lunedì 8 febbraio 2010

Un'economia senza rughe?

Ho finalmente avuto il tempo di leggere un eccellente articolo di Satyajit Das sullo stato dell'economia, che secondo Das si è fatta il lifting con la tossina botulinica delle iniezioni di liquidità da parte delle banche centrali: lo raccomando a tutti. La prima parte la trovate qui, la seconda qui. Das è l'autore di Traders, Guns & Money: Knowns and Unknowns in the Dazzling World of Derivativesun eccellente saggio del 2006 sui derivati e il loro (mis)uso, del quale è appena uscita una nuova edizione aggiornata. Per avere un assaggio delle tesi dell'autore potete leggere questa sua intervista: ACEMAXX-ANALYTICS: Interview: Satyajit Das, Risk Consultant.  Eccovi l'incipit:

Industry lobbyists focus on the use of derivatives to hedge and manage risk promoting investment and capital formation. While derivatives can play this role, derivatives are now used extensively for speculation - "manufacturing" risk and "creating" leverage.
Derivative volumes are inconsistent with "pure" risk transfer. In the credit default swap market (CDS) market, volumes were in excess of four times outstanding underlying bonds and loans. Speculators may facilitate markets but recent experience suggests that in stressful conditions they are users rather than providers of scarce liquidity and amplify systemic risks.
Relatively simple derivative products provide ample scope for risk transfer. Increasingly complex and opaque products are used to increase risk and leverage as well as circumvent investment restrictions, bank capital rules, securities and tax legislation.

Few, self interested industry participants are prepared to admit the unpalatable reality that much of what passes for financial innovation is specifically designed to conceal risk or leverage, obfuscate investors and reduce transparency. The process is entirely deliberate. Efficiency and transparency is not consistent with high profit margins on Wall Street and the City. Financial products need to be opaque and priced inefficiently to produce excessive profits.

Non si può negare che i banchieri abbiano imparato a usare le opzioni in modo impeccabile: ecco un mirabile esempio di dynamic hedging: titola il New York Times di oggi

Irked, Wall St. Hedges Its Bet on Democrats
Bankers, unhappy at the president’s proposals for tighter financial regulations, are shifting donations to Republicans.

Scherzi a parte, il tempo passa,  le riforme aspettano e le lobby sono sempre più in allarme...ecco cosa scriveva il Financial Times sul clima che si respirava tra i banchieri convenuti a Davos:

Protesters were handing out leaflets in the streets of Davos at the weekend. But their anger was not directed against world poverty, nuclear power or war; instead they were demanding that banks should put their derivatives business on to exchanges to make the financial system more transparent.
It is a potent reminder of how issues about financial stability dominated the agenda at the World Economic Forum last week. For most of the past decade, banks have used the WEF in Davos as a lavish opportunity to entertain clients. Last week they were fighting to fend off a wave of controls on sectors ranging from bonuses to proprietary trading and derivatives.
International supervisors, led by the Financial Stability Board and the Basel Committee on Banking Supervision, are pondering how and when they should change the levels of capital and liquidity that banks will have to hold in future. Moreover, in recent weeks, politicians – Barack Obama, the US president, Alistair Darling, the UK chancellor, and Nicolas Sarkozy, the French president – have weighed in with measures, short-circuiting the more consultative regulatory response.
Whether the banks could claim victory for their lobbying at Davos remains unclear, partly because the financial industry is fighting on many fronts. One issue that dominated discussion at the WEF wasproprietary trading – and a putative move by the Obama administration to ban the activity at banks that take insured deposits.
Most bankers vociferously opposed the idea.

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