Gianluca Macchia, Emanuele De Angelis, Michele Vitagliano
{"title":"MiFID 与风险偏好框架之间的联系,作为财富管理和整个金融业价值链最佳实践的应用","authors":"Gianluca Macchia, Emanuele De Angelis, Michele Vitagliano","doi":"10.47473/2020rmm0134","DOIUrl":null,"url":null,"abstract":"After a short review of the MiFID regulations and the RAF, the paper identifies the link between them which allows to mitigate a balance sheet risk sustained by the financial intermediary and, at the same time, to improve its stability and value creation, through a maximization of customer loyalty. The client’s attitude towards risk can be summarized in these terms: \"I don't like risk, but I like to win\". Thus, a three-dimensional approach towards expected utility is suggested for estimating risk tolerance: risk aversion, loss aversion and reflection. In addition, a definition of the client's financial objectives is required, combined with greater disclosure - which allows the construction of a financial statement – to attest that risk-taking is indeed a luxury, as indicated by the metrics of the discretionary wealth ratio, and therefore, of the Standard of Living Risk (SLR). The next step consists in the determination of a set of portfolios along the efficient frontier where risk is represented by the expected shortfall, the determination of which belongs to a Generalized Extreme Value Theory logic. The client's objectives are described in terms of probability of success, where the latter is a function of an initial endowment, a potential positive contribution of financial resources over time as well as an expected return level. The above is expressed through a practical case that envisages the determination of a set of EGPF portfolios and the identification of the specific portfolio, obtained as a solution to a static and dynamic optimization problem, where the objectives have been formalized through the calculation of the associated utility","PeriodicalId":296057,"journal":{"name":"Risk Management Magazine","volume":"24 7","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The link between MiFID and Risk Appetite Framework as an application of best practices for wealth management and the entire value chain of the financial industry\",\"authors\":\"Gianluca Macchia, Emanuele De Angelis, Michele Vitagliano\",\"doi\":\"10.47473/2020rmm0134\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"After a short review of the MiFID regulations and the RAF, the paper identifies the link between them which allows to mitigate a balance sheet risk sustained by the financial intermediary and, at the same time, to improve its stability and value creation, through a maximization of customer loyalty. The client’s attitude towards risk can be summarized in these terms: \\\"I don't like risk, but I like to win\\\". Thus, a three-dimensional approach towards expected utility is suggested for estimating risk tolerance: risk aversion, loss aversion and reflection. In addition, a definition of the client's financial objectives is required, combined with greater disclosure - which allows the construction of a financial statement – to attest that risk-taking is indeed a luxury, as indicated by the metrics of the discretionary wealth ratio, and therefore, of the Standard of Living Risk (SLR). The next step consists in the determination of a set of portfolios along the efficient frontier where risk is represented by the expected shortfall, the determination of which belongs to a Generalized Extreme Value Theory logic. The client's objectives are described in terms of probability of success, where the latter is a function of an initial endowment, a potential positive contribution of financial resources over time as well as an expected return level. The above is expressed through a practical case that envisages the determination of a set of EGPF portfolios and the identification of the specific portfolio, obtained as a solution to a static and dynamic optimization problem, where the objectives have been formalized through the calculation of the associated utility\",\"PeriodicalId\":296057,\"journal\":{\"name\":\"Risk Management Magazine\",\"volume\":\"24 7\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Risk Management Magazine\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.47473/2020rmm0134\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Risk Management Magazine","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.47473/2020rmm0134","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The link between MiFID and Risk Appetite Framework as an application of best practices for wealth management and the entire value chain of the financial industry
After a short review of the MiFID regulations and the RAF, the paper identifies the link between them which allows to mitigate a balance sheet risk sustained by the financial intermediary and, at the same time, to improve its stability and value creation, through a maximization of customer loyalty. The client’s attitude towards risk can be summarized in these terms: "I don't like risk, but I like to win". Thus, a three-dimensional approach towards expected utility is suggested for estimating risk tolerance: risk aversion, loss aversion and reflection. In addition, a definition of the client's financial objectives is required, combined with greater disclosure - which allows the construction of a financial statement – to attest that risk-taking is indeed a luxury, as indicated by the metrics of the discretionary wealth ratio, and therefore, of the Standard of Living Risk (SLR). The next step consists in the determination of a set of portfolios along the efficient frontier where risk is represented by the expected shortfall, the determination of which belongs to a Generalized Extreme Value Theory logic. The client's objectives are described in terms of probability of success, where the latter is a function of an initial endowment, a potential positive contribution of financial resources over time as well as an expected return level. The above is expressed through a practical case that envisages the determination of a set of EGPF portfolios and the identification of the specific portfolio, obtained as a solution to a static and dynamic optimization problem, where the objectives have been formalized through the calculation of the associated utility