????別再認(rèn)為風(fēng)險(xiǎn)價(jià)值與現(xiàn)實(shí)相關(guān)。戴蒙可能不知道“倫敦鯨”交易員風(fēng)險(xiǎn)敞口的大小,，但他的風(fēng)險(xiǎn)管理團(tuán)隊(duì)肯定知道,。而且，如果他們使用了風(fēng)險(xiǎn)價(jià)值（VaR）,，他們就應(yīng)當(dāng)受到嚴(yán)厲批評(píng),，就像戴蒙如今所遭受的一樣。我們沒(méi)有記住教訓(xùn),？六年前,，我曾思考風(fēng)險(xiǎn)價(jià)值和夏普比率（Sharpe Ratio）的問(wèn)題，期間我們經(jīng)歷了2008年金融危機(jī)和無(wú)數(shù)的小危機(jī),。如今風(fēng)險(xiǎn)價(jià)值仍是（金融風(fēng)險(xiǎn)管理和）金融披露的根基——這一事實(shí)很令人震驚,。但要注意，當(dāng)今世界對(duì)于是否應(yīng)當(dāng)強(qiáng)制實(shí)施真正的以市值計(jì)價(jià)（mark-to-market）會(huì)計(jì)準(zhǔn)則仍有巨大爭(zhēng)議,，這將使金融公司能夠不那么真實(shí)地展現(xiàn)基于清算的資產(chǎn)和負(fù)債,。我們應(yīng)當(dāng)分離長(zhǎng)期資產(chǎn)和債務(wù)——基于存續(xù)期調(diào)整，資金流對(duì)應(yīng)的資產(chǎn)和負(fù)債,。接著,，我們應(yīng)當(dāng)關(guān)注短期資產(chǎn)和負(fù)債，看看對(duì)沖其余風(fēng)險(xiǎn)的成本,，從而了解基于真正的以市值計(jì)價(jià)風(fēng)險(xiǎn)敞口的市場(chǎng)估值,。為何這不是當(dāng)前最佳的披露方式，這個(gè)問(wèn)題我回答不出,，但至少這些工具應(yīng)當(dāng)在所有金融公司內(nèi)采用,，不僅僅是摩根大通[鑒于它們的系統(tǒng)重要性，它們應(yīng)當(dāng)?shù)玫奖O(jiān)管機(jī)構(gòu)和美國(guó)財(cái)務(wù)會(huì)計(jì)標(biāo)準(zhǔn)委員會(huì)（FASB）的推行,。]

????SEC永遠(yuǎn)后人一步,。這讓我想到網(wǎng)絡(luò)安全專(zhuān)家與邪惡黑客之間的斗爭(zhēng)，或者世界反興奮劑機(jī)構(gòu)（WADA）與使用類(lèi)固醇興奮劑的弄虛作假者,。這是好人與壞蛋之間的經(jīng)典斗爭(zhēng)[假定美國(guó)證券交易委員會(huì)（SEC）是“好人”——我認(rèn)為它們正在努力做“好人”,，只是沒(méi)成功罷了]。它們?nèi)耸植粔?，收入不高,，沒(méi)有動(dòng)力，運(yùn)氣也不好,。SEC主席瑪麗?夏皮羅日前表示：“可以說(shuō),，所有的監(jiān)管機(jī)構(gòu)都在關(guān)注這個(gè)問(wèn)題”，這就像消防部門(mén)在房子燒毀后才現(xiàn)身一樣,。體系已經(jīng)被打破了,。會(huì)計(jì)準(zhǔn)則有缺陷。風(fēng)險(xiǎn)分析和披露有缺陷,。而且,，監(jiān)管框架也有毛病。此類(lèi)損失不應(yīng)是個(gè)意外,。沒(méi)有健全的披露,，不消除多年以來(lái)充斥資產(chǎn)負(fù)債表的含糊不清，此類(lèi)損失將繼續(xù)發(fā)生,。鑒于所產(chǎn)生風(fēng)險(xiǎn)的大小,，金融體系中大公司間的相互交織和用于承擔(dān)風(fēng)險(xiǎn)工具的復(fù)雜程度，利害關(guān)系已經(jīng)放大,。這已經(jīng)不是父代的債券和風(fēng)險(xiǎn)套利組合了,，這是所有形式、大小和流動(dòng)性的衍生品,。除非實(shí)施嚴(yán)格的以市值計(jì)價(jià)規(guī)定,，確保監(jiān)管的透明化，否則SEC都在做必?cái)〉膽?zhàn)斗,。透明化會(huì)產(chǎn)生很多有益的東西,。但SEC后人一步，對(duì)于股東出資的投機(jī)者有益,。SEC越是后人一步,，他們就越是有更多的時(shí)間進(jìn)行不對(duì)稱(chēng)押注（正面我贏——反面你輸）。

????對(duì)于很多人而言,，摩根大通披露的交易巨虧消息或許令人震驚,，這本不該如此。不管是對(duì)金融行業(yè)的從業(yè)者還是普通人來(lái)說(shuō),，深入了解金融機(jī)構(gòu)風(fēng)險(xiǎn)的機(jī)制都存在缺陷,。在這一根本性薄弱環(huán)節(jié)得到解決前，SEC如何做都不會(huì)有實(shí)質(zhì)性改變,。銀行有足夠的自由度能讓自己（和整個(gè)金融體系）陷入麻煩,。

????羅杰?恩瑞伯格（Roger Ehrenberg）是IA Ventures公司的創(chuàng)始人。他的博客地址是InformationArbitrage.com,。

????譯者：早稻米

????Stop thinking that VaR has any linkage with reality. While Dimon himself may not have been aware of the magnitude of the Whale's risk position, certainly his risk managers were. And if they were using VaR, they should be skewered as should Dimon. Have we learned nothing? I was musing about problems with VaR and Sharpe Ratio six years ago, and in between we've seen the 2008 crisis and myriad mini-crises in between, and the fact that VaR is still a bedrock of financial disclosure - and financial risk management - is chilling. But hey, we're still in a world where there are huge arguments over the imposition of true mark-to-market accounting rules, enabling financial firms to present something less than a true picture of how assets and liabilities are valued on a liquidation basis. We should isolate long-term assets and liabilities - those that are truly match-funded on a duration adjusted basis. Then we should look at those short-term assets and liabilities and look at the costs for hedging out the residual risks, understanding the market's assessment of the true mark-to-market exposure. Why this isn't current best practice for disclosure is beyond me, but at the very least these tools should be employed within all financial firms, not only the JP Morgan's of the world (though given their systemic importance they should be mandated by both regulators and the FASB).

????Acknowledge that the SEC will forever be playing catch-up. The metaphors that come to mind are Network Security Specialists vs. Black Hat Hackers. Or WADA (the world anti-doping authority) vs. Steroid Using Cheaters. It is a classic good guys vs. bad guys conflict (though I am operating on the assumption that the SEC are the "good guys" - I believe they are trying, just failing). They are out-manned. Out-paid. Out-incentivized. Out of luck. The fact that Mary Schapiro just uttered "I think it's safe to say that all the regulators are focused on this" is akin to the fire department showing up after the house has burned down. The system is broken. The accounting rules are flawed. Risk analysis and disclosure is flawed. And the regulatory framework is broken as well. Losses of this nature should not come as a surprise. They have and will continue to occur in the absence of common sense disclosure and elimination of all the obfuscation that has been allowed to pervade balance sheets for generations. It's just that the ante has risen given the magnitude of the risks being borne, the inter-connectedness of the major players in the financial system and the complexity of the tools being used to take risk. It's not your father's bond and risk arbitrage portfolios any more: it's derivatives of all shapes, sizes and liquidity. Until rigorous mark-to-market rules are enacted that facilitate the transparency required to regulate properly, the SEC is fighting a losing battle. All good things stem from transparency. But a broken SEC is good for shareholder-funded speculators. The longer it stays broken, the longer they get to continue making asymmetric bets in their favor (heads I win - tails you lose).

????While to many the JP Morgan trading revelations might have been shocking, they should't have been. The system for deeply understanding financial institutions' risk is flawed, both inside and outside the house. Until this fundamental weakness is addressed, it doesn't really matter what the SEC does. Our banks have more than enough latitude to get themselves - and our financial system - in trouble.

????Roger Ehrenberg is founder of IA Ventures. He blogs at InformationArbitrage.com