当前的金融危机与数年前的安然事件相当类似，是安然危机的一场大规模重演

　　所有的市场繁荣都是相似的，所有的泡沫破裂却各有不同。上升的资产价格是每次繁荣的核心，在那个时候，钱就像长在树上一样唾手可得。但每次繁荣过后，都伴随着金融危机。
 
　　2001年，投资于电信和其他it公司股票的2万亿美元灰飞烟灭。1998年，过剩的生产能力破坏了亚洲经济体的出口盈利能力。随后，这些国家的债权人希望将资金抽回，从而引发了由货币环节传导至银行的金融危机。再往前，日本房地产市场崩溃，背负了大量坏账的银行停止贷款，日本经济步入长达十年的衰退。

　　这样的例子不胜枚举。金融危机的根源在于市场繁荣时资产被过高估价。当然，资产定价过高，也可能源于货币追逐处于上升趋势中的资产。当资产价格出现反转时，资产价值烟消云散；但是，谁的资金出现损失都有可能，这正是每次金融危机各有不同的原因所在。

体制之弊

　　在上一场危机中，安然公司（enron）是一个独特的例子。20世纪80年代，安然公司还是美国休斯敦一家乏善可陈的天然气供应商；90年代，凭借在期货市场的交易，它开始崭露头角。

　　作为天然气供应商，安然应该通过购买期货产品，将其与客户签订的合同进行套期保值，对冲风险。能源供应商通常都通过华尔街操作，而安然偏离了这一惯用模式，自1989年起开始自营交易，并发现该项业务非常有利可图。事实上，安然操作的是银行业务，承担的风险与银行相似，却不必遵守银行的监管法规。依据国际清算银行的规定，一家银行必须满足8％的资本充足率要求，对于哪些业务可以涉足、哪些属于禁区的规定，都必须严格遵守。安然ceo肯尼斯·雷（kenneth lay）从中看出，大宗商品交易业务利润远远高于天然气业务。1990年，他邀请麦肯锡合伙人之一的杰弗里·斯基林（jeffery skilling）加盟安然，将公司业务转向商品交易，成功地向对冲基金转型。

　　华尔街的著名交易员为公司挣得数以亿计的美元，并将其中的数千万美元装入自己腰包，这样的故事想必大家耳熟能详。成功交易员的头上都有一个光环。他们是华尔街薪水最高的人，远远高于他们的ceo。在过去三年，他们离开了华尔街的公司，开始组建自己的对冲基金。交易员的明星光环使得他们能给锁定期为三年的基金筹集数十亿美元。而通过收取2％的管理费，他们不费吹灰之力就能挣到大把美元。

　　是否明星交易员都拥有如乔丹和伍兹那样的特殊天赋，而理应轻松享有这样一大笔财富呢？不幸的是，我一位也没有遇到。一位普通交易员的成功，在于出售能对冲波动性的衍生品，而明星交易员的成功归因于“好运气”。当然，交易员们会认为我的看法只不过是 “酸葡萄”心理，但我可以作出合理的解释。

　　交易员在谈及蝶式交易、跨式期权、伽玛对冲等交易策略时添油加醋，为其蒙上传奇色彩。其实，所有这些交易策略都可以归因于一样东西：降低波动性。

　　风险是生活中的一种负面因素。事实上，每个月稳定地挣到100美元，强于在一年中的某个月挣到1200美元，而其他时间一无所获。经济学家将这称为人类天性中的风险厌恶。风险厌恶是保险业诞生的基础。举个例子，如果每个人在一年中被汽车撞到的概率是百万分之一，如果某保险公司有100万人投保，那么该公司大约会有一个客户提出索赔。假定赔偿金为100万美元，而由于人们都是风险厌恶者，他们愿意支付高于1美元的价格来购买这项保险，那么保险公司就可以从差额中获利。

　　股票市场每日有涨有跌，你也可以购买某种“保险”来锁定风险。一个极端的例子是持有现金，另一个极端则是像大多数人那样，持有股票而不做任何风险对冲。介于两者之间的是，你可以选择在市场中持有一定量的敞口头寸，例如，敞口头寸不超过总资金的10％。

　　华尔街的交易员在出售可以规避风险的产品时，大部分都能获利。当然，他们经常赔钱，也经常挣钱，但平均来说是赚钱的。类似于真正的保险公司，华尔街的公司需要资金以便留在这个市场中。公司会给每位交易员提供一定的风险准备金，后者通过最大限度优化这笔资金的使用，来向市场提供不同的金融产品。类似于其他商品，金融产品的价格也会被高估或低估。对每一个交易员来说，基本技巧是不要犯将被低估的产品出售掉这样的愚蠢错误。布莱克－肖尔斯（black－ scholes）公式是衍生品的基本定价工具，该公式从基础资产的价格推算衍生品价格，就好比从猪肉价格推算香肠价格。

　　事实上，布莱克－肖尔斯公式是金融市场最被滥用的一个工具。当一个香肠制造商基于猪肉成本对香肠定价时，香肠价格并不会反作用于猪肉价格。而在金融市场上，当过多的交易员出售具有高波动性的产品时，风险会暂时降低。随着越来越多的交易员获得保障，他们对信息的变化就不会像早前那样敏感。因此，市场的波动性就会减少。这个公式告诉我们，用来对冲风险的衍生品的价格应该降低，这可以使交易变得更为有利可图，这样更多的交易员就会青睐于出售或是减持高风险产品，从而进一步降低市场的波动性。然而，交易员从流动性供给的角度抑制风险，是一种人为行为。当一个突发事件引发交易员们纷纷回购高风险产品时，市场就会掀起轩然大波。1987年的股灾很可能就是这样引发的。

　　部分交易员反其道而行之，对市场中的突破趋势进行猜测。最出名的莫过于索罗斯猜测英镑将退出欧洲货币联盟，从而成功狙击英镑的例子。当时，英国经济日益衰退，国际收支出现逆差，而欧洲货币联盟实行的是固定汇率制。当一个国家出现国际收支逆差时，其固定汇率制将是不可持续的，要么提高利率以抑制国内需求，要么贬值本币促进出口。索罗斯推测英国政府将采用后者。1992年9月16日，英国被迫宣布退出欧洲货币联盟。索罗斯的基金成为这场袭击英镑行动中最大的赢家，当日获利高达100亿美元。1998年亚洲金融危机时，许多对冲基金也进行了同样的赌博，他们在泰国和韩国获胜，却在马来西亚和香港惨败。对市场的猜测也涵盖了交易员对市场的投资判断，但问题在于，你很难判断这是一项投资还是一场赌博。

　　获得重大成功的例子微乎其微，明星交易员也并不总是获胜。当交易员名气越来越大时，他可以吸引到越来越多的资金。但终有一天，他会犯错并把钱赔光。由于大部分投资者都是后来才进入，他们并没有分享到交易员早期的成功，等待他们的只是亏损。你可能经常听到某个交易员的年回报率有15％或20％。这个数字是基于过去数年表现的一个平均值，如果以基金管理的资产作为权重衡量交易员的表现，即便是最有名的交易员也未能给他的投资者挣钱。事实上，不管挣钱还是最终赔钱，按照基金资产收取管理费的交易员最终都会变得非常富有。

安然故事重演

　　回到安然的故事。从1996年－2001年，《财富》杂志连续六年将安然评为美国最具创新精神的公司，市场预计安然的收益将永远保持快速增长步伐，该公司市盈率达到55倍，市值达到650亿美元。《财富》杂志公布的世界500强企业中，安然名列美国第七位。

　　随着安然向能源市场提供更多的风险对冲产品，该公司利润逐步缩小。由于它的商业模式不能满足市场预期，该公司转向了另外一个模式——推测市场方向即市场的长期波动性，以从中盈利。

　　就本质而言，这样的模式只能偶尔挣钱，但平均来说是赔钱的。为了掩盖损失，安然公司将这些不盈利的产品“出售”给自己操控的资产负债表以外的投资工具。而这些投资工具的实际损失却没有向市场披露，未被公众认识到。当这些损失被披露时，公司也就关门大吉。华尔街许多人都认为，安然的倒闭有几分类似于银行的破产，即公司仍然是有价值的，但毁于流动性不足。

　　当前的信贷危机看起来与安然事件非常类似。大型金融机构正在注销其财务报表上的资产，或是那些即将重新在其财务报表上体现的表外资产。过去，当交易员低买高卖获利时就会受到奖励，所购买的资产短期内在报表上都是存货；现在，华尔街改为通过评估交易员持有资产的净现值——即浮盈或浮亏——而不是变现收益来作为交易员的奖励标准。

　　这自然鼓励交易员去购买那些短期内他们可以操纵价格的、缺乏流动性的资产，从公司拿到丰厚奖金。当这些缺乏流动性的金融产品越来越多时，它们就被打包成资产负债表以外的投资工具；而当这些债务到期时，银行被迫将其重新记入财务报表内，并将其认定为负债。

　　目前危机背后的推动力，也与安然当时的情况非常相似。在2000年高科技泡沫破裂后，华尔街的收入大幅缩水。美联储将利率调低至1％，并维持不变。每一家公司都充分利用这一环境，以1％的成本借入资金，并购买收益率高于1％的产品，从而推动资产价格上扬，公司债券与政府债券间的利差越来越小。随着套利空间缩小，为了获得相同的收益，就需要发挥更大的杠杆作用——以更少的资金、更多的负债来购买资产。衍生品市场的繁荣，主要源于掩盖债务的需求。当越来越少的资金可以撬动越来越多的资产时，资产价格的微小下跌都会对本金造成巨大影响。

　　迄今为止，华尔街已经公布的损失高达1600亿美元，主要都是来源于与次级抵押贷款产品相关的衍生品。然而，他们的财务报表上仍有大量未注销的坏账。仅抵押贷款证券和杠杆贷款这两项的损失，就将持平或超过1600亿美元。

　　最糟糕的是，没有人知道下一个危机将来自何方。如此多的结构性产品息息相关，没有人知道它们彼此间将怎样影响。许多设计这些产品的交易员已经被解雇，可即便是他们也未必能完全理解他们的产品，更何况旁人？因此，全球金融体系的未来仍是一个未知数。部分分析师预计总体损失将超过5000亿美元。坦白说，我们并不知道危机的底部在哪里，但2008年还会有更多爆炸性事件发生，最糟糕的情况尚未来临。

　　当前华尔街的信贷危机，并不是由不可预见的冲击引发的，也不是一个诚实的错误。从一开始，它就是一个骗局。大部分观察家现在都不同意我的观点，但时间会说明一切。安然的杰弗里斯基林被判处24年有期徒刑，而肯尼斯雷也在宣判前因心脏病去世。法律的制裁来得有些晚，但它终将到来。

　　2008年，一家全球性的大银行可能会遭遇破产的命运，很可能还会有两家步其后尘。这是它们为其欺诈行为所付出的代价。但过去四年中，最严重的惩罚可能只是蹲监狱。我们仍然听到消息说，被解雇的高管在带领公司陷入危机后，还是卷走了数千万美元。目前，仍未看到市场或媒体对这些可怕后果的愤怒与不满。只有等民众恢复理性、作恶者被送交司法审判后，这场危机才会结束。■

all enron's children

the credit bubble was a scam to begin with. the people who piled in with their firms' or investors' money mostly knew what was going on. most people probably disagree with me now. time will tell. the fed is now taking credit risk on failing financial institutions. it may end up owning most of the financial system. without capital of its own, it will have to print money to cover the capital losses, i.e., monetizing the losses. it will lead to monetary expansion, falling dollar, and inflation. i believe that the last asset class to adjust is treasuries. the treasury yield should be 6.5%, not 3.5%. the following article is in the current issue of caijing magazine. the chinese version is in the attachment. best wishes, andy

all enron's children

all booms are the same, all bursts are different. rising asset prices is at the heart of every boom; money seems to grow on trees. every boom is followed by a financial crisis. in 2001, the value of two trillion dollars that were invested in creating telecom and other it facilities vanished in their declining pricing power. investors relearned the lesson that technology was wonderful for productivity but not very good for profit. in 1998, overcapacity destroyed the export earnings of the asian economies. their foreign creditors wanted their money back then, causing a currency-cum-banking crisis. developing economies all over the world learnt the lesson that creditors wanted their money back just when they needed it most. in 1994, the rising us interest rate sapped demand for the dollar-denominated bonds that the mexican government issued. the liquidity crisis caused its currency to collapse in value. a few years earlier, the japanese property market collapsed. saddled with bad debts, japanese banks stopped lending and the japanese economy began its lost decade. the list can go on and on. the root cause of a financial crisis is asset overvaluation during a boom. of course, asset overvaluation is possible when there is money chasing the rising trends in asset prices. when asset prices reverse, the money that chased vanishes in value. whose money is lost has endless possibilities. that is why every financial crisis is different.

there was a unique story during the last burst. enron, a boring natural gas supplier in houston during the 1980s, surged in prominence in the 1990s. the secret was in its trading in commodity market. as a natural gas supplier, it should hedge its contracts with its customers. natural gas price fluctuates everyday. if a customer wants fixed price for twelve months or longer, the supplier is exposed to the price fluctuation. hence, it should buy futures in the market to hedge its risk. energy suppliers like natural gas or oil companies usually go through wall street firms to hedge the risk. enron deviated from this model and began trading on its own in 1989, i.e., it was competing against the wall street, and it found out that the business was very profitable. its high profitability came from the fact that it was effectively a bank without being subject to banking regulations. a bank must meet the capital requirement of 8% of assets under bis rules and must follow regulations on what it can and cannot do. as an industrial firm, enron didn't have to follow such rules. hence, it was taking the same risks as banks without the capital requirement. the ceo then, ken lay, saw the profits from the trading business dwarfing its business of supplying natural gas. in 1990, he hired jeffrey skilling, a partner at mckinsey consulting, to focus the firm on commodity trading, effectively turning the firm into a hedge fund.

you may have heard colorful stories about the famous traders on wall street who make hundreds of millions of dollars for their firms and pocket tens of millions for themselves. they are the highest paid people on wall street, paid much more than their ceos. there is an aura around the successful traders. in the past three years, they have been leaving wall street firms to start their hedge funds. the star power of some of the traders could pull in billions of dollars with three years of lockup for their funds. as they charge 2% management fee, they make hundreds of millions of dollars without lifting a finger on day one. do star traders have special talents like michael jordan and tiger woods and deserve the showering of so much free money? unfortunately, i have not met one. the success of an average trader comes from selling volatility insurance in the market. luck explains the successes of most star trader. i am sure that traders would consider my opinions on the matter sour grapes from someone who didn't make tens of millions like them. i can never explain away this accusation. but, i can fill my story with reasonable substance.

traders talk about their trading strategies with colors like butterfly, straddle, gamma hedging, etc. all those strategies boil down to one thing: short volatility. volatility is a fundamental fact in life. there could be an earthquake tomorrow. you might fall down and break your legs walking on the street. volatility is a negative for life, i.e., making $100 per month is better than making non for eleven months and $1,200 during a random month in a year. economists call this human nature risk aversion. this risk aversion is the foundation of the insurance business. for example, you might be willing to make less than $100 every month to be equally well off than making $1,200 during one random month in a year. the insurance company can offer you this monthly amount and collect $1,200 when it happens randomly during the year. the difference between $1,200 and the total that you collect in a year is the profit for the insurance company.

similarly, you can buy insurance against being hit by a bus. an insurance company offers such service to millions of people. if each person has one millionth chance of being hit by a bus in one year, the law of large numbers says that the insurance company will almost surely have one person claiming payment in a year due to such an accident if it insures one million people. let's say the damage from such an accident is one million dollars. as people are risk averse, they should be willing to pay more than one dollar to insure against such an accident. the insurance company makes a profit from collecting more than one dollar from each person and paying out one million to the person hit by a bus.

stock market fluctuates every day. you can buy insurance too. the extreme case is to hold cash. the other extreme is to hold shares without any hedging as most people do. in-between, you can choose the whole gamut of being exposed to the market. for example, you can choose not to loose more than 10%. of course, every benefit comes with a price. you have to sacrifice how much upside you would give up in exchange for the downside protection. some funds offer principal protection and some exposure to upside. what they do is actually to deposit your money in an interest bearing bank account and use the interest rate income to buy derivatives that are exposed to the upside. you can never get downside protection without sacrificing upside potential. financial institutions that offer such products play on your nature of risk aversion. of course, they make a profit from the actual cost of such financial products and your willingness to pay.

wall street traders make profits most of the time by selling products that offer insurance. they lose money from time to time and make money from time to time. as they offer a valuable product to the market, they make money on average. of course, like a real insurance company, they need capital to be in this business. each trader is given certain amount of capital by his firm. he optimizes the usage of the capital by offering different financial products in the market. like other products, financial products can become over or under priced. the basic skill of a trader is not to make the stupid mistake of selling undervalued products. the basic pricing tool for derivative products is the black-scholes formula that links the prices of derivative products to asset prices, sort of like the formulae for calculating the price of sausage from the price of pork.

the black-scholes formula, however, is the most misused tool in financial market. when a sausage manufacturer prices its sausage based on pork cost, its price would not feed back to influence pork price. in financial markets, when too many traders sell volatility, they cause volatility to drop temporarily. as more and more players get insurance, they don't respond to change in information as sensitively as before and, hence, market becomes less volatile. the formula says that the price of insurance should drop, which makes the trade more profitable and, hence, more traders sell or short volatility. it brings down volatility further. however, such suppression of volatility from liquidity supplied by traders is artificial. when a shock triggers traders to buy back volatility, the rush for exist causes a big wave in the market, which balances off the low volatility period before, i.e., fundamental volatility has not changed just carved up differently due to the presence of traders. the 1987 market crash, for example was probably caused by such an event (see 'a demon of our own design', by richard bookstaber).

some traders go the other way and bet on a break in trend. the most famous example is george soros betting on the pound sterling pulling out the european monetary union ('emu'). the united kingdom was experiencing balance of payment ('bop') deficits then. emu is a fixed exchange rate regime. when a country hemorrhages bop deficit, its fixed exchange rate regime is not sustainable. it can either raise interest rate to cut domestic demand or due to boost exports. george soros bet on the later. on september 16, 1992, the british government decided to pull out emu. george soros' fund made $10 billion on that day and george soros became a household name around the world. many hedge funds bet on the same in 1998 during the asian financial crisis. they won in thailand and korea but lost in malaysia and hong kong. in such bets, it involves a judgment call. a country has a particular personality that determines how it behaves in response to shocks. hence, traders who bet on trends changing tend to have larger-than-life personality and tend to show strong convictions. the problem is that it is very hard to tell the difference between conviction trading and gambling.

the big success stories are few. the star traders don't always win. their average performance may not be that good, especially for their investors. as a trader's fame spreads, he attracts more and more money. one day, he stumbles and loses it all. as most of his investors come late and didn't enjoy his earlier successes, they just lose. you often hear that a trader has averaged 15% or 20% annual return. this number is based on the arithmetic average of the past years. if the performance is weighed by the size of the fund under management, even the most famous traders have not made money for their investors. of course, these traders earned their fees during years of good performance and, when they lost the money of the investments eventually, would still be rich.

enron's trading model would run into diminishing returns like any other business. as it supplied more hedging or insurance products in the energy market, the margins would shrink. enron sold its business model as a new discovery, not copying the wall street. the fortune magazine named enron america's most innovative company for six years in a row, from 1996-2001, right until before its collapse. the market expected its earnings to grow at fast speed forever and its share price was trading at 55 times 'earnings' with market capitalization of $65 billion and ranked seventh on the fortune 500 list. as its business model couldn't meet market expectations, it shifted the other way and tried to bet on market direction, i.e., long volatility, for profit. this is essentially trying to make money in a casino and would be a losing proposition on average. to cover up the losses and report rising earnings, it 'sold' the unprofitable trades to self-controlled off-balance sheet vehicles at a profit. the actual losses in the off-balance sheet vehicles were not recognized by not marking-to-market such assets. such self-dealings pumped up its fake profits for years. when its hidden losses were discovered, the company collapsed. enron was a scam for a long time. i still remember many on wall street thought its collapse was some sort of bank run, i.e., it was worth the money but succumbed to a liquidity squeeze. indeed, many enron traders were hired by wall street firms to strengthen their commodity trading division.

the current credit crisis smells very much like the enron crisis. the big financial institutions are writing off the value of the assets on their books or the off-balance sheet vehicles brought back onto balance sheet. investment banks are supposed to be transaction oriented. a trader is rewarded when he sells what he bought at a profit. the assets on the book are inventories for a short period. however, the wall street began to reward traders on net present value of asset holdings rather than cash profit. of course, it encouraged traders to buy illiquid assets that they can control prices temporarily. they can name their prices for the assets and get big bonuses. when the inventories become too big to appear innocuous, they are parked in off-balance sheet vehicles. however, when the debts for such vehicles came due, the banks that manufactured them had to bring them back and assume the liability. these banks knew it then. such vehicles were manufactured with the sole purpose to deceive the market. the current credit crisis unfolding on the wall street is not a result of an unforeseen shock or an honest mistake. it is a scam from the beginning. most observers would disagree with me now. time will tell. jeffery skilling, president of enron, was sentenced to 24 years in jail on october 23, 2006. ken lay, the chairman and ceo, died right before his sentence. justice may come slowly and will come.

the driving force behind the current crisis is exactly the same as that behind enron. after the it burst in 2000, the earnings for the wall street firms collapsed. the wall street types work for big bonuses, which only occur when earnings rise. the fed then cut interest rate to 1% and kept it there. every firm tried to take advantage of that by borrowing at 1% to buy something yielding more. the difference would be the profits. as everyone rushed to do the same, the assets in demand inflated in value. for example, the corporate risk premium-the interest rate difference between corporate and government bonds collapsed. as the spread for such arbitrage shrank, to achieve the same profit, it needed more leverage, i.e., less capital and more debt for purchasing such assets. derivative products bloomed essentially to hide debts. as capital for holding assets became thinner and thinner, a small drop in asset price would wipe out the value of asset holding vehicles.

the wall street firms have announced $160 billion of losses so far, mainly from derivatives associated with sub-prime products. however, there are massive amount of other assets on their balance sheets. mortgage backed securities (mbs) and leveraged loans are the latest candidates. the losses from these two could equal or surpass the announced losses. the biggest problem is that nobody knows where the next explosion would come from. the notional value of derivatives totaled $350 trillion last year. so many structured products depended on each other. nobody could understand how one affects the other. many traders who manufactured such products have already been fired. even they themselves probably didn't understand their products. how could others do? hence, the future of the global financial system is totally uncertain. what we know is that the aggregate losses would be correlated with asset depreciation. some analysts speculate that the total losses would exceed half a trillion dollars. frankly, we don't know. what we can expect is that more bombs would go off in 2008. the worst are not over.

one of the largest global banks will probably go burst this year. there is a significant chance that two could go under. the world would see the true picture then. it was a bunch of crooks who committed frauds to pay themselves. chinese press often associates the stature of the wall street types with their compensation. unfortunately, the highest paid in the past four years may go to jail. we still hear many fired senior people being fired and still walking away with tens of millions of dollars after destroying their companies. i haven't seen outrage in the market or press about such horrible outcomes. such people paid themselves big amounts of money on fake profits. when the scam was exposed, they could still walk sway with tens of millions more. this crisis is not over until people regain common senses. a great theft has been perpetrated on investors and shareholders of financial institutions. the crisis can end when the perpetrators are brought to justice.