从“伦敦鲸”事件看金融监管改革方向

from“London whale”Financial regulatory reform event see direction

　　郭宏宇

GuoHongYu

　　编者按：“伦敦鲸”事件引发了对监管规则与内控制度的讨论，并显示出金融监管机构所面临的难题，包括系统重要性机构的交易困境、衍生工具市场的自我扩张趋势和投资银行的投机冲动。针对这些问题，本文对“伦敦鲸”事件的分析表明，对大型金融机构的监管必须适度，衍生工具市场的垄断也需要被打破，更要加强对传统认为能够降低风险的风险对冲行为的监管。

Editor's note：“London whale”Events led to a regulatory rules and the discussion of the internal control system，And shows financial regulators challenges，The importance of institutions including system transaction difficulties、Derivatives market expansion trend of self and investment Banks of speculative impulse。To solve these problems，This paper“London whale”The analysis result of the event，For large financial institutions supervision must be moderate，The monopoly of the derivatives markets, need to be broken，To strengthen the more traditional thought to lower the risk of risk hedge behavior regulation。

　　金融市场上似乎总在重复某些“故事”，继巴林银行的尼克?里森，瑞银集团的奎库?阿杜伯利之后，“伦敦鲸”布鲁诺?米歇尔?伊克西尔横空出世，并导致素以稳健著称的摩根大通产生巨额亏损。2012年5月10日，摩根大通宣布在信贷衍生品交易中损失20亿美元。但问题不止于此，在宣布巨亏之前的4月份，摩根大通被控在雷曼兄弟公司破产案中涉嫌非法处置雷曼客户资金，并因此被罚款2000万美元。在之后的5月30日，摩根大通涉嫌有关日本板硝子供股计划（日本板硝子株式会社是一家日本玻璃制造商——编者注）的内幕交易，被日本金融监管部门调查。这些事件表明，即使对于有良好内控历史的金融机构而言，投机冲动也难以避免，尤其是在复杂的衍生工具市场上，金融机构多会不可避免地进行业务与风险的大幅扩张。

Financial market in a repeated always seemed to be certain“story”，After bahrain bank Nick?allison，The KuiKu ubs ag?Freddy adu "after the，“London whale”Bruno?michelle?The g d-will seals，As for a steady and lead to jpmorgan chase produce huge losses。May 10, 2012，Jpmorgan chase announced in credit derivatives trading loss of $2 billion。But the problem more than that，In announcing the kui before the April，Jpmorgan chase is accused of the lehman brothers bankruptcy suspected of illegally handling of lehman clients' money，And so was fined 20 million dollars。After in the May 30，Jpmorgan chase on Japanese suspected of nitrate GongGu board son plan（Japan's board is a Japanese corporation (son glass manufacturers--editor's note）Insider trading，By Japan's financial supervision department investigation。These events that，Even for a good history of internal control in financial institutions，Speculation is difficult to avoid impulse，Especially in complex derivatives market，Financial institutions will inevitably to carry on business and a significant expansion of risk。

　　“伦敦鲸”事件的三个关键词 “London whale”The event three key words

　　导致摩根大通发生巨额亏损的交易细节尚未披露，目前只知道被称为“伦敦鲸”的摩根大通交易员，在信用违约互换市场上进行巨量的交易，在导致部分信用违约互换市场价格持续扭曲的同时，给摩根大通带来巨额的风险敞口，其余所有的对于“伦敦鲸”事件的详细讨论仍止于猜测。但是，在对“伦敦鲸”事件的分析和争论中，三个关键词是被屡屡提及的，这也是“伦敦鲸”事件的核心冲突。

Lead to jpmorgan chase happened huge losses trade details has not been disclosed，Currently only know is called“London whale”Jpmorgan chase of traders，In the credit default swap market a huge amount of trading，In part to credit default swap market prices continued to distortion at the same time，Jpmorgan chase to bring huge risk exposures，For all the remaining“London whale”A detailed discussion of the event is still in a guess。but，In the“London whale”The analysis of the events and argument，Three key words are often mentioned，This is also“London whale”The core of the events conflicts。

　　沃尔克规则 Volcker rule

　　“伦敦鲸”事件使人们再次注意到金融机构的风险隔离问题。随着《1999年金融服务现代化法案》的通过，美国金融业正式返回混业经营时代。然而，次贷危机使人们看到高风险的衍生品交易带来的系统风险，并试图在金融监管制度上对金融机构的高风险业务进行隔离。作为这一思路的体现，沃尔克规则被提出。

“London whale”Events make people pay attention to again of financial institutions risk isolate the problem。as《The 1999 financial services modernization act》Through the，The United States financial industry official return mixes industry the management era。however，The subprime crisis make people see high-risk derivatives trading to bring the system risk，And he tried to financial regulatory system for financial institutions on high-risk business in isolation。As the embodiment of this approach，Volcker rule is put forward。

　　所谓沃尔克规则，指的是《多德-弗兰克法案》的第619条。这一条款规定：除非另有规定，否则银行业机构不能从事自营业务，不能获得或持有任何普通股、合伙或其他形式所有者权益，也不能发起对冲基金或私募基金，美联储监管下的非银行机构在从事以上业务时，也要有附加的资本要求和规模限制。这一规则试图将高风险的自营业务与低风险的传统业务隔离开来，却遭到绝大多数金融机构的反对。由于美国大多数金融机构都存在自营业务，并且自营业务已经成为重要的利润来源，所以沃尔克规则严重地影响了金融机构的盈利。在金融机构的游说下，沃尔克规则的执行被延期。2012年4月19日，美联储与期货交易委员会、联邦存款保险公司、金融管理局和证券交易管理委员会联合发布《沃尔克规则适应期通告》，宣布适用沃尔克规则的金融机构可以将完全达到该规则要求的时间延至2014年7月21日，并且很可能进一步延至2017年。

The so-called volcker rule，Refers to the《Chris dodd-frank bill》The article 619。This provision：Unless otherwise specified，Otherwise the banking institutions cannot be engaged in its business，Can't get or hold any common stock、Partnership or other forms the owner's equity，Also can't launch hedge funds or private equity funds，The fed non-bank institutions under the supervision of the above when engaged in business，Also want to have additional capital requirements and size restrictions。The rules of the high risk to its business and low risk of traditional business isolated，It was in the vast majority of financial institutions against。Because most American financial institutions are proprietary business there，And its business has become an important source of profits，So the volcker rule seriously influenced financial institutions earnings。In the lobbying by the financial institutions，Volcker rule execution is to be postponed。On April 19, 2012，The federal reserve and futures trading commission、The federal deposit insurance corporation、Financial administration and the securities and exchange commission jointly issued《Volcker rule suit period notices》，Volcker rule announced for financial institutions can fully meet the requirements of the rules will be extended to the time on July 21, 2014，And may well be further extended to 2017 years。

　　摩根大通的巨亏将沃尔克规则再次推至风口浪尖。“伦敦鲸”事件中的交易，已经不是金融衍生品交易导致金融机构的亏损问题，而是金融衍生品交易失控带来的市场操纵问题。这和我国的“327国债事件”颇为相似，都是空方近乎无限的交易头寸导致市场价格无法回归理论价值，进而导致整个市场的恶化。

Jp Morgan's giant kui will volcker rule again pushed to outlet wave。“London whale”Events of transaction，Has not the financial derivatives trading lead to losses of financial institutions，But financial derivatives trading market manipulation of the problems brought out of control。This and our“327 national debt events”Rather similar，All of the nearly infinite is empty party trade size lead to market price cannot return value theory，And then lead to the entire market deterioration。

　　对沃尔克规则的讨论仍然存在两极观点。支持者认为，正是摩根大通在信用风险衍生品上的巨额交易迫使摩根大通或其交易对手积累大量的头寸，从而给市场带来系统风险，如果严格执行沃尔克规则，则巨额交易得到限制，既不会严重地扭曲信用衍生品市场的运行，又不会带来交易双方的巨额损失。反对者认为，沃尔克规则缺乏可执行性，一方面，摩根大通的衍生品交易表现为对冲风险，而现有版本的沃尔克规则提出了一些自营交易禁令的豁免情形，如为客户做市、对冲客户交易的相关风险，并未完全禁止银行的对冲交易；另一方面，对于已经因银行业脱媒和金融危机而处境艰难的银行业金融机构，沃尔克规则会进一步限制其资产的流动性，使其在与其他公司竞争时处于劣势。目前，双方对沃尔克规则的争论仍然在持续。

Volcker rule to the discussion of the polar view still exists。Supporters think，Jpmorgan chase is the credit risk in derivatives of huge trading forced jpmorgan chase or its counterparty to accumulate a huge mass of positions，Thus to market with a system risk，If the strict implementation of the volcker rule，The huge trade for restrictions，Neither seriously distorted credit derivatives market operation，And will not bring trade both parties of huge losses。Opponents say，Volcker rule lack of enforceable，On the one hand，Jp Morgan's derivatives trading performance for hedge risk，While the existing version of the volcker rule puts forward some proprietary trading ban exemptions case，As for the customer、Hedge customer transaction related risks，Not a complete ban bank hedge transaction；On the other hand，For the banking industry to take off the media and the financial crisis and the difficult position of the banking financial institutions，Volcker rule will further restrict the liquidity of its assets，Make it with other companies a competitive disadvantage。At present，Both sides of the argument are still in volcker rule continued。

　　风险价值 Risk value

　　“伦敦鲸”事件也使得人们注意到金融机构的风险内控问题。作为摩根大通最重要的风险控制工具，风险价值（VaR）被屡屡提及。

“London whale”Events also make people pay attention to financial institutions risk internal control problem。As the most important jpmorgan chase the risk control tools，Risk value（var）Is often mentioned。

　　首先，要解答的是风险价值是否妨碍风险信息的披露。早在东南亚金融危机期间，风险价值无助于管理小概率巨额损失的问题便被广泛认知，并逐步以压力测试等风险分析工具进行补充。但是，“伦敦鲸”事件进一步表明，风险价值还会带来风险信息的有选择披露。压力测试等风险分析工具可以作为风险价值的补充，但这些工具不能像风险价值那样逐日计算并容易分解，从而为金融机构的风险信息披露提供了一个可选择的“空白区”，使得金融企业的管理者可以将潜在的小概率巨额损失隐瞒在一定时期之内，给内幕交易提供了空间。为此，美国司法部、联邦调查局和证券交易管理委员会对摩根大通的高管进行调查，以明确他们是否对交易的真正风险进行了隐瞒。

first，To answer is whether the risk value block the disclosure of the information risk。As early as in southeast Asia during the financial crisis，Risk value cannot help management small probability of huge loss problems will be widespread cognition，And gradually with pressure test risk analysis tools for added。but，“London whale”Events that further，Risk value will also bring risk information disclosure of have a choice。Pressure testing of risk analysis tool can be used as a risk value added，But these tools can not like risk value that mark and easy decomposition，Thus for financial institutions risk information disclosure provides an alternative“Blank area”，Make the financial managers can will potential small probability huge losses in within certain period to hide，Provide space for insider trading。For this，The U.S. justice department、The fbi and the securities and exchange commission to jp Morgan's executives in the investigation，In order to make clear whether they of the transactions, the real risk conceal。

　　其次，风险价值的计算模型也存在争论。计算风险价值需要确定金融产品价值在未来特定时段内的分布特征，在原始的风险价值模型中，金融产品价值服从正态分布或对数正态分布，但是，历史数据显示实际的金融产品价值分布具有比正态分布更高的峰值与更厚的尾部，即所谓的“尖峰胖尾”特征。为更接近于真实的风险价值，风险价值的计算可以采用历史模拟法、蒙特卡罗模拟法、压力测试法和分形分布法等。考虑到风险价值忽视了超过置信区间的风险，在风险价值的基础上提出条件风险价值（CVaR），即超出VaR的损失的平均值。风险价值的各种计算方法与衍生的风险指标各具有优缺点，这就引发人们对损失是否产生于错误模型的讨论。在公布2012年一季度VaR时，摩根大通改变了计算首席投资办公室（CIO）风险价值的方法，但并没有改变投资银行部门的计算模型，这就使得CIO面临的风险在模型改变前后有了不同的评估，模型中价格确认方法不同也被认为是摩根大通巨亏的主要原因，美国证券交易委员会也在审查摩根大通披露的这些变动的准确性和时机。

second，Risk value also dispute about the calculation model。Calculated risk value need to make sure that the financial product value in the future in the specific time distribution characteristics，In the original risk value model，Financial products value is normal distribution or logarithm normal distribution，but，Historical data show the actual financial product value distribution is better than the normal distribution higher peak and more thick tail，called“Peak fat tail”characteristics。For more close to the real risk value，The calculation of risk value can use history simulation method、Monte carlo simulation method、Pressure test method and the fractal distribution method, etc。Considering the risk value ignored more than the risk of a confidence interval，In risk value are put forward based on conditions risk value（Cvar），That is the average of the loss of the var beyond。Risk value of all kinds of calculation methods and derivative risk index have different strengths and weaknesses，This will cause people to the loss of whether to produce in the wrong model discussion。Released in 2012, when the first quarter var，Jpmorgan chase changed computing chief investment office（CIO）The method of risk value，But did not change the calculation model of the investment banking division，This makes the risks of CIO in model before and after change have different assessment，Model validation method different price is also believed to be the giant jpmorgan chase is the main reason for the deficit，The securities and exchange commission is also examining the disclosure of jpmorgan chase the accuracy of these changes and time。

　　对赌 spread-betting

　　“伦敦鲸”事件引起人们对驻伦敦首席投资办公室是“对冲”风险还是“对赌”风险质疑，即金融机构的风险控制部门是否真正起到控制风险的作用。这一质疑和沃尔克规则、风险价值都有着密切联系。

“London whale”In the event that caused people in London office is chief investment“hedge”Risk or“spread-betting”Risk questioned，That is the financial institutions risk control department is not really play the role of risk control。The question and the volcker rule、Risk value are closely linked。

　　按照摩根大通的公开描述，CIO为分散整个公司风险的独立机构。2011年年报显示，作为独立部门，CIO和资金管理部负责测量、监督、报告并管理公司的流动性风险、利率风险、外汇风险与其他的结构性风险。在巨亏披露之后，摩根大通官方网站进一步明确CIO是摩根大通长期资产负债管理的重要组成部分，其职能有两项：一是以存款投资，为存款人获得回报；二是抵消贷款中的利率风险与违约风险。基于上述职能，其持有的头寸应该是“在良好的市场环境下，获得少量收益，但如果发生像雷曼兄弟公司破产、欧债危机这样的灾难时，该组合将获得大量收益以大幅减少该行面临的风险”。按照这些描述，CIO的交易目标应该是对冲风险。然而，CIO实际进行的交易更接近于对赌性质的自营交易。在巨额亏损披露之前，摩根大通与对冲基金已经在信用违约互换市场上投入上千亿美元的头寸，来对赌CDS（信用违约掉期）指数期限曲线形状的变化。

According to jpmorgan chase's public description，For the whole company scattered CIO the risk of independent agencies。Annual report 2011 shows，As an independent department，Cios and capital management department responsible for measurement、supervision、Report and management company's liquidity risk、Interest rate risk、Foreign exchange risk and other structural risk。In a deficit after the disclosure，Jpmorgan chase's official website further define the CIO is jpmorgan chase long-term assets and liabilities management is an important part of，Its function has two：One is the deposit investment，As a reward for depositors；2 it is offset by the interest rate risk and loan default risk。Based on the above functions，Hold the position should be“In the good market environment，Obtain the few income，But if happen like lehman brothers bankruptcy、The debt crisis such disasters，The combination will obtain a lot earnings to sharply reduce the risks of the bank”。According to the description，CIO trading goals should be hedge risk。however，CIO actual transaction is more close to the nature of the proprietary trading spread。In the huge losses before the disclosure，Jpmorgan chase and hedge funds have in the credit default swap market into hundreds of billions of dollars more positions，CDS spread to（Credit default swaps）Index curve shape variation period。

　　市场上的巨额“赌注”使人们质疑CIO在摩根大通的实际角色，包括认为摩根大通偏好CIO较低成本的猜测。最有力的证据来自摩根大通披露的风险价值。2011年的年报包括投资银行部门与CIO的风险价值。其中，CIO的风险价值涵盖了为分散风险而持有的债券和信贷违约产品头寸。通过对CIO和投行业务比较可以发现（如表1），相对于投资银行业务而言，CIO的风险价值很高，并且其分散风险的作用远小于投资银行业务。

The huge market“bets”Make people questioned CIO in jp Morgan's actual role，That includes jpmorgan chase preference CIO lower cost guess。The most powerful evidence from jpmorgan chase disclosure of risk value。2011 annual report including investment banking division and CIO risk value。Among them，CIO risk value covers for spread risk and hold bonds and credit default product positions。Through the comparison of cios and investment banking operations can be found（Such as table 1），Relative to the investment Banks for business，The risk of CIO value high，And its spread risk is far less than the role of investment banking business。

　　金融监管部门遭遇难题 Financial regulators encounter problems

　　对“伦敦鲸”事件导致的摩根大通巨亏，处境最尴尬的莫过于金融监管部门。相对其资产规模与盈利水平，摩根大通所公布的20亿美元损失在可承受的范围之内。但是，监管部门不得不考虑这一事件是否导致整个金融市场系统风险大幅增加，并不得不分析已有金融监管体系面临着哪些监管难题。

to“London whale”Events which of jpmorgan chase huge losses，The most embarrassing situation of financial supervision department way。Relative to its assets scale and the profit level，Jpmorgan chase the published $2 billion loss in May withstand the range。but，Regulators have to consider this event is leading to the whole financial market system risk greatly increased，And had to have financial regulatory system analysis facing what regulatory problems。

　　系统重要性金融机构的交易困境 The importance of the trading system financial institutions dilemma

　　次贷危机引起人们对系统重要性金融机构的重视，并以强化监管为改革方向。但是，“伦敦鲸”事件显示出系统重要性金融机构的交易并非完全自由，相反，正是因为具有系统重要性地位，才使其不得不接受更高风险的金融交易。

The subprime crisis attracted people to the importance of financial institutions to the attention of the system，And to strengthen supervision for the reform direction。but，“London whale”Event shows that the system of financial institutions importance deal was not completely free，instead，It is for systemically important position，Which makes it have to accept a higher risk of financial transaction。

　　在对“伦敦鲸”交易及其影响的分析中，图1被广泛引用。与Markit CDX.NA.IG（北美投资级评级企业CDS指数）其余系列的走势不同，Markit CDX.NA.IG.9的净名义价值不但未在新序列出现之前下跌，反而一路上升，并带动整个Markit CDX.NA.IG净名义价值的上升。这一走势的偏离被解释为“伦敦鲸”巨额交易的结果，并作为摩根大通操纵市场的证据。

In the“London whale”Trade and its impact analysis，Figure 1 widely quoted。And Markit CDX. NA. The IG（North American investment grade rating enterprise CDS index）The rest of the series different movements，Markit CDX. NA. The IG. 9 of net notional value in the new series appear not only is not fell before，Instead to rise all the way，And drive the Markit CDX. NA. Net name the rise of IG value。The trend is defined as the deviation from the“London whale”Huge trading results，And as jpmorgan chase evidence of market manipulation。

　　但是，“伦敦鲸”的巨额交易可能正是摩根大通具有系统重要性的结果。系统重要性金融机构的交易方向变化会导致市场价格的大幅波动。由于多方或空方头寸高度集中，并且对市场变化趋势的看法并非始终相反，因此，当系统重要性金融机构改变对市场走势的看法时，在市场上很难找到具有足够交易量的交易对手。在做市商报价驱动的市场机制下，系统重要性金融机构的交易量被做市商全部接受。为避免风险，做市商只能大幅改变买入和卖出报价，使得市场出现套利机会，吸引交易对手进入，以对冲掉多余的多方或空方头寸。如果价格回归至理论价值，则系统重要性金融机构将因其巨大的交易量而产生巨大的亏损。为避免亏损的出现，系统重要性金融机构只能凭借其市场影响力继续按原方向交易，继续扭曲市场价格，等待交易对手平仓。其结果是多方或空方头寸进一步向系统重要性机构集中，潜在损失进一步增加。根据美联储公布的数据，2012年一季度摩根大通卖出了974亿美元的信用违约掉期保护，持有的信用违约掉期合约达到6.05万亿美元，居美国六大控股银行之首。而此次“伦敦鲸”事件中摩根大通的巨额头寸，正是因避免损失而不断增持的。

but，“London whale”The huge trading may be exactly what jpmorgan chase systemically important results。The system of financial institutions in the direction of the trade importance change will lead in the market price fluctuations。Because many or empty party positions on high，And the changing trend of market opinion is not always the opposite，so，When the system is importance of financial institutions to change views on market movements，It is difficult to find in the market has enough volume trading rivals。The driver in the market pricing mechanism，The system of financial institutions were trading volume importance market maker all accept。In order to avoid the risk，A market maker can only change of buying and selling the offer，That makes the market appear arbitrage opportunities，Attract counterparty to enter，To develop redundant many or empty party positions。If the price is a return to value theory，Then system importance financial institutions will for its huge volume and produce the huge losses。To avoid the appearance of losses，System financial institutions can only with its importance influence in the market to continue trading direction，Continue to distort the market price，Waiting for the counterparty liquidated。The result is more or empty party positions to system importance on further institutions，To further increase the potential losses。According to data released by the federal reserve，2012 quarter jpmorgan chase sold $97.4 billion in credit default swaps protection，Hold the credit default swap contracts, to $6.05 trillion，In the United States is the head of the six holding bank。And the“London whale”In the event of jpmorgan chase huge positions，It is because of the constantly increasing and avoid the loss。

　　最值得监管机构重视的是，摩根大通并非系统重要性银行中风险最大的一家。其他投资银行所面临的风险尚高于摩根大通（如表2）。“伦敦鲸”事件加剧了市场对这些系统重要性金融机构的担忧，穆迪表示，美国银行评级可能被下调一档，花旗、高盛、摩根大通评级可能被下调两档，而摩根士丹利评级可能被下调三档。

The most worth attention with the regulators，Jpmorgan chase is not system in the biggest bank risk importance a。Other investment Banks were facing is higher than the risk of jpmorgan chase（Such as table 2）。“London whale”Events prompting system to the importance of financial institutions concerns，Moody's said，Bank of America rating may be cut a，citigroup、Goldman sachs、Jpmorgan chase rating may be cut two gears，And Morgan Stanley rating may be cut three gears。

　　衍生工具市场的自我扩张趋势 Derivatives market expansion trend of the self

　　由于风险再次从信用风险衍生工具中爆发，“伦敦鲸”事件也引起信用风险衍生市场是否健全的担忧。但是，无论信用风险衍生市场是否完善，目前都已经形成了巨大的规模，将其关闭自然极不现实，即使只对其进行制约，对于金融机构和整个金融市场也会造成相当大的冲击。信用风险衍生市场的规模扩张有多方面的原因，此次“伦敦鲸”事件则凸显了衍生工具市场的自我扩张趋势。

Because the risks are once again from credit risk in derivatives outbreak，“London whale”Event will also cause the credit risk derivative market concerns about whether the sound。but，Whether credit derivative market risk is perfect，At present have formed the huge scale，Will its close natural unrealistic，Even if the only restriction，For financial institutions and the entire financial markets may also cause considerable impact。Credit risks of the scale expansion of derivative market for many reasons，the“London whale”The incident highlights the derivatives market expansion trend of the self。

　　按照摩根大通的披露，“伦敦鲸”的交易为大规模的Flattener策略。这是一种特殊的收益曲线套利方式，其具体做法是在收益率曲线两端进行相反的交易，通过同时持有相反头寸来对冲收益曲线小幅平移的风险。由于绝大多数的收益曲线波动表现为平行移动，所以这一交易方法可以对冲掉绝大多数的收益曲线风险。但是，如果收益曲线形状发生变化，则这一交易方法下的远端头寸和近端头寸便会产生不一致的变动，从而带来额外收益或损失。“伦敦鲸”的交易买入大量的CDX（投资级公司债）指数短期合约，并通过卖出CDX指数长期合约进行对冲，这实际上是下注CDS指数期限曲线将会变得平坦。虽然套利组合承担了风险，但从形式上来看，Flattener策略所暴露的风险恰好和摩根大通持有的投资级债券违约风险形成对冲，由于CIO管理的是“像雷曼兄弟破产、欧债危机这样的灾难”，这种灾难性事件造成的是CDS指数期限曲线的平坦，所以合适的规模会使得收益曲线套利的损益和投资级债券的损益相互抵消。

According to jpmorgan chase's disclosure，“London whale”Trading for the scale of the Flattener strategy。This is a special kind of the yield curve arbitrage way，The particular way is in either the yield curve contrary to trade，Through the also hold opposite positions to hedge the yield curve of the translation of the small risk。Because most of the yield curve action appears to be moving parallel，So the deal to develop the vast majority method can yield curve risk。but，If the yield curve shape change，Is this a transaction of the distal positions method and proximal positions will produce not consistent changes，Thus to bring extra income or losses。“London whale”Buy a lot of CDX deal（Investment grade corporate bonds）Index short-term contract，And by selling CDX index long-term contract hedge，This is actually bet on CDS index deadline curve will become flat。Although arbitrage portfolio to assume the risk，But from the form and see，The Flattener strategy exposure to risk and jpmorgan chase just held investment grade bonds default risk form hedge，Because of the management of the CIO is“Like the lehman brothers bankruptcy、The debt crisis such disasters”，This catastrophic incident caused CDS index curve of the time limit is flat，So the right scale will make the yield curve of arbitrage profit and loss and investment grade bonds the profits and losses of the offset each other。

　　从交易成本和交易工具的流动性来看，利用收益曲线套利的风险与投资级债券违约风险对冲，优于直接购买CDX指数短期合约或类似交易，而且可以避免CDX指数大幅频繁波动的风险。但是这一交易意味着更大的交易规模，使得信用风险衍生工具市场进一步扩张。

From the transaction cost and transaction tools liquidity and see，Use of the yield curve of arbitrage risk and investment grade bonds default risk hedge，Better than directly buy short-term contracts or similar CDX index trading，And can avoid a CDX index fluctuate frequently risk。But the deal means more trade size，Make credit risk derivatives markets further expansion。

　　对冲基础上的再对冲会进一步扩大衍生工具市场的规模。尽管“伦敦鲸”的交易细节尚未正式披露，但可以推断交易不局限在CDX指数合约之内，同时具备高流动性和低交易成本特点的CDX指数合约有限，多高的交易量会导致CDX指数的非正常波动，吸引大量的对冲基金进行收敛交易，这些交易并不对应投资级债券的违约，所以不与会投资级债券的违约风险相对冲，这就需要有相应的合约来对冲CDX指数非正常波动的风险。总体来看，为了对冲风险而构造庞大的衍生工具头寸组合，而庞大的衍生工具头寸组合所蕴含的新风险又需要进一步对冲，从而需要更加庞大的衍生工具头寸组合，这就构成了衍生工具交易规模的自我扩张机制。

On the basis of hedge again will further expand the derivatives to hedge the size of the market。although“London whale”Details of the transaction has not been disclosed，But can infer that trade is not limited in the CDX index within the contract，Also with high liquidity and low transaction costs of the characteristics of the contract CDX index is limited，The high volume will lead to abnormal fluctuations of CDX index，Attract large hedge funds for convergence deal，The deal is not corresponding investment grade bonds breach，So not to attend investment grade bonds default risk relative blunt，This has to be the corresponding contracts to hedge CDX abnormal fluctuations in the index。overall，In order to hedge risk and tectonic huge derivatives positions combination，And the huge derivatives positions with the combination of new risk and the need to further hedge，Thus need more large derivatives positions combination，This constitutes the derivatives trading scale self expansion mechanism。

　　投资银行的投机冲动难以遏制 Investment Banks to curb speculative impulse

　　“伦敦鲸”事件再一次引起人们对明星交易员的质疑。在经历多次违规交易之后，投资银行似乎仍然给予某些交易员以过高的信任，促使其进行更高风险的交易。显然，不能简单地用内控机制缺乏和外部监管不足来解释，只能认为投资银行存在本能的投机冲动。

“London whale”Event again raised the question of star traders people。In the experience many illegal trading after it，Investment Banks still seems to give some traders to high trust，The higher the risk to trade。obviously，Not simple to use internal control mechanism and external supervision of insufficient to explain，Can only think that investment Banks exist the instinct of speculative impulse。

　　投资银行的投机冲动源于对人力资本的依赖。在投资银行中，最有价值的无形资产是人。虽然随着投资银行资本要求的不断提高，投资银行越来越不依赖只能从工作中获得的、难以观察且难以言传身教的、基于经验的专业技能。但是，人力资本的地位仍难以被取代，成功的投资银行一般都致力于构造自己独特的业务组合，即“技术高于资本”。其外在表现，是投行费用中最大的一部分是薪水和奖金。

Investment Banks of speculation is originated from the impulse of dependence on human capital。In the investment bank，The most valuable intangible assets is people。Although with investment bank capital requirements rising，Investment Banks more and not rely on can only get work from、Difficult to observe and hard to verbal instrution、Based on the experience of professional skills。but，The importance of human capital is still difficult to replace，Successful investment Banks usually devoted to their own unique structure of the portfolio，namely“Technology higher than the capital”。The external performance，Is the biggest part of investment Banks cost is salary and bonuses。

　　对于人力资本的依赖要求对人力资本的价值进行衡量，以控制成本并建立有效的激励机制。但是，投资银行的人力资本属于缄默人力资本。所谓缄默人力资本，指完成复杂交易或不公开信息的交易所必需的技能，这些技能无法被轻易掌握，并且技能一旦被掌握，也无法被轻易地程序化或被广泛地传播。缄默人力资本的这些特点使得人们无法对其建立有效的衡量指标，只能通过交易绩效来进行间接推断。其结果，是风险报酬会被视为人力资本的价值，并反映在较高的薪酬中。可以说，正是缄默人力资本的存在，使得投资银行的管理部门只能通过纵容交易人员的交易活动来发现其人力资本价值，也使得交易人员存在难以遏抑的投机冲动。

For human capital requirements of the dependent on the value of human capital are measured，To control the cost and establishing an effective incentive mechanism。but，The investment bank's human capital belongs to silence human capital。The so-called silent human capital，Refers to perform complex transaction or not public information exchange necessary skills，These skills can't be easily master，And skills once is mastered，Also cannot be easily programmed or is widely spread。Silence of human capital of these characteristics make people can't on the establishment of effective measures，Only through trade performance for indirect inference。The results，Is the risk/reward is regarded as the value of human capital，And to reflect the higher pay in。Can say，It is silence the existence of human capital，Make the investment bank management department can only through the indulgent of traders trading activities to find the value of human capital，Also make existing personnel to the trade EYi speculative impulse。

　　对金融监管的改革方向的影响 Financial regulatory reform to the influence of the direction

　　“伦敦鲸”事件暴露了大型金融机构和衍生工具市场的问题，也影响着美国金融监管的改革方向。

“London whale”Revealed the large financial institutions and derivatives markets，Also affects the U.S. financial regulatory reform direction。

　　对大型金融机构的监管必须适度 For large financial institutions supervision must be moderate

　　之前的沃尔克规则延期似乎表明金融监管部门避免过度严厉的监管，此次“伦敦鲸”事件则又引发加强监管的呼声。但是，如果想有效控制金融体系的风险，简单地加强监管是不够的，此次“伦敦鲸”事件恰恰表明对大型金融机构的监管必须适度。

The volcker rule before delay to show the supervisory authorities to avoid excessive strict supervision，the“London whale”Events are also strengthen the supervision by the protesters。but，If want to effectively control the risk of the financial system，Simple to strengthen supervision is not enough，the“London whale”Events on the show to large financial institutions supervision must be moderate。

　　在当前的“巴塞尔协议Ⅲ”监管体系下，监管机构对系统重要性金融机构进行比一般金融机构更严格的监管，包括额外的资本充足率要求。这些监管要求使得大型金融机构在传统业务上缺乏与中小型金融机构的竞争优势，只能寻求业务上的创新。在对“伦敦鲸”事件的质疑中，讨论较多的是摩根大通利用CIO进行自营业务，将风险控制部门改造为利润中心，由此引发对沃克尔规则的呼吁。但可以想见，如果对大型金融机构的监管进一步加强，那么大型金融机构只能在未受管制的业务中寻求利润增长点。只要各类金融服务的监管存在差异，且大型金融企业的业务范围仍然广阔，这种监管套利行为就会一直存在。监管套利带来的创新业务总是高风险且缺乏监管，这会进一步增加整体金融体系的系统风险。因此，对大型金融机构的监管必须适度，以避免大型金融机构为规避金融监管而进行更大规模的金融创新，从而降低金融体系的系统性风险。

In the current“Basel agreement Ⅲ”Supervision system，Regulators on system importance than the general financial institutions more strict supervision of financial institutions，Including the extra capital adequacy requirements。These regulatory requirements makes large financial institutions in the traditional business and lack of middle and small financial institutions competitive advantage，Can only seek business innovation。In the“London whale”The events in question，Discuss more is using CIO for jpmorgan chase proprietary business，Will the risk control department transform for profit center，The resulting walker rules to appeal。But can see，If the large financial institutions to further strengthen the supervision，So large financial institutions can only in unregulated business for profit。As long as all kinds of financial services regulatory differences，And large financial enterprise scope of business still is wide，This kind of regulatory arbitrage will always exist。Regulatory arbitrage bring innovation business always high risk and lack of supervision，This will further increase the overall financial system system risk。so，For large financial institutions supervision must be moderate，To avoid large financial institutions for avoiding financial supervision and for a larger financial innovation，So as to reduce the financial system of the systemic risk。

　　对我国而言，监管适度性的问题同样重要，我国的银行业、证券业和保险业均呈现高度垄断，其中的大型金融机构具有高度的系统重要性。而随着金融混业的发展，大型金融机构基本上已经通过控股公司、设立分支机构等方式进行混业经营。理财市场的发展更是表明我国的金融机构已经在进行积极的金融创新。目前，我国监管法规对于系统重要性银行已经做出比“巴塞尔协议Ⅲ”更严格的要求，如果不能在下一步的监管改革中将对大型金融机构的监管控制在适当范围，那么由此引发的大规模金融创新可能反而给我国金融体系带来更大的风险。

To our country in，Regulatory suitability of the problems are equally important，China's banking、Securities and insurance are significantly highly monopoly，One of the large financial institutions have a high degree of importance system。But along with the development of the financial mixture industry，Large financial institutions basically already through the holding company、Set up the branches and way mixes industry the management。Financial market development is also show that China's financial institutions are already in the positive financial innovation。At present，Supervision system in our country has made the importance for bank than“Basel agreement Ⅲ”The more strict requirements，If not in the next step of regulatory reforms to large financial institutions will be the regulatory control in scope，So caused by the massive financial innovation may instead to China's financial system to bring about greater risk。

　　衍生工具市场的垄断需要逐步打破 Derivatives market monopoly should gradually broken

　　从“伦敦鲸”事件可以看出金融衍生市场的高风险性。这种高风险性最终可以归于衍生工具市场的垄断。如前所述，少数金融机构占有衍生市场的较多头寸，这种垄断地位使得这些金融机构有能力操纵市场，缺少交易对手又使其更倾向操纵市场。对市场的操纵不仅体现为市场价格的扭曲，还体现为市场规模的扭曲。有利于大型金融机构的部分衍生工具市场大幅发展，暂时不需要的衍生工具市场则相对萎缩，从“伦敦鲸”事件来看，Markit CDX.NA.IG的不同系列产生较大的交易量差异，这些差异由摩根大通的巨额交易引起，并进一步导致少数CDX市场的扭曲扩展到整个CDX市场。因此，下一步的金融监管必须着眼于打破衍生工具市场的垄断局面，以降低系统风险。

from“London whale”Events can see high risk of financial derivatives markets。This kind of high risk finally can be attributed to the monopoly of the derivatives markets。As mentioned，A few financial institutions have derivative market more positions，The monopoly position makes these financial institutions have the ability to manipulate the market，Lack of trade and make it more likely opponent market manipulation。To market manipulation is reflected not only for the market price distortion，Also embodied in the distortion of the size of the market。Large financial institutions to part of the derivatives market development greatly，Temporarily do not need of derivatives market is shrinking，from“London whale”Events to see，Markit CDX. NA. The IG different series produce larger volume difference，These differences by jp Morgan's huge trade is caused，And further led to a few CDX market distortions of spreading throughout the CDX market。so，The next step of the regulation of the financial derivatives market to try to break the monopoly of the situation，In order to reduce risk system。

　　相比美国，我国对衍生工具市场的监管处于比较有利的局面。整个美国金融衍生品市场的交易头寸高度集中，截至2011年末，美国前五大银行占据了衍生品市场超过94%的市场份额。降低这些银行的垄断能力要求引入更大规模的交易对手，或是逐步消化庞大的衍生工具头寸，这都是相当困难的。反观我国，由于衍生工具市场刚处于起步阶段，只要适当限制大型金融机构的衍生金融工具交易，便可以使其不在衍生市场中占有过高的垄断地位，从而避免衍生市场垄断引发的系统风险。

Than America，Our country to derivatives market supervision in a more favorable situation。The whole American financial derivatives market trade size of high concentration，At the end of 2011，The United States the top five Banks occupy the derivatives market more than 94% share of the market。Reduce these bank of monopoly ability request more large-scale trading introduced opponent，Or digestive large derivatives gradually positions，This is all very difficult。In our country，Due to the derivatives market just at the beginning，As long as the proper limits large financial institutions of financial derivatives trading，He can make it not derivative market has the monopoly position in too high，To avoid derivative market monopoly caused by the system risk。

　　衍生市场的风险对冲需要强化监管 Derivative market risk hedge need to strengthen supervision

　　长期以来，利用衍生工具进行的风险对冲被认为可以降低金融机构的金融风险。但从“伦敦鲸”事件可以看出，金融机构对衍生市场不会局限在风险对冲，而是会利用各种对冲组合主动承担风险，以获得超额收益。在对冲风险时承担更多风险的行为看似是悖论，却是由投资银行的投机冲动和市场上不存在完美风险对冲组合所决定的。这就促使监管机构对于金融机构的风险对冲行为不能采取放任态度，而是要采取和自营交易相似的监管强度，而这恰是现有沃克尔规则所欠缺的。

long，Use derivatives to hedge risk is thought to be able to reduce financial risk financial institutions。But from“London whale”Events can see，Financial institutions to not be confined to the derivative market in risk hedge，But will use all sorts of hedge combination undertake the risk，To earn extra income。In the hedge risk taking more risk behavior is seemingly paradox，It is by investment Banks of speculative impulse and the market does not exist perfect risk hedge combination of the decision。This has prompted regulators for financial institutions can't take the risk hedge behavior indulge attitude，But to take and proprietary trading similar supervision strength，And this just is the existing walker rules lacking。

　　对我国而言，尤其有必要强化对金融工具风险对冲行为的监管。在争辩是否应当建立衍生工具市场时，对冲风险是重要支持理由。但是，我国金融市场处于起步阶段，市场上的套利机会远多于发展国家的金融市场，这就使得利用对冲交易来寻求获利机会的可能增加。从建立并又叫停的国债期货市场来看，我国的衍生工具市场也不会局限于风险对冲，这就要求对金融机构的风险对冲行为进行更严格的监管。

To our country in，Especially it is necessary to strengthen financial tools to hedge risk behavior regulation。Debate whether shall establish a derivatives market，Hedge risk is an important reason for support。but，China's financial market in the initial stage，The market arbitrage is far more than the developing countries of financial markets，This makes use of hedge transaction to seek profit opportunities may increase。Set up and stop again from the Treasury futures market and see，China's derivatives markets also won't be limited to hedge risk，This request to the financial organ risk hedge behavior more stringent regulation。

　　(作者单位：外交学院国际经济学院)

(The author unit：The foreign affairs college international school of economics)