Mea Culpa – Risikomanagement-Ausgabe

Vor ein paar Tagen hatte ich auf den Artikel von Martin Wolf verwiesen, der als Chefvolkswirt der FT sich die Frage gestellt hat, warum die Volkswirte diese Krise nicht haben sehen können.

Jetzt schreibt Matthew Stewart, der als Risikomanagement-Berater gearbeitet hat, warum die Risikomanagement-Modelle versagt haben. Meiner Meinung nach die Kernaussage:

At the bottom of every financial model there is in fact a stubborn lie—the pretense that financial markets operate in the manner of a physical process, subject to the iron laws of statistics, like atoms bouncing around in a thermodynamic equilibrium. This beguiling analogy makes it too easy for geeks like me to lose sight of a timeless truth: If atoms could talk to one another, then the laws of thermodynamics would get broken every day by clouds of stampeding gases.

Andererseits wehrt er sich auch dagegen, dass jetzt die Schuld für die Krise bei den Quants abgeladen wird:

Models don’t kill banks; bankers kill banks. We geeks may grunt a lot (we want the world to know how laborious our calculations are), but the truth is that our models aren’t that hard to build, and they aren’t that hard to take apart. When bankers and their advisers fail to question the premises of these models, it’s usually because they find those premises quite congenial. The models merely provide an excuse to exercise a faculty for which human beings have always shown a special talent, namely, wishful thinking.

Als Ursache für die Krise sieht er eher die Möglichkeiten der Selbstregulierung, und die Kompensationsmechanismen, die sich in den Investmentbanken breit gemacht haben:

At the origin of the current crisis is not a new kind of mathematics but a fundamental change in the system of rewards and punishments that steers the financial management of the modern economy.

Schumpeter’s followers need no longer worry about risk-averse corporate bureaucrats. Thanks to heads-I-win-tails-you-lose incentive plans, not to mention „regulation“ that consists of urging banks to keep a close eye on themselves, the leaders of our large financial institutions have become some of the riskiest people in business. Indeed, their willingness to gamble with other people’s money represents a new, fundamental force in modern capitalism. Schumpeter, lifting a line from Friedrich Nietzsche, talked about the gales of „creative destruction“ that sweep away the unproductive elements in a capitalist economy and make way for the new.  In this reckless age, the right phrase would be „destructive destruction.“

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