Risk Measurement Methods…
In Part I of my Financial Risk Management in Treasury blog series I discussed mitigating, identifying and defining financial risk. In Part II, I described various types of risk. In Part III, I will discuss financial risk measurement methods.
A majority of respondents in a recent SunGard AvantGard study* utilize mark-to-market revaluation as the primary risk measurement to support decision-making. This practice of valuing an investment at its current market value was encouraged by the Sarbanes-Oxley Act, which implemented stricter accounting standards in 2002. However, as the validity of mark-to-market has more recently been called into question, firms may be moving towards additional measures to avoid future regulatory complications.
A sensitivity analysis, used by 44.1 percent of respondents, views the potential effects of a deviation in any variable, such as an increase in tax or interest rates. Other measures utilized by respondents include Value at Risk (28.3 percent), Cash Flow at Risk (27.6 percent), yield curve shift (23 percent), and duration or modified duration (17.8 percent).
The VaR method was the preferred measure of market risk under Basel II, although this method has come under scrutiny lately due to its inherent weakness of potentially underestimating the risk of extreme market events. Of the treasury professionals using the VaR method, 27.4 percent use the historical method of calculation which utilizes data to show the probability of a best and worst case scenario occurring based on past occurrences. Twenty percent use the variance/ covariance method, which assume normal distributions of stock returns, while 17.4 percent use Monte Carlo simulation a methodology for developing models for future returns and running hypothetical trials. A number of respondents (44.7 percent) chose “None of the Above,” indicating that they may use a combination of VaR methods or that they are instead using other methods such as those mentioned above, including mark-to-market revaluation or sensitivity analysis.
Once a method of risk measurement is established, a monitoring structure must be incorporated to ensure the selected risk measurement methodology is compliant with policy and regulation. In looking at the methods used by financial professionals to manage risk, it is apparent that technology used for monitoring may be an area for improvement. Spreadsheets are used to perform short-term cash forecasting by 65.2 percent of respondents, while 45.3 percent use spreadsheets to monitor counterparty/trading limits prior to executing a derivatives trade. Treasury Management Systems (TMS), which help increase efficiency and layers of control, are also used by a significant portion of treasury professionals. Almost 24 percent use a TMS in cash management and forecasting, while 34.2 percent use a TMS to monitor counterparty/trading limits; Enterprise Resource Planning (ERP) systems are less widely used for these purposes.
The prevalence of manual data entry for monitoring, in combination with the previously mentioned tendency to view positions in retrospect rather than real time (refer to part 1 of this blog series), give some indication of areas where treasury departments may be facing technological challenges that could impede their ability to monitor positions for potential exposure. The use of spreadsheets for risk measurement and monitoring, while widely prevalent, introduce an element of operational risk into the system and open the door to user error. Corporations using a TMS will not only reduce operational risk, but also increase accuracy and efficiency by managing risk across the organization rather than on a piecemeal basis.
[* SunGard AvantGard recently conducted a study of 222 treasury professionals in the second quarter of 2012 to better understand how corporations are addressing various aspects of financial risk. The study included respondents from around the world spanning a broad range of industry and revenue classifications, with over 62 percent of respondents from companies with more than $1 billion in revenue. ]
Stay tuned for Part IV of my Financial Risk Management in Treasury blog series in which I will discuss the effectiveness of risk management strategies and the challenges that lay ahead for financial professionals.
What risk management methods do you use? I would like to hear from you.