Koherens kockázatmérés és tőkeallokáció = Coherent risk measurement and capital allocation

Bármennyire szeretne is egy bank (vállalat, biztosító) csak az üzletre koncentrálni, nem térhet ki a pénzügyi (hitel-, piaci, operációs, egyéb) kockázatok elől, amelyeket mérnie és fedeznie kell. A teljes fedezés vagy nagyon költséges, vagy nem is lehetséges, így a csőd elkerülésre minden gazdálkodó egységnek tartania kell valamennyi kockázatmentes, likvid tőkét. Koherens kockázatmérésre van szükség: az allokált tőkének tükröznie kell a kockázatokat - azonban még akkor is felmerül elosztási probléma, ha jól tudjuk mérni azokat. A diverzifikációs hatásoknak köszönhetően egy portfólió teljes kockázata általában kisebb, mint a portfóliót alkotó alportfóliók kockázatának összege. A koherens tőkeallokáció során azzal a kérdéssel kell foglalkoznunk, hogy mennyi tőkét osszunk az alportfóliókra, vagyis hogyan osszuk el „kor­rekt” módon a diverzifikáció előnyeit. Így megkapjuk az eszközök kockázathoz való hozzájárulását. A tanulmányban játékelmélet alkalmazásával, összetett opciós példákon keresztül bemutatjuk a kockázatok következetes mérését és felosztását, felhívjuk a figyelmet a következetlenségek veszélyeire, valamint megvizsgáljuk, hogy a gyakorlatban alkalmazott kockázatmérési módszerek [különösen a kockáztatott érték (VaR)] mennyire felelnek meg az elmélet által szabott követelményeknek. ____________________ However much a bank (or company or insurance provider) concentrates only on business, it cannot avoid financial (credit, market, operational or other) risks that need to be measured and covered. Total cover is either very expensive or not even possible, so that every business unit has to hold some risk-free liquid capital to avoid insolvency. What it needs is coherent risk measurement: the capital allocated has to match the risks, but even if the risks are measured well, distribution problems can still arise. Thanks to diversification effects, the total risk of a portfolio is less than the sum of the risks of its sub-portfolios. Coherent capital allocation entails addressing the question of how much capital to divide among the sub-portfolios, or how to distribute ‘correctly’ the advantages of diversification. This yields the contribution of the assets to the risk. The study employs game theory and examples of compound options to demonstrate coherent measurement and distribution of risks. Attention is drawn to the dangers of inconsistencies. The authors examine how far the methods of risk measurement applied in practice (notably VaR—value at risk) meet the requirements set in theory.

Measuring and managing liquidity risk in the Hungarian practice

The crisis that unfolded in 2007/2008 turned the attention of the financial world toward liquidity, the lack of which caused substantial losses. As a result, the need arose for the traditional financial models to be extended with liquidity. Our goal is to discover how Hungarian market players relate to liquidity. Our results are obtained through a series of semi-structured interviews, and are hoped to be a starting point for extending the existing models in an appropriate way. Our main results show that different investor groups can be identified along their approaches to liquidity, and they rarely use sophisticated models to measure and manage liquidity. We conclude that although market players would have access to complex liquidity measurement and management tools, there is a limited need for these, because the currently available models are unable to use complex liquidity information effectively.

Measuring and managing liquidity risk in the Hungarian practice

The crisis that unfolded in 2007/2008 turned the attention of the financial world toward liquidity, the lack of which caused substantial losses. As a result, the need arose for the traditional financial models to be extended with liquidity. Our goal is to discover how Hungarian market players relate to liquidity. Our results are obtained through a series of semistructured interviews, and are hoped to be a starting point for extending the existing models in an appropriate way. Our main results show that different investor groups can be identified along their approaches to liquidity, and they rarely use sophisticated models to measure and manage liquidity. We conclude that although market players would have access to complex liquidity measurement and management tools, there is a limited need for these, because the currently available models are unable to use complex liquidity information effectively.

Succession in the Family Business: Need to Transfer the ‘Socio-Emotional Wealth’ (SEW)

Rather often we have to confront with the pessimistic views on the future of the family business. Contrary to these prognosis, the FB is not only present but also improving its position in the global economy and playing a key role in the European economy too. They represent 60 % of employment and more than 60 million jobs in the private sector. Among many internal challenges of FB in the five years’ time, the importance of the ‘company succession’ is increasing together with the renewing technology and ‘attracting the right sills/ talents’ (Global Family Survey, 2015). This article is focusing on the transfer of socio-economic wealth (SEW) as a key intangible asset within the intergenerational changes in the FB. The paper outlines the various concepts (narrow vs. broad) of the SEW and special attention is paid to the risk prone [taken] and risk adverse entrepreneurial attitudes. In this relation, the authors made distinction between the ‘opportunity’ and ‘necessity entrepreneurs’. Using empirical experiences based on multi-site company case studies in the three INSIST project countries, the various sub-sections are focusing on the transfer of the following key components of the SEW to the next generation: trust-based social-system, generic human values (i.e. openness, mutual respect, correctness, reliability, responsibility etc.) and ‘practice based – embedded collective knowledge’. Key lesson of this analysis is the following: transferring physical assets in the succession process seems to us less important than the transfer of the intangible one embedded in the company’s culture community. Further systematic national and international investigations – combining quantitative and qualitative research tools – are necessary to acquire more accurate picture on the impacts of transferring both intangible and tangible assets in the succession process in the FB.