Bloomberg L.P. at the Sustainability Edge€¦ · ESG Key Performance Indicators (KPIs), quantifies each of the company's ESG KPI impacts, and applies a pricing factor to these impacts

Page 1

RMBI NewsletterRMBI Newsletter

Bloomberg L.P. at the Sustainability EdgeIn modern business environment, creating long term value for stakeholders implies the need for companies to operate in a sustainable manner and being responsible to the society. With the increasing importance of responsible investment, investors and analysts are looking for ways to integrate ESG (Environmental, Social and Governance) factors into their investment strategies.

The trend reveals the belief of company executives in sustainability as a core element to the creation of long-term value. On the other side, investors are keen to know company information other than just balance sheets and financial statements. As a multinational financial data provider, Bloomberg L.P. takes the lead to provide a comprehensive view on performances of companies to analysts and investors by including environmental, social, governance (ESG) data in its databases.

We are glad to have invited Ms. Frances Liu, ESG Analyst at Bloomberg, to introduce the functions and usage of the ESG database. Ms. Liu is based in Hong Kong, covering Greater China Region and is extensively involved in product development at Bloomberg since 2011.

Apart from providing feedback and suggestions on China CSR Guideline and ESG developments in The Shanghai Stock Exchange Focus Group, she had worked with Deloitte and created the Hong Kong Sustainability Reporting Working Group.

An Introduction of ESG

ESG was first proposed by the UN Global Compact’s “Who Cares Wins” initiative in June 2004. It aims to highlight the importance of many issues such as energy use, greenhouse gas emissions, employee safety and diversity, board of directors and corporate governance. By November 2012, Bloomberg L.P. provided ESG data for 9,643 companies globally: 3,300 in the United States; 307 in Australia; 3,787 in Asia; 758 in Europe, the Middle East and Africa (EMEA) and 3,629 in North America.

The ESG model is built by defining data points with reference to the Global Reporting Initiative (GRI), and gathering opinions from investors and analysts. As of 2012, there are 219 raw data points available for users to download from Bloomberg ESG database. ESG data points are either quantitative or qualitative in nature. Qualitative data includes initiatives such as a company’s policies for energy efficiency, human rights and anti-corruption.

According to Ms. Liu, Bloomberg captures most of the data from company filings such as annual reports, corporate social responsibility reports, government and company websites. Besides, Bloomberg distributes the Bloomberg ESG survey to companies to capture information that is not readily available in public filings. A global team of analysts monitor the release of the reports and update them in a timely manner. Data collected are presented in standardized format with source documents attached.

ESG database and its significance

There are a number of functionalities that are integrated with ESG data to improve usability and data analysis. Investors can easily screen and make keyword search to select investments that suit their needs and make comparisons between similar companies. Tools and charts are available to track changes, such as the growth rate of water consumption, so as to provide insights into future trends. The system can also accommodate more than 10 languages.

Feature Story

Risk Management and Business Intelligence ProgramThe Hong Kong University of Science and Technology

RMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI Newsletter風險薈訊

September, 2013 Issue 6

Page 2

RMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI Newsletter

In order to compare the disclosure level of a company, Bloomberg has created the ESG disclosure score. Its three sub-scores quantify a company's transparency in reporting environmental, social and governance data. This score is based on 100 out of 219 data points that Bloomberg collects, and is weighted to emphasize the most commonly disclosed fields, with adjustment from time to time.

After ESG data is collected, Bloomberg L.P. conducts analysis to generate critical information for stakeholders. This is beneficial for both investors and the company itself. A valuation tool is implemented to investigate how ESG factors influence net profit/Pre Tax Profit/EBIT/EBITDA. The tool identified 13 ESG Key Performance Indicators (KPIs), quantifies each of the company's ESG KPI impacts, and applies a pricing factor to these impacts. Using projected performance results, the user is then equipped with a basic model to calculate an ESG-adjusted EBIT and share price valuation. A high employee turnover ratio implies high hiring cost and hence a negative impact on profitability. This calculation model is publicly available such that companies can evaluate the ESG scores on their own. Companies can set desired scores as their goals and adjust their company policies accordingly when one ESG factor becomes less profitable.

ESG can provide valuable information to improve the risk management for both firms and investors. Ms. Liu believes that by encouraging an emphasis on the potential of ESG as a future trend, firms might be motivated to disclose their non-financial data in a bid to boost investors’ confidence. There is incentive to reveal such comprehensive data, as failure to act accordingly might imply inherent operational risk for the firm.

Moreover, as investors become more aware of the multiple aspects of a company’s performance, we might observe better risk-informed decision making.

An example could be that of a company revealing its green data. The company might benefit from good brand and reputation of being a leader in promoting environmental sustainability. The company might gain recognition for efficiency of management of its resources. All of these are highly desirable by investors and contributes significantly to growth and hence profitability of the company.

Limitations and Challenges

With ESG being an innovative concept, there are difficulties and limitations. Ms. Liu noted that most Hong Kong companies do not have ESG data currently available. There are unclear guidelines in the past on the reporting of ESG data, especially for the qualitative part.

Yet companies like MTR and CLP have been reporting ESG data to communicate their sustainability performance and enhancing their reputation. In China, there have not been specific guidelines on reporting either. Companies in the United States

Analysis on alternative energy news story flow compared to NYSE® BNEF® Americas Clean Energy Index此圖表比較「有關替代能源的新聞資訊項目」和「紐約證券交易所-彭博

新能源財經-美國清潔能源股票指數的表現」

Analysis showing how ESG factors might impact EBIT此分析工具描述 ESG 如何影響公司的除稅及利息前盈利

Feature Story

RMBI NewsletterRMBI NewsletterRMBI NewsletterRMBI Newsletter風險薈訊


Ms. Frances Liu, ESG Analyst at Bloomberg彭博 ESG 分析師

廖錦屏小姐

Page 3


ESG 簡介

ESG指環境 (Environmental)，社會 (Social) 和公司管理 (Governance)，於二

零零四年六月在聯合國全球契約的「Who Cares Wins」倡議中首次提出，以

喚起投資者對能源使用、溫室氣體排放量、僱員安全和多元化、董事會和公司

管理等議題的關注。截至二零一二年十一月，彭博提供全球共9,643間公司的

ESG數據，當中包括：美國 (3,300 間)，澳洲 (307 間) ，亞洲 (3,787 間)，歐

洲、中東和非洲 (758 間) 及北美 (3,629 間)。

彭博在建立ESG模型時參考了全球永續報告指標 (GRI)，以此報告作基準，加

上投資者和分析師的意見，制定出各個數據點。截至二零一二年，彭博已有

219個數據點供用戶從其ESG數據庫下載。數據點主要分量性 (定量) 及質性

(定性) 兩大類。其中，質性資料主要是用作了解公司的目標及原則，如能源效

益政策、人權措施、反貪污政策等。

Correlation analysis between an ESG criterion and a financial criterion. This example examines how a higher percentage of independent directors is related to dividend payout ratio.

這是一項ESG標準和一項財務標

準的相關性分析圖，分析較高獨

立董事比例和派息比率的關係。

在現今的營商環境下，企業不但要努力實踐

可持續發展的營運模式，為股東帶來長遠穩

定的利益，更要積極從商業角度幫助解決社

會問題。隨著負責任的投資於市場漸趨重

要，投資者和分析員均希望將ESG元素加入

投資策略中。

鑒於不少行政人員相信可持續發展對股東的

長遠利益有正面影響，長期投資者為投資作

估值時亦關心財務以外的資訊。作為跨國財

務資訊供應商，彭博將ESG數據納入其資料

數據庫中，讓分析師及投資者對企業的表現

有全面的了解。我們有幸邀請到彭博ESG分析

師廖錦屏小姐接受訪問，為我們講解ESG數據

庫的功能和用法。廖小姐的分析工作範圍主

要涵蓋中國地區，並由二零一一年起專責彭

博產品的開發工作。除了在上海證券交易所

專題小組內為中國企業社會責任指引和ESG

發展提供建議外，她亦與德勤合作，組成了

香港可持續發展報告工作組。

doing well but with room for further improvement to increase data coverage. It is expected that there will be more regulations and voluntary disclosure of ESG data in the near future.

One major concern is dishonesty in reporting, which is prevalent across the globe. Bloomberg L.P. compares and verifies the sources of data. However, it might not be easy for Bloomberg to discover intentional dishonest act. Third party verification needs to play a part in ensuring data integrity. The regulations in some countries require legal liability for data reporting.

It is challenging for multinationals to report every ESG detail as many of their departments and subsidiaries are situated at different places around the world. Bloomberg L.P. often chooses to take the consolidated report or take time to compile a report for both parent company and its subsidiaries as a whole for standardization.

Moreover, several countries are having different regulations on ESG data reporting. It is very difficult to compare companies' performance as companies are reporting in a different ways. Over the last few years a number of initiatives, organizations and individuals began to converge in response to the need for a consistent, collaborative and internationally accepted approach to Integrated Reporting. IIRC is formed to create an Integrated Reporting framework which will enable companies to bring more coherence and focus to corporate reporting and dialogue with its stakeholders.

Ms. Liu added that Hong Kong Exchanges and Clearing Limited has published an ESG guide in August 2012, suggesting listed companies to disclose as many as 34 KPIs. They may require an obligation to "comply or explain" by 2015. In the near future, we are expecting more companies to release their reports.

Feature Story


September 2013 Issue 6

可持續發展時代下的彭博

Page 4


廖小姐表示，目前大部分 ESG數據都是透

過蒐集各公司的公開文件而得來，包括年度

報告書、企業社會責任報告、政府及公司網

站等。除此之外，彭博會發送ESG問卷予

各公司，以便收集更多未能從以上公開渠道

得到的資料。

彭博更組成了一支全球分析師團隊，專責監

控報告發布並及時更新數據，並附加資料來

源及文件供用戶參考。

ESG 數據庫的重要性

為了提高資料分析和數據可用性，彭博提供

了多項功能配合ESG數據用戶的需要。投

資者能輕易地用關鍵字搜索及篩選功能來挑

選適合自己的投資組合，更可以將同類型公

司作比較。利用一系列的應用程式，投資者

可製作各類圖表，追蹤各數據點的變化，以

作未來發展趨勢分析之用。ESG數據庫更

提供多於十種語言，切合不同投資者的需

要。

此外，彭博亦自訂了一項資料披露計分制，

讓用戶能比較企業在環境、社會和公司管理

這三方面的公開資料透明度。此計分制以

100分為總分，涵蓋所有ESG數據點，並根

據它們的重要性設定不同的比重，不時作出

調整。

彭博在收集ESG數據後會進行資料分析，

為公眾及股東提供關鍵的資訊，對投資者和

公司有莫大幫助。彭博提供了一項估值工

具，讓投資者查看及分析ESG如何影響公

司的淨利潤/息稅前利潤/稅息折舊及攤銷前

利潤。這項工具共有13個關鍵績效指標

(KPI)，量化每間公司的 ESG KPI 影響，而

每項影響均設有一個定價值。利用預測表現

的結果，用戶能夠以一個基本模型計算經

ESG調整的息稅前利潤和作股價估值。

其中一項值得關注的問題是企業報告

失實。此情況在全球非常普遍，雖然

彭博一直對數據來源有進行驗證和比

較，但始終難以發現那些存心瞞騙投

資者的企業。由此可見，第三方認證

扮演著重要的角色，可確保數據的完

整性。部份國家更在法律上規定企業

需為其數據報告負上法律責任。

在全球化下，許多跨國企業於不同國

家和城市都設立部門及附屬公司，要

求這類公司交代所有ESG細節難度較

大。有鑑於此，彭博選擇以綜合形式

或為母公司和子公司各自編寫一份報

告。

現時多個國家都對ESG數據報告設有

不同的條例和指引。然而，由於每間

公司報告的方式不同，投資者在比較

各企業表現時，會遇到一定的困難。

在過去幾年，為了找到一個受國際公

認且一致的綜合報告方法，部份組織

和個別人士達成了共識，並成立了國

際綜合報告委員會 (IIRC)。IIRC設計

的綜合報告框架，能幫助企業在報告

時更有連貫性和加強與其他利益相關

者的信息交流。

最後，廖小姐表示，香港交易所已於

二零一二年八月發布了ESG指引，建

議上市公司披露34項KPI。而香港所有

上市公司在二零一五年必需按法律規

定收集和公佈ESG數據，否則需要為

無法提供數據作出解釋。我們預期會

有更多的企業發表有關ESG的報告。

譬如員工流失率高意味著僱用成本較

高，並會對企業盈利帶來負面影響。由

於這計算模式是公開的，公司可對其

ESG分數作評估和設定目標，更可按

ESG因素變化作出相應的政策調整。

ESG數據庫能為企業和投資者提供有關

改善風險管理的寶貴資料。廖小姐認

為，透過帶出ESG有可能成為未來趨勢

這個訊息，企業會更主動公開非財務資

料，以增加投資者的信心。相反，若公

司未能透露有關方面的資料，可能表示

公司存在操作風險。另一方面，隨著投

資者更留意企業在各方面的表現，可以

預期投資者在作出投資決定時會更清楚

了解企業的風險狀況。

舉例說，一間公司若公開其綠色數據，

便能以可持續發展倡導者的身份為品牌

建立良好信譽，並因有效管理資源而獲

得大眾的肯定和認同。這不只為投資者

所樂見，更可以為企業帶來顯著的增長

和盈利。

限制與挑戰

由於ESG仍是一個嶄新的概念，在運作

上會遇到一定的困難和限制。廖小姐表

示，目前大部分香港公司都沒有提供

ESG數據，過去亦沒有任何有關報告

ESG數據的清晰指引，特別是質性 (定性) 的資料部分。然而，部分香港公司

如港鐵、中電均透過披露ESG數據來向

公眾展示其可持續發展的表現，藉此提

高品牌信譽。中國投資市場亦缺乏具體

的ESG數據報告指引；而美國則已建立

良好的基礎，但在增加數據覆蓋範圍這

方面仍有改善空間。我們預期將會有更

多具體指引及條例出現，同時會有更多

公司自願公開ESG數據。

Feature Story



Text 撰文

WAN Siu Wah Diana 尹紹樺

CHAN Chin Hung Zephyr 陳展鴻

AU Kai Kwan Alfred 歐佳坤

Year 2 students of Risk Management & Business Intelligence Program風險管理及商業智能學課程二年級學生

Page 5


Over the last few decades, MTR Corporation Limited (MTR) has provided a backbone railway transport system in Hong Kong. It is also one of the safest railway networks in the world. With a route length of 218 kilometers, the well managed MTR network provides fast, reliable and comfortable services to the public of Hong Kong.

Apart from running railway services in Hong Kong, MTR also engages in a range of business activities including developing and managing residential and commercial projects. Furthermore, MTR runs similar businesses outside of Hong Kong. The diversified business profile brings both opportunities and potential risks to MTR. We have invited Dr. Yu Hon Kit, Henry, Senior Manager - Enterprise Risk from MTR, to share with us the key elements of the MTR risk management regime.

Dr. Henry Yu has worked in MTR many years. He is an electrical engineer by profession. He started to practice safety risk management since 2007 and he became the Enterprise Risk Manager of MTR in 2011.

MTR Risk Management Regime

MTR started to implement risk management in the early 90’s. The initial focus was on the operating railway safety and service performance. As time progressed, the Company gained more experience on risk management and the risk culture in the Company became more mature, then risk management practice was progressively rolled out to different business aspects, such as environmental management, asset management, outsource management, security and project management, etc.

To assure that risks facing the Company are managed holistically, MTR introduced the Enterprise Risk Management (ERM) framework in early 2006. The ERM framework provides a simple system to identify, assess, treat and monitor risks. MTR clearly stipulates in the Enterprise Risk Management Policy that “the Management has a duty to engender a proactive risk culture throughout the organisation and embed risk management into everyday business operations. Risk management is the responsibility of every staff member”.

Core to the ERM framework is the Enterprise Risk Committee (ERC). The Committee is led by the Legal Director & Secretary with representative from each department of the Company. It is established to drive ERM in the Company and it plays a key role in managing the key risks facing the Company. The ERC reports the key risks to the Executive Committee every six months and the Board of Directors every year. The ERC also reports the ERM process to the Audit Committee every year.

MTR uses simple and consistent messages to communicate risk information. Risks identified are assessed and ranked from level 1 to level 4 depending on their occurrence likelihood and impact severity. Level 1 refers to very high risk and level 4 refers to very low risk. This notation is used regardless the risk type, eg. enterprise risk, safety risk, environmental risk, project delivery risk, etc. Each risk type is assigned with a dedicated prefix. “E” stands for enterprise risk, “R” stands for safety risk, “P” stands for project delivery risk, etc. Hence, an E1 risk means a very high enterprise risk whereas an R4 risk means a very low safety risk. This approach to “name” risks is simple and effective that allows the Company to communicate risks at all levels clearly.



Enterprise Risk Management in MTR

Page 6


The degree of attention required for treating the 4 levels of enterprise risk is clearly defined in the ERM framework. E1 risks are very high risk that shall be reported to the Board and be treated urgently. E2 risks are high risk that shall be reported to the Executive or relevant Divisional Director and with treatment plan proactively implemented if reasonably practicable. E3 and E4 risks are medium and low risks respectively that will be treated within the concerned business units where necessary. When assessing enterprise risks, MTR always considers the potential impacts in five aspects, namely financial impact, safety impact, business performance impact, political/reputation impact and legal/regulatory impact. MTR always pays special attention to high consequence risks, though their likelihoods may be very low, as they could lead to devastating impact on the Company and/or the society. Examples of this type of risks are incidents leading to loss of right to operate, resulting in multiple causalities, etc. Some people may refer these risks as “Black Swan risks”.

Benchmarking exercises are run extensively to learn good practices from the industry. Risk treatment plans will be enhanced and/or revised based on the lessons and good practices learnt where applicable. In addition, Henry and his team will conduct ERM Roundtables in Hong Kong and the UK every year to exchange good ERM practices with the industrial partners, which are proven to be a high value exercise.

Conclusion

The enterprise risk management framework of MTR is well recognized both locally and internationally. The Company was recognized by CoMET as the company with the highest risk maturity level in the “International benchmarking of Enterprise Risk Management Practice in Metros” in 2012. To conclude, Dr. Yu said the top management support and the simple processes are the key success factors that make everyone in the Company embraces risk management.

MTR has established a very clear and simple channel that allows risk intelligence to flow bi-directional between the Executive and the business units, which assures that risk management processes at all levels of the Company are closely linked. So, while the business units are managing their respective risks at the business unit level, the risk information are consolidated as the Top 30 corporate risks and are rigorously reviewed by the ERC at the corporate level, with the Top 10 risks reviewed by the Executive every 6 months and by the Board every year. The ERM framework has proven to be able to allow the Board and Executive to maintain adequate oversight on the key risks facing the Company, as well as to create value to the stakeholders and help assure sustainable growth of the Company.

MTR takes a proactive approach to learn and improve. Incidents happened within and outside of the Company will be reviewed by relevant parties to identify lessons learnt and potential improvement initiatives.



Dr. Yu Hon Kit, Henry, Senior Manager - Enterprise Risk from MTR Corporation Limited香港鐵路有限公司企業風險管理高級經理余漢傑博士

Page 7


香港鐵路有限公司（港鐵）於

過去數十年來一直為香港提供

一個鐵路運輸樞紐。其鐵路網

絡更是全球業界中安全表現最

好之一。港鐵系統服務路線全

長218公里，憑着優良的鐵路

管理系統，它為香港市民提供

快速、可靠和舒適的服務。

除營運鐵路運輸服務外，港鐵

亦從事不同的商業活動，包括

發展和管理住宅及商業項目，

更致力擴展業務至中國內地及

海外；其多元化業務在帶來機

遇的同時，亦潛在一定的風險。我們有幸邀請到港鐵公司企業

風險管理高級經理余漢傑博士為我們闡述港鐵的企業風險管理

體系的重要元素。

余經理在港鐵服務多年，是一位專業電機工程師，從2007年起

實踐安全風險管理，並於2011年被委任為港鐵公司的企業風險

管理經理。

港鐵風險管理制度

港鐵於九十年代初實施風險管理，起初的重點為安全性及服

務性的風險管理。期後，隨著公司在風險管理經驗的累積及

對風險管理的理念/意識日漸成熟，港鐵將風險管理續漸地擴

展到其他業務範疇，包括環境管理、資產管理、外判管理、

保安管理及項目管理。

為了更全面地掌握面對的各類風險，港鐵於2006年正式制訂

企業風險管理 (ERM) 體系。這個體系提供了一個簡單的系

統，以識別，評估，處理和監管風險。港鐵在其企業風險管

理政策內明確列出「管理層有責任推動公司內部風險管理文

化和將風險管理融入日常各項業務環節；風險管理更是每一

位員工的職責。」

企業風險管理體系的核心為企業風險委員會（ERC），由法律

總監及公司秘書擔任主席，成員包括來自各主要業務領域的

管理層代表。該委員會負責於港鐵推行企業風險管理，對管

理公司面對的主要風險起著關鍵的作用。委員會需每半年向

執行委員會報告及每年向董事會匯報主要風險；同時，審核

委員會會就其風險管理程序作周年檢討。

港鐵使用簡單而統一的溝通語言作風險資訊交流，並根據事

件發生的機會率和影響後果訂立了一個風險優先順序處理制

度。所有風險分為四個等級，1為最高，4為最低。此標記法

適用於各類風險，包括企業風險、安全風險、環境風險、項

目交付風險等。每種風險類型均有一個專用字首，如E代表企

業風險，R代表安全風險，P代表項目交付風險。因此，E1風

險代表一個非常高的企業風險，而R4風險則是指一個非常低

的安全風險。這種風險命名的方法既簡單而有效，讓公司各

級能清楚地傳達風險資訊。



港鐵的企業風險管理

Page 8


在企業風險管理體系中，有明確的指引說明四個不同等級的企業風險

所需接受的處理手法。E1風險屬非常高風險，須要向董事會報告並盡

快處理。E2風險為高風險，須要向執行董事或有關的部門總監報告和

積極實施切實可行的方案。E3和E4風險分別被視為中等風險和低風

險，有關業務部門會在必要的情況下進行相應措施。

就企業風險評估而言，港鐵將潛在影響分為五個類别，即財務回報、

安全、企業表現、政治或聲譽和法律或法規的影響。港鐵會特別注重

會構成嚴重後果的風險，雖然這類型風險的發生率可能較低，但它們

卻會對公司及/或整個社會造成破壞性的影響。有機會導致喪失經營

權或造成多人傷亡等的事項都是此類型風險的例子。這類風險亦被稱

為黑天鵝風險。

港鐵亦建立了簡單明確的渠道，使風險情報能於執行委員和業務單位

之間雙向流動，從而保證公司各部門的風險管理流程有著緊密的聯

繫。因此，當各業務單位在處理其面對的風險時，風險信息會被整合

為三十大企業風險，並由企業風險委員會進行嚴格審查。而十大企業

風險則會分別由執行委員會及董事會每半年及一年進行審查。企業風

險管理體系確實能讓執行委員會及董事會對公司所面對的主要風險保

持足夠的監督，以及為各持份者創造價值，有助確保公司的可持續發

展。

港鐵採取主動的態度來學習和求進。港鐵會就公司內部或其他企業所

發生的事故進行研究，從中吸取經驗和發掘潛在的改善措施。港鐵亦

會廣泛地執行標桿分析從而學習各行業中的優良手法。在合適的情况

下，有關的風險處理計劃會因應從不同渠道學習得來的經驗而進行改

善工作。此外，余經理和他的團隊每年會在香港和英國舉行企業風險

管理圓桌會議，與合作夥伴交流企業風險管理的良好業務守則。這項

經驗交流活動令各參與者獲益良多。

結語

港鐵的卓越風險管理體系在本地及國際間廣受讚譽，它更於去年的

「地下鐵路企業風險管理實務的國際基準比較」中，榮獲國際都市鐵

路聯會評為風險管理成熟度最高的公司。最後，余經理指出高層管理

人員的支持和簡單的程序是使公司的每個員工都會採納風險管理的成

功關鍵因素。



Text 撰文


Year 2 student of Risk Management & Business Intelligence Program風險管理及商業智能學課程二年級學生

CHOI Wai Man Niki 蔡慧敏

Year 1 student of Risk Management & Business Intelligence Program風險管理及商業智能學課程一年級學生

Page 9


About the Author

Mr. Dominic Wu is the Managing Director and Senior Risk Manager with BNY Mellon for APAC. Dominic has more than 20 years of experience in the Financial Industry. Dominic is a qualified accountant, fraud examiner and professional risk manager and did his MBA from University of Hull, UK as well as the Chairman of Asia Chapter of the Institute of Operational Risk (IOR).

Banks are exposed to risks in their course of business and have to strike a balance between risks and return without undermining their overall financial soundness and viability, i.e. running the business within a well-defined risk appetite.

Irrespective of the risk type, risk appetite can be defined as the level and type of risk a firm is able and willing to assume in its exposures and business activities, given its business objectives and obligations to stakeholders. The amount should be quantifiable and measurable. The acceptable or desirable level of risk will depend on the nature of the business activities and the way in which objectives are pursued.

銀行在營運過程中必然會面對風

險，他們必須在風險與回報之間取

得平衡，同時確保財務結構穩健可

行。換言之，他們必須明確界定承

受風險的能力，並在這範圍內經營

業務。

不論何種風險，風險承受能力可以

解釋為一間企業在考慮到其商業目

標以及對股東的義務後，所願意並

有能力承擔的風險水平以及風險類

型。風險承受能力須為可量化或可

度量，並應取決於企業業務活動的

性質以及實現目標的方式。

Text 撰文

Mr. Dominic WuChairman of the Asia Chapter of the Institute of Operational RiskManaging Director, Senior Risk Manager The Bank of New York Mellon

操作風險專業學會亞洲分部主席，紐約梅隆銀行有限公司

董事總經理及高級風險管理經理鄥思彥先生

作者簡介

鄔思彥先生現為紐約梅隆銀行

有限公司董事總經理及高級風

險管理經理，在金融界擁有二

十多年工作經驗。鄔先生是英

國赫爾大學 (University of Hull, UK) 工商管理碩士，並為註冊會計師、註冊舞弊檢查師、專

業風險管理經理及操作風險專

業學會 (Institute of Operational Risk) 亞洲分部主席。

"To win you have to risk loss." Jean-Claude Killy (A former World Cup alpine ski racer from France who born in Saint-Cloud, Hauts-de-Seine and dominated the sport in the late 1960s.)

「要獲勝，就要承擔可能失敗的風險。」

吉恩克勞德•基利(前世界杯高山滑雪法國運動員，出身於

Saint-Cloud, Hauts-de-Seine 縣，於1960年代

投身運動事業。)

Source 圖片來源：International Olympic Committee @ http://www.olympic.org/photos#



Articulation of Risk Appetite Using Qualitative and Quantitative Approach 以定性及定量的方式闡釋風險承受能力

Page 10


Qualitative and Quantitative

Risk appetite should be clearly articulated so that risks could be measured and managed in a practical way. This can be done by using the qualitative or quantitative approach.

The qualitative approach emphasizes the relationship between risks and business management. This is often regarded as the best way to describe an organization’s “risk culture” - the general attitude and behaviors of the organization towards risk-taking. This approach includes the following:

- It should be recognized that some risks, albeit unwelcome, are unavoidable

- It is reasonable to accept risks where the cost of mitigation/avoidance exceeds the expected loss provided that it will not result in undue risks.

- Risks are acceptable if the estimated losses are within prescribed tolerance levels.

- Unacceptable behaviors include: knowingly breaking the law; knowingly breaching regulatory requirements; knowingly breaching company policy; damaging the environment; disrupting service to customers, etc.

定性與定量

清楚闡明風險承受能力，有利於切實可行地評估和管

理潛在的風險。風險承受能力可以利用定性與定量兩

種方法來表達。

以定性方式來闡述風險承受能力，較為著重風險與商

務管理之間的關係。這種表達方法被認為是描述一個

機構對於風險的取態與行為的最好方法，亦即其「風

險管理文化」。這種描述方法通常包括以下幾方面：

- 應意識到有些風險是無可避免

- 當規避風險的代價大於該風險的預期損失時，只要

所承受的風險並不過多，承受風險是合理的決定。

- 因承受風險而可能造成的預期損失，必須在規定的

可接受範圍以內。

- 若造成以下情況則不應接受風險：故意違反法律、

故意違反監管規定、故意違背公司政策、破壞環境、

中斷對客戶的服務等等。

際，但這種做法其實是要傳遞一個觀念，即接受可規

避的損失是不恰當的。以定量方式評估風險承受能力

的例子有：就各類風險所準備的經濟或監管資本金

額；表現水平，例如在一年內關鍵業務系統無法使用

歷時超過一天的機率不超過某個百分比率。

銀行經常會同時採用兩種方法來闡述風險承受能力，

而不會只依賴其中一種。這兩種方法均可採用「固

定」和「相對」的概念來表達，區別在於絕對計算值

是固定的，而相對計算值則是變數，會按比例地跟隨

其他衡量基準而變化。

The quantitative approach, on the other hand, involves hard data that are usually based on business management information which could be any combination of Key Risk Indicators.

Such measures are usually accompanied by thresholds so that it is immediately apparent when a breach has occurred or is imminent. The concept of setting zero thresholds may seem impractical but they can have a cultural purpose in reinforcingthe message that it is not appropriate to accept avoidable losses without question. Examples of quantitative measures include: the amount of economic or regulatory capital allocated to various types of risk; performance levels, e.g. the possibility that any major business system is unavailable for more than one day in any one year does not exceed a certain percentage.

Banks usually adopt both approach and would not just rely on one. In both approaches, the concept of “fixed” or “relative” can be adopted for articulation. The distinction here is that absolute measures are fixed and relative measures are variable, moving in proportion to other benchmarks.

另一方面，風險承受能力的定量

分析需要採用客觀的數據，這些

數據通常來自業務管理的資訊，

而這些資訊可能是以各種關鍵風

險指標的組合為基礎。

這種度量方法通常會設有臨界

值，這樣，當風險超過或迫近臨

界值時便可輕易被察覺。把臨界

值設為零的概念雖看似不切實

Setting Thresholds

A key element of the setting up process is the establishment of agreed thresholds. These provide specific definitions for each expression of risk appetite, such as what constitutes “acceptable”, “tolerable” or “unacceptable”. For qualitative expressions of appetite this could simply be a matter of stating explicitly what is acceptable and what is not.

設定臨界值

設定臨界值是過程中的關鍵部分。這些臨界值為不同

程度的風險承受能力提供了具體的定義，即哪種程度

屬於「可以接受」、「可以容忍」及「不可接受」。

風險承受能力的定性描述則只需明確闡述何謂可以接

受及不可接受。



Qualitative

Quantitative VS

Identifying the “right” thresholds should ultimately be a matter for the respective business line to determine, drawing on practical experience of the context and expected future developments. The decision can be informed by reference to any relevant data, be it historical or predictive, internal or external (i.e. benchmarking against comparable organisations or industry standards). Even so, if the procedure for review/approval of thresholds is flexible enough, initial attempts can be fine-tuned in the light of use in practice. Thresholds should be sensitive enough to provide “early warning” of potential breaches of risk appetite but not so hypersensitive that alarm bells ring needlessly.

Risk Appetite

Risk Tolerance可容忍的風險

InsuranceCapital Allocation Confidence Level

Catastrophic

Unexpected Loss (Capital)

Expected Loss (Profit and Loss)

Like

lihoo

d

Impact

Target no. employees

Amber threshold

Red Threshold

Actual

Mth1 1

Mth2 2

Mth3 3

Mth4 4

Mth5 5

Mth6 6

Mth7 7

987 +/- 5% +/- 10% 989 935 964 996 1041 1012 etc

Page 11


There are various ways of depicting a distribution curve for operational risk and the example below is for illustrative purpose only. Thresholds can be set at any point along the risk curve from high likelihood/low impact to low likelihood/high impact, that is:

- The value of expected losses that can be sustained within normal trading (i.e. within existing budget or P&L capacity) and will be tolerated, being within stated risk appetite; The value of expected (and to some extent unexpected) losses where the risk is insurable and the amount not covered (either before the amount is covered or above the maximum amount covered) is tolerated within risk appetite;

- The amount of capital allocated as a buffer against severe unexpected losses is unsustainable within normal P&L resources.

Where quantitative data is involved it may be appropriate to express tolerance within a range of values, and this may include both positive and negative variances. For example, if a business is monitoring the number of employees, a significant variation above or below the target optimum may be an indication of different kinds of adverse consequences. Too many employees could signal inefficiency, waste of resources and unnecessarily costs, whereas too few might lead to failures in procedures and controls or a decline in customer service quality. See illustration below.

The alert to either possibility is helpful from both a business and risk perspectives.

繪製營運風險的分佈曲線有很多種方法，下面的例子僅供說明用途。臨界值

可設定為風險曲線上的任何一點，從高機率／低影響力到低機率／高影響

力，即：

- 所造成的預期損失在正常交易範疇內（不超過預算或損益表範圍）及可以

接受，即符合所指定的風險承受能力範圍，是可容忍的風險；所造成的預期

損失（及在某種程度上不可預期的損失）是可受保但未就有關金額作出撥備

（未作出撥備或超出撥備的額度），在風險承受能力的範圍內為可以容忍的

風險；

- 不可預期損失的緩衝金額在正常的損益範圍內是不可維持的。

涉及到定量數據時，風險承受能力可用某個範圍的數值去表達，而且這

些數值可以包括正數或負數的變化。例如，假如某間公司要管理員工的

數目，員工人數過多和過少或顯示出不同的不良情況。員工過多反映效

率低下、浪費資源和增加不必要的成本，而員工過少則或會導致工作流

程與監控無法有效運行或客戶服務水準下降。詳見以下圖解。

能夠透過最佳目標值來判斷員工數目是否過高

或者過低，對業務本身或是風險管理層面而言

都是有幫助的。

「適當的」臨界值最終是由相關的業務部門決

定，並參考相關情況的實際經驗和預期的變化

發展。參考相關資料可有助決策者在知情的情

況下作出最終決定，不論所參考的是過往或預

測的資料，或是內部或外部資料（例如與類似

機構或行業標準的比較）。此外，如果檢討和

決定臨界值的過程具足夠靈活性，最初的暫定

臨界值可以在實踐過程中不斷加以調整。臨界

值應具有一定的敏感度，在風險可能超出可承

受範圍時給予預警，但不應過於敏感以致出現

不必要的預警情況。



Chinese Translation 中文翻譯

LI Xiaoyue Roxanne 黎曉月


Source 資料來源 The Institute of Operational Risk 操作風險專業學會

Page 12


Implementation of Risk Appetite

To define the risk appetite, we can apply a 3-tier approach using both qualitative and quantitative information.

把風險控制於可承受範圍

我們可以運用定性與定量分析的資訊，從三個層面界定風險承受能力

的範圍。

Under tier 1, the board and senior management will define the high level qualitative information, e.g. 5-10 statements, senior management will set the tone and provide clear direction.

Tier 2 will link the risk appetite to Key Risk Indicators and will define the measurement of key risks in the business process.

Finally, tier 3 will define “line in the sand”, i.e. the tolerance zone and the outer zone where risks would not be tolerated. Usually, the red zone is considered to be non-tolerable if the risk persist over a period of time without improvement.

This approach articulates risk appetite on a structured model.

As mentioned earlier, business activities resulting in risks exceeding the tolerance level should be continuously reviewed and actions should be taken to keep it within the range of risk appetite.

The board should ensure that robust procedures and controls are in place for setting and monitoring the risk appetite. A prudent approach should be adopted to enable the senior management to understand the current risk position relative to its risk appetite and how the position would be changed if the risk appetite is changed.

在第一個層面，董事會和高級管理人員將界定高層次的定性資訊，

例如5-10分報表，高級管理層會確立基調及明確的方向。

第二個層面會把風險承受能力與關鍵風險指標關連起來，並界定業

務過程中關鍵風險的評估方法。

最後，第三層面將會界定一個「底線」，也就是界定可容忍的和不

可容忍的範圍。通常紅色警戒區表示假如這種風險持續一段時間而

沒有改善，即為不可容忍的情況。

這種方式是以結構化模型來表達風險承受能力。

如上所述，如業務導致風險超過可容忍的範圍，便應持續檢討和採

取措施以確保風險維持於可承受的範圍內。

董事會應確保有完善的工作程序和嚴格的監控，以制定和監測風險

承受能力。同時亦應採取審慎的態度，好讓高級管理人員瞭解目前

的風險狀況是否超出所能承受的範圍，以及風險承受能力的改變對

風險狀況所引起的變化。


August, 2013 Issue 6

High Level qualitative statements

Key Risk Indicators linkedto qualitative statements

Appetite for Individual risks

1

2

3

Defining Risk Appetite

Page 13


About the Author

Dr. Lam Siu Lee Jasmine is an Assistant Professor at Nanyang Technological University in Singapore. She is Associate Editor of Maritime Policy & Management journal and a member of BNP Paribas international scientific committee. She is active in research and has been invited by various organisations and port authorities as a speaker at international conferences.

Maritime transport is a vital trade facilitator in the contemporary globalized economy, enabling the reliable and cost effective transportation of goods across vast distances and multiple supply chains. However, shipping and marine cargo have been challenged by considerable increase in risks. Events such as natural catastrophe, ship collision and piracy continue to appear in news headlines. Over the last decades, there has been an increase in the number of natural hazards and catastrophic events. Munich Re reported that the overall earthquakes and weather-related catastrophes in 2011 is the costliest year ever, recorded a total natural catastrophe losses at about US$380 billion and total insured losses of US$ 105 billion (Munich Re, 2012). The Tohoku earthquake and tsunami in March 2011 which damaged Japanese seaports and marine cargoes is a key example. With regards to man-made incidents, piracy crisis in the Gulf of Aden, off the coast of Somalia, and in the wider Indian Ocean, has worsened since 2008.

海上運輸使長距離、跨供應鏈的貨物

運輸能夠經濟可靠地進行，是當代全

球化經濟至關重要的推動劑。然而自

然災害、船舶沉沒、海盜行為等事件

發生頻率的持續增加使這種運輸中蘊

含的風險越來越大。在過去幾十年，

自然災害與災難的數量呈增長態勢。

另外，慕尼克保險報導稱2011年是全

球地震和與天氣相關的災難所造成損

失最大的年份，自然災害造成的經濟

損失大約3800億美元，保險損失1050

億美元（慕尼克保險公司，2012）。

2011年發生的日本東北地方太平洋近

海地震就是一個關鍵的例子，它使日

本的港口和海運貨物遭受嚴重破壞。

人為事件中，索馬里外海亞丁灣附近

以及更廣闊的印度洋海域發生的海盜

危機從2008年開始愈演愈烈。對此，

雖然有關方面已採取相關監管控制，

如建立國際安全管理章程，海運事故

的發生幾率仍然未有降低到理想水

準。

Text 撰文

Dr. Lam Siu Lee Jasmine Assistant ProfessorNanyang Technological University, Singapore新加坡南洋理工大學助理教授林筱莉博士

作者簡介

林筱莉博士現為新加坡南洋理

工大學助理教授，並為學術期

刊 Maritime Policy & Management 副編輯及法國巴黎銀行國際科研委員會 (BNP Paribas International Scientific Committee) 成員。林博士積極參予研究工作，常應不同組織

及港務局的邀請，於各項國際

會議上發表演說。

Despite of regulatory control such as the establishment of International Safety Management (ISM) Code, the rate of shipping accidents has not been reduced to the desired levels.



Challenges in Analyzing and Managing Marine Risk分析與管理海運風險所面臨的挑戰

Page 14


Considering the complication of shipping techniques, high mobility of cargoes and poor condition and uncertainty during the voyage, there are numerous risks in the transportation process. With the burgeoning of shipping volumes, the occurrence of accidents and disruptive events could bring huge losses. Furthermore, while precautionary measures such as insurance coverage could be adopted, hidden risks such as business interruption and loss of reputation that operators fail to identify will accumulate with the expansion in scale of business. Shipping companies could suffer from significant losses and financial difficulty. Therefore, it is important to establish an effective risk quantification and management mechanism for shipping companies and to improve risk control process in order to cover the various components of the operating system. Building a risk assessment system, identifying and evaluating risks before hazards happen, dividing the risk level, conducting a feasibility study and is the major process to reduce the risks of shipping industry’s stakeholders.

However, marine risk is not well understood in the insurance and re-insurance industries. Due to the dynamic nature of business and mobile nature of exposure, marine exposure does not fit into the normal pattern of commercial catastrophe models. A major challenge in analyzing marine risk is, how to thoroughly identify the core indicators that lead to marine risk exposure among the numerous and complex factors. In the case of maritime transport, where it is a derived demand and heavily ensconced in global supply chains, business interruption aspects from a catastrophe should be deliberated. Therefore, the resultant model must not only consider the mobile vessel as an asset, but also take into account the cargo on-board as well as in-port. The international nature of maritime business makes the picture even more difficult to be captured.

考慮到海運技術的複雜性、船裝貨物的高流動性以及航

行條件差且不穩定，海上運載過程涉及眾多風險。隨航

運量的增長，破壞性事件的發生可能造成越來越龐大的

損失。不僅如此，即使已採取投保等預防措施，營業中

斷損失和名譽損失等無法被運營商識別的隱患還會隨著

航運業務規模的擴張逐漸累積。航運公司可能為此遭受

嚴重的經濟虧損。重要的是，建立一個能夠有效的量化

並管理風險的機制，使航運公司改進風險控制過程，進

而使作業系統中更多的組成部分納入風險控制過程中。

降低航運業利益相關者的風險主要涉及：建立風險評估

系統，在危害發生前識別並評估風險，劃分風險等級，

進行可行性研究，制定風險緩解計畫。

然而，海運風險在保險業與再保險業並未能被很好地解

釋。基於航運業務的動態性和所暴露環境的流動性，海

洋環境所經歷的災難並不適合被正常的商業災難的模型

來類比。分析海運風險的主要障礙在於，如何在紛繁複

雜的因素中確定出完整的能夠導致海運風險的核心因

素。海洋運輸的需求是一種派生需求，包含在全球的供

應鏈中，對其中會遇到的海洋災難所涉及的商業干預也

要考慮到位。因此最終的模型不止要將航行中的船舶作

為資產的一部分，還要將所運輸的和在港的貨物納入資

產的範疇內。海運業務的國際性更是使分析海運風險變

得難上加難。



The Tohoku earthquake and tsunami in March 2011 damaged Japanese seaports and marine cargoes. 2011年發生的日本東北地方太平洋近海地震使日本的港口和海運貨物遭受嚴重破壞。

(Source 圖片來源: http://www.jeffhead.com/)

The maritime industry should look into risk management in the maritime logistics and supply chain context instead of dealing with risk in isolation.海運業應將風險管理融入海運物流和供應鏈的背景下，而不是分離地

處理風險。

Page 15


The maritime transportation process is a fairly complicated one, consisting of different entities and players. This ranges from shippers, distributors, freight forwarders, shipping companies, port/terminal operators to inland transport operators and finally ending up with consignees. The whole process is facilitated by these players performing different but inter-related functions. A key challenge in managing marine risk is the relatively low level of collaboration among these parties. Realising proper risk management needs to be embraced by the supply chain members and collaboration is the key ingredient to success. Maritime supply chain parties should explore mutual interest and take a gradual approach in collaborative risk management.

Risk management is a key concern for many stakeholders ranging from industry practitioners to the people who are affected by the maritime business throughout the world. With the emergence of the concept and practice in supply chain risk management, the maritime industry should look into risk management in the maritime logistics and supply chain context instead of dealing with risk in isolation. This is a new concept of much potential to be explored. While a more integrated approach is recommended for marine risk management, the same token applies to conducting such research. Research collaboration among academic institutions, government agencies, maritime and insurance companies is conducive for analysing marine risk which is currently under developed. A proactive approach in risk management will ensure that individual firms as well as the overall industry at large can be more prepared and less vulnerable leading to higher competitiveness overall.

海運過程非常複雜，涉及不同的參與者，包括托運人，分銷商，貨運代理，

航運公司，港口或碼頭運營商，內陸運輸經營者和收貨人。不同參與者扮演

不同的角色卻履行著相互關聯著的功能，這也促進了整個海運的過程。管理

海運風險所遇到的關鍵問題就是，這些團體間的協作水準相對較低。換言

之，成功管理海運風險重在供應鏈上眾多角色的配合與協作。海運供應鏈上

的各方應該探討共同利益並漸漸地探索如何在合作中進行風險管理。

風險管理對於許多利益相關者都是一個重要問題，他們包括行業從業者以至

全球任何可能被海運所影響的人們。隨著供應鏈風險管理的概念和實踐的興

起，海運業應將風險管理融入海運物流和供應鏈的背景下，而不是分離地處

理風險。這是一個新的概念，有很大的探索空間。這個融合的方法不僅適用

於海運風險管理，也適用於對於海運風險的研究。在研究中納入學術機構，

政府機構，海事和保險公司之間的合作，有利於分析尚未研究成熟的海運風

險。積極主動的風險管理方法也將確保個別企業以及整個行業在高競爭水準

下有更全面的準備和更強的抗打擊能力。

Reference 參考資料Munich Re (2012). Natural Catastrophes in 2011. Munich Re NatCatSERVICE. Online www.munichre.com/en/media_relations/press_releases/2012/2012_01_04_press_release.aspx

Chinese Translation 中文翻譯

LI Xiaoyue Roxanne 黎曉月




The result from the analysis for the performance of participants in the investment knowledge competition reflects that the public lacks sufficient investment knowledge and overlooks the risks and consequences of improper management of their personal wealth.從分析參賽者在投資知識網上問答比賽中的表現結果可

見，大眾對投資的認識不足，亦不了解沒有妥善管理個人

財富所帶來的風險及後果。

Page 16


As an international financial centre, Hong Kong provides investors with a wide range of investment products. However, the findings of a survey conducted by Nielsen show that only around 40% of the respondents participated in investment last year despite the increasing participation rate in investment in recent years. Hong Kong Investment Funds Association (HKIFA) hosted an investment knowledge competition (an online quiz), with questions ranging from fund, stock, bond and derivative to risk, regularity and general investment knowledge. Over 1000 people participated in the competition but only about 800 participants answered all questions with an average score of 60%. Bruno Lee, HKIFA Unit Trust Subcommittee chairman said the results reflect that the public lacks sufficient investment knowledge and overlooks the risks and consequences of improper management of their personal wealth.

No investment does not mean no risk

28% of the participants claimed they have no experience in investment. Mr. Lee said it tells us something about the public’s views on investment: Investment involves risks and they can avoid economic loss by not making any investment. Nevertheless, he emphasized that these non-investors ignore the risks caused by other factors such as inflation and the increasing life expectancy.

The price index keeps rising every year while the deposit rate stays at extremely low level. If you deposit all your money in bank, the purchasing power of your money will be eroded and your standard of living in future will be affected. Mr. Lee gave an example: If a person saves $5000 in bank, he will have $1.8 million after 30 years given that the current deposit rate is below 1%. If the inflation forecast is 4.5% per year, the purchasing power of $1.8 million after 30 years would be much less than that of today. Moreover, medical advances have extended life expectancy. The average life expectancy of Hong Kong citizens is currently above 80 years old, while the retirement age is about 60 to 65. The absence of income source after retirement could mean that your savings may not be able to support your medical and living expenses for the next 20 years. Additionally, inflation will eclipse your purchasing power and lower your living standard. In short, not making any investment does not mean that you can stay away from risks.

Establish the right attitude of investment

Although investment involves risks, it can also be regarded as an approach of wealth preservation and even appreciation. To reduce investment risks, we should learn how to invest. Mr. Lee advised that understanding the reasons you invest is the first step that encourages yourself to learn how to invest. We can start by setting our goals in life, such as making better arrangement for your children’s education or your living after retirement. By evaluating the difference between your goals and the expected increase in wealth, you will come to understand the objective and importance of investment.

The second step is to understand the types of and the differences between investment products and how they operate and the risks involved. “We can gain investment knowledge through different channels such as the websites of HKIFA and the Investor Education Centre. Besides, newspapers provide a lot of financial and investment news and information. Cultivating the habit of reading financial news can enhance the level of investment knowledge,” said Mr. Lee.

Manage Risk, Manage Wealth



Mr. Bruno Lee, HKIFA Unit Trust Subcommittee Chairman 基金公會投資基金委員會主席李錦榮先生

Page 17


The final and the most important step is participation. By participating in investment, we can accumulate experience and knowledge. As market fluctuations have direct impact on our investment, we will therefore pay more attention to market trends and development, examine the problems concerning investment and find out related information.

Manage Investment Risk

Every investment tool involves risks and as such investors must understand the characteristics and risk management of each tool, according to Mr. Lee. For example, stock market is easily influenced by political and economic factors. Investors making substantial investment in a single stock can gain considerable return if the price of that stock rises. However, if the stock price drops dramatically, investors will incur huge loss. Investors should select different types of stocks to diversify their investment risks, but this method may not be applicable to investors with limited capital because one board lot of a blue chip stock can cost several thousand dollars.

MPF is another type of fund investment that is the most familiar to and participated in by the public. In fact, there is a wide variety of funds available in the market, and they are not affected by geographical limitation. On top of stock funds, other choices such as bond funds, REITs, commodity funds and foreign exchange funds are also available for investors to choose from. Mr. Lee pointed out that a fund only consists of 5-10% of investment in a specific stock or bond so as to reduce risks. Unless the whole portfolio is affected, the movement of a specific security would have little impact on the value of the portfolio, and it is possible that the loss can be compensated by the gains from other assets in the portfolio. Investors should also consider the costs of investment and other factors before making any investment decision.

Conclusion

Mr. Lee noted that the MPF scheme launched in 2000 has raised the awareness among the general public towards wealth management, investment and fund management. However, the findings and analysis from HKIFA reveal that public have little understanding about investment, the risks from investing or not investing, and the importance of wealth management in the course of their lives. Therefore, Mr. Lee suggested the public to read more information about financial planning and actively learn how to manage their personal wealth. Mr. Lee added, “The public should understand the products before making any investment decisions; and if you have already invested, you should understand even more about your investment.”

香港貴為國際金融中心，成熟的投資市場為投資者提供多元

化的投資產品。然而，香港投資基金公會(下稱「基金公

會」)委託尼爾森就本港市民投資情況的調查顯示，雖然巿

民參與投資的比率逐年遞增，但只有接近四成人在過去一年

曾參與投資。而在一千多名參與該會舉辦的「財智鬥高

FUND」投資知識網上問答比賽中，只有八百多人答畢全部問

題，平均得分為 60% ，比賽問題涵蓋基金、股票、債券、

衍生工具、風險、監管及一般投資常識等。基金公會投資基

金委員會主席李錦榮先生認為，這反映大眾對投資的認識不

足，亦不了解沒有妥善管理個人財富所帶來的風險及後果。

不投資不等於沒有風險

比賽中有 28% 參賽者表示沒有投資經驗。李先生認為這或許

反映大眾以為投資涉及風險，不投資便可逃避因投資失利帶

來的經濟損失。但他強調，這些非投資者卻忽略了其他外在

因素帶來的另類風險，例如通貨膨脹和人均壽命增加等。

現時物價指數每年上升，銀行的存款利率則處於極低水平。

如果只把金錢存入銀行，其購買力將會被蠶食，影響未來生

活質素。李先生舉例說：「如果一個人每月將辛苦賺得的五

千元存入銀行，現時銀行的利息卻少於一厘，三十年的積蓄

約為一百八十萬。以今年預測的通脹率 4.5% 計算，三十年

後一百八十萬的購買力必不能跟今天的一百八十萬相比。」

此外，醫學愈昌明，人的壽命愈長。現時香港的人均壽命超

學習處理風險有效管理財富



Page 18


超過八十歲，退休年齡則是六十至六十

五歲。若退休後沒有收入，單靠儲蓄支

持往後約二十年的醫療和生活開支，再

加上通貨膨脹蠶食購買力，生活會過得

非常艱難。因此，不參與投資其實並不

等於避開風險。

建立正確的投資態度

投資雖有風險，但卻可視為為財富保值

甚至增值的途徑。要減低投資風險，我

們便應學習如何投資。李先生認為，要

推動自己學習，第一步便是了解為何要

投資。我們可從規劃自己的人生目標這

個方向入手，如安排子女未來的教育或

自己退休後的生活，透過檢視已定立的

目標和預期資產增長之間的差距，來了

解投資的目的及重要性。

第二步是了解投資產品的種類、分別、

投資工具的運作和風險等資訊。李先生

稱：「我們可透過不同的渠道，如基金

公會及投資者教育中心的網站，吸收投

資知識。另外，報章亦有財經及投資相

關資訊，養成閲讀財經報章的習慣可大

大提升投資知識水平。」

最後亦是最重要的一步便是透過參與投

資累積經驗和知識。由於市場行情的變

動對我們的投資有直接的影響，我們便

會更留意市場的動向、解析各項投資問

題和發掘相關的資訊。

管理投資風險

每一種投資工具都有其投資風險，因

此，李先生認為投資者要了解投資產品

的特性及其風險管理。舉例說，很多人

將資金投放於一隻股票，股票巿場容易

受外圍的政治、經濟等因素影響，股價

上漲時能帶來可觀的回報。若股價大

跌，投資者便要面對巨額損失。要分散

風險，投資者可選擇投資不同類型的股

票，不過對資金有限的投資者而言卻未

必可取，因為一手藍籌股的價值動輒便

達數萬元。

強積金是另一項最多人認識及參與的投

資，屬基金投資的一種。其實，基金的

種類繁多，沒有地域性局限，除了股票

基金外，投資者還可選擇投資於債券、

房地產信託、商品和外幣等基金。李先

生指出，基金為了分散投資風險，個別

股票或債券一般只佔基金總資產的

5-10%，除非整個投資組合均出現問

題，否則單一證券價格變動對整個投資

組合的價值只有輕微影響，甚至能以組

合內其他資產的利潤來抵銷損失。當

然，投資者作出任何投資決定前，亦要

考慮投資成本及其他因素。

結語

李先生坦言，二零零零年推行的強積金

計劃，無疑喚起了大眾對財富管理、投

資及基金管理的關注。然而，從基金公

會的調查和分析卻發現，大眾對投資的

認知不足，不了解投資和不投資帶來的

各種風險，忽略管理財富對人生的重要

性。因此，李先生認為我們應多留意各

種理財資訊，積極學習如何管理個人財

富。最後，李先生寄語：「應先了解，

再投資；而如果已經投資，便更要了解

你的投資。」

Text 撰文

CHEUNG Hoo Cheung Godric 張皓翔

Year 2 student of Risk Management & Business Intelligence Program風險管理及商業智能學課程二年級學生



Page 19


This article is based on a joint research project between Prof. Mike K P SO and FUNG Wai Kit Jacky, Year 3 student of Risk Management and Business Intelligence Program. Jacky is the champion of Mr Armin and Mrs Lillian Kitchell Undergraduate Research Award 2013 of the Undergraduate Research Opportunities Program (UROP) in HKUST. For detail, please visit http://urop.ust.hk/List_of_Awardees_2013.html

本文是以蘇家培教授和風險管理及商業智能學課程三年級學生馮瑋傑的研究項目

為基礎而撰寫。馮瑋傑同學在香港科技大學本科生研究計劃奪得 2013 年柯吉祖

先生暨柯潘景儀夫人本科生研究獎冠軍。

有關詳情請瀏覽 http://urop.ust.hk/List_of_Awardees_2013.html

Prof Tony F CHAN (left), President of HKUST, presented the award to FUNG Wai Kit Jacky. Prof Mike K P SO (right) is the supervisor on Jacky’s reserach project.

香港科技大學校長陳繁昌教授

(左) 頒贈獎項予馮瑋傑同學，

蘇家培教授 (右) 為其研究項

目的指導導師。

Introduction

Nowadays, copulas are commonly used in time series models. They can completely describe the dependence structure between time series and provide a powerful method for modeling multivariate distribution. Using the copula approach, we can separate the dependence structure from the marginal distribution so that the multivariate distribution can be constructed easily and flexibly. There

have been a lot of dynamic copula models proposed in the literature where existing models are mostly parametric. However, one of the disadvantages of a parametric method is that it would lead to a poor result if the assumption of the parametric form of the copula function is incorrect. Given the weakness of the current approach, we introduce a nonparametric method to develop the copula model.

引言

關聯結構 (Copula) 應用於時間序列

模型中的情況非常普遍，它能夠完

全地描述時間序列間的相關結構和

非常有效地建構多變數分佈函數。

透過使用關聯結構方法，我們能夠

把相關結構從邊緣分佈函數分割出

來，令到建構多變數分佈函數可以

較有彈性。在現有的文獻中提及過

的動態關聯結構模型種類繁多，當

中大多數模型都採用母數方法

(parametric method)，但母數方法

的其中一個缺點是如果當中的母數

分佈函數假設錯誤，便會令到分析

結果偏離現實。有見於此，我們嘗

試使用無母數方法 (nonparametric method) 來建構關聯結構模型。

A Dynamic Copula Model For Time Series動態關聯結構模型

在時間序列的應用



Page 20


Nonparametric Dynamic Copula Model

In our research, we mainly focus on estimating bivariate copula function. We suggest estimating the copula function dynamically with an observation driven process and nonparametrically using kernel functions. Nonparametric estimation is robust since it does not rely on data belonging to any particular distribution. Using kernel functions to estimate the copula function nonparametrically can give a smooth and continuous copula function. Moreover, we allow the copula function to change dynamically over time so that the model can be applied to time-series data.

Specifically, the model construction can be divided into three steps. In the first step, we transform a uniform time series process into standard normal variables, and in order to remove the boundary bias since the domain of a bivariate copula is [0,1]2. In the second step, we construct the joint distribution of and dynamically and nonparametrically. Denote and the time-varying distribution is given by

where α, β, and are the parameters in the dynamic process equation. In our dynamic process, the distribution can be expressed as the weighted average of three components; the unconditional distribution, , the kernel component of the past observation , and the past distribution . In the last step, we convert the distribution into a valid copula function. can be transformed back to their respective uniform margins using the inversion method. Based on Sklar's theorem, the inversion method can produce a valid copula function. Denote the margins of the distribution by and . The copula function is given by

無母數動態關聯結構模型

在這次研究中，我們集中分析二維關聯結構函數。我們

建議利用數據驅動的動態流程和核函數 (kernel function) 來建構動態關聯結構函數。無母數分析方法較穩健，我

們毋需假設數據的母數分佈函數。在無母數方法中，透

過核函數來建構關聯結構函數能產生一個具有連續性

(continuous) 的函數。之後，動態關聯結構函數便可應用

在時間序列數據的分析上。

我們的模型建構可分為三個步驟。第一，我們將一個均勻

(uniform) 的時間序列變數轉換為一個標

準正態分佈 (normal distribution) 變數，

和。因為關聯結構函數的定義範圍是

[0,1]2，這個方法能夠消除邊界上的偏差 (boundary bias)。第二，我們會先建構和的無母數動態聯合分佈

函數。定義，聯合分佈函數可表示為︰

而 α，β 和是以上方程式中的參數。在我們的方程中，

聯合分佈函數可表達為非條件聯合分佈函數，過去數

據的核函數和過去聯合分佈函數的加權平均

函數。最後，我們會將聯合分佈函數轉換為一個關聯結構函

數。透過反向方法 (inversion method)，可能夠轉換為

均勻邊緣分佈。根據 Sklar 定理，反向方法能夠產生一個

合理的關聯結構函數。定義的邊緣分佈函數為

和，關聯結構函數可表示為︰



Page 21


數據結果

我們會分析歐元兌美元和日圓兌美元的匯率數據。透過關聯

結構方法，我們能夠分開建構相關結構和邊緣分佈函數。我

們會利用在時間序列上常用的自迴歸-廣義自回歸條件異方差

模型 AR(1)-GARCH(1,1) 來建構邊緣分佈函數。自迴歸模型

(autoregressive model) 能夠描述時間序列變數的流程而廣

義自回歸條件異方差模型 (generalized autoregressive conditional heteroskedasticity model) 能夠描述時間序列變

數的變異量 (variance)。而我們會利用我們的無母數動態關

聯結構模型來建構相關結構，我們亦會利用 Engle的動態條

件相關性模型 (dynamic conditional correlation model) 來作

為基準模型。

建構出我們的模型和基準模型後，便會比較兩個模型之間的

表現。我們採用了三個適合度檢驗 (goodness-of-fit tests)︰

柯爾莫諾夫-斯米爾諾夫檢驗 (Kolmogorov-Smirnov test) 、

安德森-達林檢驗 (Anderson-Darling test) 和卡方檢驗

(Chi-square test)，結果如下︰

Test (P-Values) 檢驗 (P-值)

Our Model 我們的模型

Benchmark Model 基準模型

Kolmogorov-Smirnov Test 柯爾莫諾夫-斯米爾諾夫檢驗

0.6524 0.6231

Anderson-Darling Test 安德森-達林檢驗

0.5112 0.1870

Chi-square Test 卡方檢驗

0.5979 0.2285

從三個適合度檢驗的結果可見，我們的模型的P-值都被比基

準模型的P-值更大，顯示我們的模型更能符合數據的表現，

但我們無意聲稱我們的模型在描述所有時間序列數據上都比

基準模型好。從結果可見，我們的模型能夠提供另一個關聯

結構模型來描述時間序列間的相關結構。

Page 21

但我們無意聲稱我們的模型在描述所有時間序列數據上都比

基準模型好。從結果可見，我們的模型能夠提供另一個關聯

結構模型來描述時間序列間的相關結構。

Empirical Results

We consider a set of exchange rate data Euro-USD and Yen-USD from year 2007 to 2010. Using the copula-based approach, the marginal behavior and dependence structure can be specified separately. For the marginal model, we use an AR(1)-GARCH(1,1) model, which is commonly used in time series process. Autoregressive (AR) model can describe the time series process of the variable, while Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model can describe the dynamic process of variance of the variable. For the copula model, we use our nonparametric dynamic copula model and also Engle’s dynamic conditional correlation model as a benchmark model.

After constructing our model and the benchmark model, we compare the performance between the two models. We use three goodness-of-fit tests: Kolmogorov-Smirnov test, Anderson-Darling test and Chi-square test. The results are shown in the following table:

From the results, our model seems to fit into the data better since the p-values of the three goodness-of-fit tests are all higher than the DCC model. However, we do not intend to claim that our model is better than the DCC model in any time series data. Our model can provide an alternative to describe the dependence structure between time series using a copula-based approach in a nonparametric way.



Blomqvist’s Beta between the two series兩個時間序列間的布隆基斯貝塔

Page 22


Lastly, we want to study the dependence properties between the series. Using our model, we plot the dependence graph using Blomqvist’s beta, which can be calculated using the formula 4C

t(1/2,1/2)-1, as the

dependence measurement. The value of Blomqvist’s beta ranges between -1 and 1. When the value is near 0, the two variables are only weakly dependent. When the value approaches the boundary, then two variables have a higher degree of association. The dependence plot is shown in the graph below:

最後，我們會研究序列間的相關特性。運用我們

的模型，我們以布隆基斯貝塔 (Blomqvist's beta) 來繪製相關結構圖表，而布隆基斯貝塔的公式是

4Ct(1/2,1/2)-1。布隆基斯貝塔數值是處於 -1

至 1 之間，當數值越接近 0，兩個變數之間的關

聯關係便越低；相反，當數值越接近邊界值，即

代表兩個變數之間的關聯關係越高。相關結構圖

表如下︰

As the graph shows, the Blomqvist's beta between the two series moves between 0 and 0.3 in the time period. Also, it can be noted that during the year 2008, the dependence structure is not very stable. The value fluctuates rapidly. The instability of the dependence between the two exchange rates during that time period would have a heavy impact on global portfolios for international diversification. Therefore, for a portfolio manager, if he can detect the instability of the dependence between the two assets at that time, he can respond by adjusting the portfolio weights promptly so that the risk of the portfolio can be controlled properly.

Conclusion

It is crucial to specify a correct time series model so that the dependence structure between the series can be uncovered. In the research, we have proposed a new copula model, the nonparametric dynamic copula model. Our model can provide an alternative method to model the copula function to analyze time series data. In the future, we will consider extending our model to higher dimension to study the dependence structure between multivariate time series data, which can be very useful in finance and risk management.

從圖表可見，兩個時間序列間的布隆基斯貝塔處

於 0 至 0.3 的水平。而我們亦發現在 2008 年

間，時間序列間的相關結構非常不穩定，布隆基

斯貝塔數值大幅波動，而當中的不穩定性會為全

球投資組合帶來很大的影響。所以，如果投資組

合經理能夠在那時候察覺到當中的波動性，便能

夠立即調整組合內的資產比重來控制組合風險。

結論

建構一個正確的時間序列模型是非常重要的。唯

有這樣，才能發現當中隱含的相關結構。在我們

的研究中，我們提出了一個新的關聯結構模型

──無母數動態關聯結構模型。我們的模型能夠

提供另一個關聯結構模型來分析時間序列數據。

我們會在未來把我們的模型進一步應用於多維模

型來研究多變數時間序列的相關結構，這將會對

財務和風險管理有很大的幫助。



Page 23


Symposium on Risk Management and Business Intelligence 20132013 風險管理及商業智能學研討會 The RMBI Program of HKUST held the fifth symposium on Risk Management and Business Intelligence on 20 April 2013 to offer a diversity of perspectives. Dr. Eden Y Woon, JP, Vice President for Institutional Advancement of HKUST was the officiating guest to the opening ceremony. The Symposium featured a wide range of high profile speakers from academic, banking, asset management, consultancy and healthcare sectors. It brought together almost 300 experts and education practitioners to exchange their ideas and updates on Risk Management (RM) and Business Intelligence (BI).

The first speech was presented by Mr. Vincent Lam, CFO of VMS Investment Group. He explained the importance of RM in the hedge fund and private equity industry by summarizing the changes in the industry’s risk awareness before and after year 2000.

The next speech was presented by Mr. Coleman Tse, General Manager of the Business Construction unit of Hong Kong Quality Assurance Agency. He described business contingency plan as part of RM in a company, related closely to information security management and IT management, and RM is an important part of overall corporate management.

Mr. David K.T. Cheung, Senior Vice President in Credit Management Department of Wing Lung Bank Limited, subsidiary of China Merchants Bank, shared the roles and structure of BI in credit risk management. He pointed out that transformation requires data mapping and systems integration, which would be one of the great challenges in developing BI in the banking sector.

Mr. Stephen Chiu, Advisor of Institute of Operational Risk, followed with a speech on the topic of restructuring. He gave an overview of how the banking industry was affected by the regulations launched after the bankruptcy of Lehman Brothers, such as the capital requirement for banks.

香港科技大學風險管理及商業智能學課程於二零一三年

四月二十日舉辦了第五屆風險管理及商業智能學研討

會，藉以提供交流平台，讓接近三百位出席研討會的商

界專業人士和師生從多個角度了解有關風險管理（RM）和商業智能（BI）的最新資訊。研討會由香港科技大學副校長(大學拓展)翁以登博士大平紳士主持開幕禮，來

自學術界、銀行界、資產管理業、顧問及醫療保健業等

不同背景的講者，於研討會上分享了對此課題的心得。

首位講者嘉賓是鼎珮投資集團的財務總監林永強先生。

林先生概述了行業在2000年前後的風險意識轉變，帶出

風險管理對於對沖基金和私募股權投資市場的重要性。

接著，香港品質保證局建築業務總經理謝健雄先生講述

各行各業如何在業務應變計劃中實踐風險管理。他形容

風險管理是企業管理中非常重要的一環，而業務應變計

劃則是風險管理的一個部份，與信息安全管理和信息技

術管理兩大範疇息息相關。

永隆銀行信貸管理部高級副總裁張金德先生介紹了商業

智能在信貸風險管理所扮演的角色及結構。他指出，在

進行數據轉換時需要作資料映射和系統整合，這是銀行

業發展商業智能的巨大挑戰之一。

操作風險專業學會顧問趙汝樺先生就「重組」這課題發

表演講。他概述了銀行業如何受雷曼兄弟破產後推出的

規例所影響，例如對銀行資本的要求。

The officiating guest, Dr. Eden Y Woon, JP, Vice President for Institutional Advancement of HKUST (middle), symposium speakers and program professors. 主禮嘉賓香港科技大學副校長(大學拓展)翁以登博士大平紳

士(中)、研討會講者及課程教授



Page 24

Text 撰文


Year 2 student of Risk Management & Business Intelligence ProgramMC of the Symposium on Risk Management and Business Intelligence 2013風險管理及商業智能學課程二年級學生

2013 風險管理及商業智能學研討會司儀


Postscript 後記

It has been three years since the launch of the RMBI newsletter. Other than reporting recent market trend through interviews, I am pleased to share with you that this issue also contains articles written by a risk professional and an oversea scholar, and a research note extracted from a risk research project. After stepping down from the RMBI program directorship starting from this semester, this issue will be the last one supervised by me in the near future. Thank you for your interest and support to the RMBI newsletters.

「風險薈訊」創刊至今已有三年。我很高興看到今期不但有報導巿場最新發

展的專訪，更有風險管理專業人士和海外學者就相關議題所撰寫的文章，以

及風險管理專題的學術研究摘要。隨著我從本學期起不再是風險管理及商業

智能學課程主任，今期的「風險薈訊」將是在我督導下的最後一期。我謹多

謝各位過去對「風險薈訊」的興趣及一直以來的支持。

Prof Mike K P SO蘇家培教授

A healthcare perspective was presented by Dr. Chun Por Wong, JP, Chief of Service of Integrated Medical Services, Consultant and Head, Department of Geriatrics of Ruttonjee and Tang Shiu Kin Hospitals. Dr. Wong, JP, delighted the audience with his presentation on how analytics in health informatics contributes to better patient care. The Hospital Authority Clinical Management System makes standardized patient data available to all public hospitals and lay out a good database for analysis. Dr. Wong, JP, shared his risk prediction model and illustrated how BI is implemented in his modelling methodology.

Dr. Haksun Li, CEO of Numerical Method Inc presented trading and investment strategies from a quantitative approach. Instead of questioning whether an investment strategy is effective, Dr. Li focused on “When does a strategy work and how do we detect when the strategy becomes ineffective before substantial loss is incurred?”

Prof. Mike So, Program Director of the Risk Management and Business Intelligence Program at HKUST, emphasized the importance of interdisciplinary education, research and practice in his closing remarks for the symposium. Furthermore, he highlighted a few indicators of credit crunch & financial catastrophe and shared RMBI students’ achievement in academic research and involvement in the RMBI Newsletter.

律敦治及鄧肇堅醫院老人科顧問醫生及綜合內科部門主管黃春波醫生太

平紳士，分享了運用健康信息的分析去改善病人護理的心得。醫院管理

局臨床管理系統有統一的標準，是一個極之有用的數據庫，不但能為全

港所有公立醫院提供標準化的病人數據，並可供分析之用。黃醫生亦分

享了他的風險預測模型，並說明如何在模型中實踐商業智能。

數值方法公司行政總裁李克辛博士以定量方法展示買賣及投資策略。李

博士主張，在投資時需認清策略在哪些時間可行，及應訂立方法在造成

重大的金錢損失之前判斷策略於何時變得不可行，而不應只著眼於考慮

所採取的投資策略是否好的策略。

香港科技大學風險管理及商業智能學課程主任蘇家培教授在總結時强調

跨學科教育、研究和實踐的重要性。蘇教授講解了幾項信貸緊縮及金融

災難指標，並分享了風險管理及商業智能學學生在學術研究方面的成

就，以及對課程新聞報「風險薈訊」的積極參與。

RMBI Newsletter Issue 6 風險薈訊第六期

September, 2013二零一三年九月

Advisory Committee:Prof Mike K P SO 蘇家培教授

Dr. Adela S M LAU 劉秀梅博士

Miss Sandra M K WONG 黃銘君小姐

All contents and information are subjected to copyright protection. Republication, redistribution or unauthorized use of any content or information contained in this newsletter is expressly prohibited without the prior written consent.

本刊所載的內容及資料，均受版權保護。任何人士如未獲許可，一律禁止轉載、發放或擅用本刊的任何內容或資料。

© 2013 All rights reserved. 版權所有不得轉載

Acknowledgement 鳴謝Some illustrations in the newsletter are from 本刊部份插圖選自

- Morgue File http://www.morguefile.com- Free Digital Photos



Documents

Bloomberg L.P. at the Sustainability Edge€¦ · ESG Key Performance Indicators (KPIs), quantifies each of the company's ESG KPI impacts, and applies a pricing factor to these impacts