在过去的3000年里，几次重要的标志性事件彻底改变了金融风险管理的进程 —— 从荷马在公元前8世纪定义“价值”开始，一直到2009年全球金融危机后英国金融服务管理局 (FSA)主席特纳勋爵发布《特纳评论：监管当局对全球银行危机的回应》。
已经有几本关于金融风险管理历史的书籍被陆续出版。一个经典是彼得 L.伯恩斯坦(Bernstein P.L.)的 《与天为敌：风险探索传奇》。针对风险管理最新的思考则在贾斯汀·福克斯(Justin Fox)的《理想市场的神话：华尔街追求的风险、报酬与妄想》一书中得到体现。但是，选取历史中的几个里程碑事件仍需要新的、原创的思考。
Going into detail for each threshold isn't feasible, because that would amount to writing a book. But I will elaborate on the first threshold.
Before expounding on Homer's definition of value, it is worthwhile to point out some peculiarities of the complete list. Obviously, this is a personal list that contains personal choices.
In my opinion, value-at-risk (VaR) is an extremely important concept, although its demerits should be acknowledged, and normal distributions shouldn't be assumed. What's more, I believe that the Turner Review was quite influential in the wake of the global financial crisis – particularly when one considers that many of its recommendations were adopted in Basel III.
Many of the mathematical scientists who are mentioned by Bernstein (Pascal, Laplace, De Moivre, Galton, Von Neumann) have been omitted in favor of Cardano, Gauss and Mandelbrot – because of their breakthroughs on the applicability of measurement in the domain of the risk, the normal distribution and the departures from the normal distribution, respectively. Injustice is inherent in these types of lists, but there are probably many other great thinkers who have contributed equally (at least) to financial risk management.
My list also reflects the belief that the codification of risk management in a regulatory framework is important.The Basel accords I, II and III are so different from each other that they each “deserve” a separate threshold. Some risk practitioners and academics might disagree with the choice to place these accords on the same influence level as the accomplishments of, say, Mandelbrot or Black and Scholes, but these codifications have had a huge impact on the day-to-day work of risk practitioners.
In Homer's Iliad, we read about the final year of the Trojan war, which supposedly took place in the 12th or 11th century B.C. In book 6, the Greek warrior Diomedes meets the Trojan warrior Glaucus on the battlefield and asks about his ancestry.
Glaucus tells Diomedes that his grandfather is Bellerophontes. Diomedes replies that his grandfather, Oeneus, knew Bellerophontes, and notes that they even exchanged friendship gifts. Oeneus gave Bellerophontes a belt, while Bellerophontes gifted Oeneus a gold cup with two handles.
After discovering their ancestral connection, Diomedes and Glaucus decided not to fight each other and agreed to avoid each other on the battlefield. (Diomedes, in fact, tells Glaucus, “There are many more Trojans for me to slay, and Greek soldiers for you.”)
Through an exchange of armor, Diomedes and Glaucus also reprise their grandfathers' gift-giving. Glaucus, however, was at a disadvantage in the exchange, because the god Zeus had taken away his wits. Consequently, Glaucus exchanged his gold armor for Diomedes' bronze. This was a very unequal exchange, because, as the omniscient narrator tells us, Diomedes's bronze armor was only valued at nine oxen, while Glaucus's gold armor was worth 100.
The Glaucus/Diomedes exchange is very much an IFRS 13 valuation avant la lettre. The cattle serve as the “unit of account” (numéraire). The valuation is calculated by measuring for how many oxen each object could be exchanged. The oxen, moreover, are also a store of value, thereby ticking off two of the three functions of money. (For the third function of money – the medium of exchange -- the cattle would be impractical. Indeed, several more centuries would need to pass before coin money was used in Greece in the 6th century BC.)
The fair value of the gold armor (100 currency units, or oxen in Homeric times) would have been attained only if the exchange would have happened (per IFRS 13) between knowledgeable and willing market participants. Since this clearly did not apply to the witless Glaucus, the conditions for a fair valuation did not apply and gold was exchanged for bronze – at a price well below its fair value.
Homer's story illustrates that an objective notion of value depends on the exchange between two knowledgeable and willing market participants and is measured in terms of a currency unit that serves as a numéraire. Necessarily, the value of this numéraire needs to be stable.
In modern days, a non-volatile, trustworthy currency is needed. In Homer's time, before the invention of fiduciary money, the stability of the numéraire related to the intrinsic value of cattle.
The currently dominant IFRS 13 fair-value framework share similarities with our first threshold: the definition of value in Homeric times.
Now a staple of IFRS 13, the idea of fair value depending on an exchange between market participants who are knowledgeable and willing was first broached in the story of Diomedes and Glaucus in Homer's Iliad. Homer's definition of value, moreover, eventually led to the creation of VaR – a key risk metric.
If there were a Mt. Rushmore of financial risk management, consideration would have to be given to both legendary thinkers from centuries ago (e.g., Homer and Cardano) and 20th century pioneers like Markowitz and Mandelbrot. Innovative thinking from brilliant minds sparked all of threshold events on our list – everything from probabilistic thinking to portfolio theory to VaR and the Basel accords. These defining moments shaped financial risk management into what it has become today.