Les défis de la réglementation des marchés financiers (suite)

Dans un essai publié dans le NY Times d'aujourd'hui intitulé Long-Term Capital: It's a Short-Term Memory, Lowenstein nous propose une réflexion sur les défis de la réglementation des marchés financiers. En premier lieu, il nous rappelle la débâcle de LTCM qui avait notamment comme associé Myron Scholes, un des pères du célèbre modèle Black-Sholes. Ce rappelle insiste sur la participation du gouvernement au sauvetage de LTCM:

A FINANCIAL firm borrows billions of dollars to make big bets on esoteric securities. Markets turn and the bets go sour. Overnight, the firm loses lost of its money, and Wall Street suddenly shuns it. Fearing that its collapse could set off a full-scale market meltdown, the government intervenes and encourages private interests to bail it out.

Il y a un parallèle troublant nous dit Lowenstein avec Bear Stearns, non seulement en raison de l'intervention gouvernementale et de l'ampleur du sauvetage, mais aussi de la conception fondamentale des marchés financiers à la source de cette implosion.

AS striking as the parallel is to Bear, Long-Term Capital’s echo is far more profound. Its strategy was grounded in the notion that markets could be modeled. Thus, in August 1998, the hedge fund calculated that its daily “value at risk” — meaning the total it could lose — was only $35 million. Later that month, it dropped $550 million in a day.

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Modern finance is an antiseptic discipline; it eschews anecdotes and examples, which are messy and possibly misleading but nonetheless real. It favors abstraction, which is perfect but theoretical. Rather than evaluate financial assets case by case, financial models rely on the notion of randomness, which has huge implications for diversification. It means two investments are safer than one, three safer than two.

[...]

Long-Term Capital's partners were shocked that their trades, spanning multiple asset classes, crashed in unison. But markets aren’t so random. In times of stress, the correlations rise. People in a panic sell stocks all stocks. Lenders who are under pressure tighten credit to all.

And Long-Term Capital's investments were far more correlated than it realized. In different markets, it made essentially the same bet: that risk premiums the amount lenders charge for riskier assets would fall. Was it so surprising that when Russia defaulted, risk premiums everywhere rose?More recently, housing lenders and the rating agencies who put triple-A seals on mortgage securities similarly misjudged the correlations.

Plus particulièrement, Lowenstein critique le gouvernement qui réalise des sauvetages d'entreprises en introduisant un risque moral et un sentiment d'invincibilité ("too big to fail"). En plus, il déplore l'absence d'imputabilité des gestionnaires des institutions en cause, insistant sur l'impact des produits dérivés qui déplacent le risque et rendent très complexe son appréciation par les acteurs:

In traditional finance, borrowers borrow and lenders lend. The only firms exposed to, say, home mortgages, are the banks that issue them. Thanks to derivatives, a firm with exposure can pass it off, and a firm with no exposure can assume it. Markets thus have less information about where risk lies. This results in periodic market shocks. Put differently, derivatives, which allow individual firms to manage risk, may accentuate risk for the group.

Pour remédier à ce problème, il préconise une divulgation plus accrue relativement aux produits dérivés. Certainement facile à énoncer comme solution; moins simple à mettre en oeuvre cependant dans un univers où de nombreux produits échappent entièrement à la réglementation.