????看來(lái)在銀行業(yè)模式中，風(fēng)險(xiǎn)總是開啟的。

????上周三，摩根大通（JPMorgan Chase）首席執(zhí)行官杰米?戴蒙在美國(guó)國(guó)會(huì)作證時(shí)，花了很多時(shí)間試圖向參議院銀行委員會(huì)（Senate Banking Committee）證明，除了倫敦鯨（London Whale），摩根大通的大部分對(duì)沖交易都是審慎的。他說(shuō)，他相信壓力測(cè)試，愿意與監(jiān)管部門進(jìn)行開誠(chéng)布公地交流。摩根大通有整個(gè)委員會(huì)負(fù)責(zé)制定風(fēng)險(xiǎn)模型。乍聽上去，這些似乎證明了戴蒙的說(shuō)法，摩根大通最近爆出20億美元并還在擴(kuò)大的交易損失是一次性的。戴蒙甚至直言，他寧愿花更多時(shí)間想想歐洲。

????投資者似乎很滿意這些說(shuō)法。戴蒙作證結(jié)束后，摩根大通股價(jià)向上，漲了0.45美元，漲幅超過(guò)1.3%。但如果你能稍微深入地剖析一下戴蒙的講話內(nèi)容，就會(huì)發(fā)現(xiàn)金融危機(jī)以來(lái)通過(guò)的銀行業(yè)改革方案對(duì)控制摩根大通或其他銀行的風(fēng)險(xiǎn)收效甚微。

????戴蒙表示，雖然倫敦的信貸衍生品交易違反了公司的風(fēng)險(xiǎn)規(guī)定，但摩根大通首席投資官辦公室管理的3500億美元中的其他部分是流動(dòng)性好、風(fēng)險(xiǎn)低的投資品種。為證明這一點(diǎn)，戴蒙說(shuō)，這個(gè)投資組合的平均收益率只有2.6%，平均存續(xù)期3年。雖然2.6%聽起來(lái)有點(diǎn)低，但在當(dāng)前形勢(shì)下還算不錯(cuò)了。如果戴蒙的投資組合風(fēng)險(xiǎn)很低，估計(jì)收益率就得和美國(guó)國(guó)債差不多。但3年期美國(guó)國(guó)債的平均收益率目前為0.375%。摩根大通投資組合的收益率是這個(gè)水平的7倍。顯然，不承擔(dān)風(fēng)險(xiǎn)是很難取得這樣的收益率。

????而且，眾所周知，華爾街人士喜歡定制西服，在風(fēng)險(xiǎn)模型上他們似乎也有這樣的偏好。戴蒙表示，摩根大通有幾十種風(fēng)險(xiǎn)模型，每個(gè)都按不同的業(yè)務(wù)類型特制。取決于經(jīng)濟(jì)環(huán)境，這些風(fēng)險(xiǎn)模型定期更新。這似乎有點(diǎn)荒謬。不管是銀行的哪個(gè)部門在交易，信貸衍生品的風(fēng)險(xiǎn)都是一樣的。而市場(chǎng)和經(jīng)濟(jì)環(huán)境能迅速改變。你想要的風(fēng)險(xiǎn)模型是不管環(huán)境好壞都能保護(hù)你的模型。

????戴蒙表示，摩根大通為首席投資官辦公室建立了新的VaR模型，符合巴塞爾協(xié)議III（Basel III）規(guī)定的銀行業(yè)新監(jiān)管條例。這些協(xié)議的本意是降低（而非提高）銀行的風(fēng)險(xiǎn)水平。但實(shí)際情況往往事與愿違。新的風(fēng)險(xiǎn)模型允許首席信息官承擔(dān)更多風(fēng)險(xiǎn)和損失。

????最后，摩根大通和戴蒙再度指出，制定和執(zhí)行限制銀行高風(fēng)險(xiǎn)交易的沃爾克法則（Volcker rule）難度很大。沃爾克法則允許對(duì)沖交易，但禁止自營(yíng)交易。戴蒙表示，他不能“清楚地區(qū)分”這兩者。如果戴蒙看不出自營(yíng)交易和對(duì)沖交易的區(qū)別，很可能摩根大通的交易員們也不太加以區(qū)分。

????In banking, it appears, the model is always risk on.

????In Congressional testimony on Wednesday JPMorgan Chase's CEO Jamie Dimon spent a lot of time trying to prove to members of the Senate Banking Committee that the bulk of what his bank does - London Whale aside - is prudent. He said he believes in stress testing. And that he has an open door policy with regulators. He has a whole committee of people assigned to develop risk models. On the surface, it all seemed to prove Dimon's argument that JPMorgan's recent $2 billion and counting trading loss was a one-off. Frankly, Dimon said that he would rather be spending more of his time thinking about Europe.

????And it appears investors liked what they heard. Shares of JPMorgan (JPM) reacted positively, up $0.45, or just over 1.3%, shortly after Dimon finished testifying. But if you dig a little deeper into what Dimon said there is a lot of reason to believe that recent banking reforms passed in the wake of the financial crisis have done little to reign in risk at JPMorgan or elsewhere.

????Dimon said that while the credit derivatives trades that were made out of London violated the firm's risk rules, the rest of the $350 billion managed by the firm's chief investment office is in liquid, generally low-risk investments. To prove that, Dimon said that on average the portfolio has a yield of just 2.6% and a duration of 3 years. But while 2.6% might sound low, these days that's rather hefty. If Dimon's portfolio was truly low-risk, you would expect it to have a similar yield to U.S. Treasury bonds. But the average yield on a 3-year Treasury bond is currently 0.375%. JPMorgan's portfolio is yielding seven times that. That's hard to do without taking a lot more risk.

????What's more, while it's well known that Wall Streeters like bespoke when it comes to suits, that appears to be their taste in risk models as well. Dimon said that his firm has dozens of risk models, each individually tailored to different lines of business. And those risk models are regularly updated depending on the economic environment. That seems foolish. Credit derivatives have the same risk no matter what division of the bank is trading them. And markets, and economic environments, can quickly change. What you want is one risk model that will be sufficiently strict to protect you when things are good and when things are bad.

????In the current instance, Dimon says the firm introduced a new value-at-risk model for its CIO office to be compliant with new banking regulations put in place by the Basel III accords. But those accords were supposed to make banks less risky, not more so. Instead, the opposite happened. The updated risk model allowed the CIO to take on more risk, and more losses.

????Lastly, JPMorgan and Dimon prove once again that instituting and policing the Volcker rule, which is supposed to limit risky trading at the banks, will be very hard to do. Hedging is allowed under the Volcker rule. Prop. trading is not. But Dimon said he can't "draw a bright line" between the two. And if Dimon can't see the difference proprietary trading and hedging, it's very likely his bank's traders don't make much of a distinction either.