge funds, private-equity firms and sovereign-wealth funds were all looking to invest in assets. This was why credit spreads were narrowing, especially in emerging markets, and debt-to-earnings ratios on private-equity financings were increasing. “Where is the liquidity crisis supposed to come from?” somebody asked in the meeting. No one could give a good answer.

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In May 2005 we held AAA tranches, expecting them to rise in value, and sold non-investment-grade tranches, expecting them to go down. From a risk-management point of view, this was perfect: have a long position in the low-risk asset, and a short one in the higher-risk one. But the reverse happened of what we had expected: AAA tranches went down in price and non-investment-grade tranches went up, resulting in losses as we marked the positions to market.

This was entirely counter-intuitive. Explanations of why this had happened were confusing and focused on complicated cross-correlations between tranches. In essence it turned out that there had been a short squeeze in non-investment-grade tranches, driving their prices up, and a general selling of all more senior structured tranches, even the very best AAA ones.

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