Читать книгу Practical Risk-Adjusted Performance Measurement - Carl R. Bacon - Страница 17

It is useful to distinguish between the ways portfolio managers¹² and risk professionals see risk. For this purpose, let us refer to portfolio managers as “risk managers” and to risk professionals as “risk controllers”. Then there is a clear distinction between risk management and risk control. As risk managers, portfolio managers are paid to take risk, they need to take risk in order to achieve higher returns. For the risk manager “Risk is good”.

Risk controllers on the other hand are paid to monitor risk; their role is to measure risk and make transparent to the entire firm how much risk is being taken by the portfolio manager (and often from their perspective to reduce risk). The risk controller's objective is to reduce the probability or eliminate entirely a major loss event on their watch. For the risk controller “Risk is bad”.

Risk managers' and risk controllers' objectives are in conflict leading to a natural tension between them. To resolve this conflict, we need measures that assess the quality of return and answer the question, “Are we achieving sufficient return for the risk taken?”