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本文摘要:Fraud is a word to strike fear into the hearts of any investor, who tend to take a company’s financial figures at face value. But time after time they find themselves burnt when overly aggressive or even fraudulent accounting leads to calamity.欺诈是一个所有投资者都惧怕的词——他们往往几乎坚信一个公司的财务数据。

Fraud is a word to strike fear into the hearts of any investor, who tend to take a company’s financial figures at face value. But time after time they find themselves burnt when overly aggressive or even fraudulent accounting leads to calamity.欺诈是一个所有投资者都惧怕的词——他们往往几乎坚信一个公司的财务数据。但一次又一次,他们发现自己在过分保守乃至欺诈性会计学手法造成灾难的时候遭受了损失。Enron is the classic case of a seemingly rock-solid corporate titan that was in reality a fragile edifice of dodgy numbers and accounting subterfuge. More recently, Valeant, the Canadian pharma group, has lost nearly $80bn of its value over accounting concerns.安然(Enron)就是一个典型案例:一个表面看起来坚如磐石的可观企业,实质上是用欺诈数据和假账六边形一起的薄弱大厦。

最近,加拿大制药集团Valeant因外界对其会计学手法的忧虑而损失了近800亿美元的市值。The company recently said that its internal accounting review had found nothing that would force it to restate its earnings, helping its shares regain their footing, but many big-name investors are still nursing huge losses.Valeant最近回应,经过内部会计审查,该公司不用重报利润数据,这协助其股价新的稳住了脚跟,但许多著名投资者依然遭受巨大损失。Can mining reams of data about companies help investors detect issues early? Deutsche Bank’s financial scientists believe so, and have developed a model that scans for potential problems. 挖出公司的海量数据可以协助投资者尽早找到问题吗?德意志银行(Deutsche Bank)的金融科学家们坚信可以,并研发出有了一个查询潜在问题的模型。

It mines the Securities and Exchange Commission’s database of companies censured for accounting problems — highlighting how banks, trading firms and regulators are increasingly turning to novel technological solutions to uncover market abuses.这个模型挖出美国证交会(SEC)的数据库,该数据库包括被谴责不存在会计学问题的公司的数据。德意志银行的这一行径突显出,银行、交易公司和监管机构都更加多地无可奈何新技术解决方案来找到市场欺诈不道德。

“Accounting numbers are like volcanoes. When they lie dormant, people forget how dangerous they can be,” Deutsche Bank said in a recent note.德意志银行在最近公布的一份报告中回应:“会计学数据就看起来火山。当它们休眠状态的时候,人们记得了它们可以多么危险性。”The German bank’s model used “Benford’s Law” to identify possible irregularities. In 1938, physicist Frank Benford noticed that in a random selection of numbers digit 1 tends to appear more often at the beginning of a number than 2, and 2 more often than 3. 德意志银行的模型用于了“本福德定律”来查询有可能的不合规不道德。

1938年,物理学家弗兰克本福德(Frank Benford)注意到,随机自由选择一些数字时,首位数为1的数字往往比首位数为2的数字更加少见,首位数为2的数字比首位数为3的数字更加少见。This curious law is used to analyse everything from weather patterns to election fraud.这种奇特法则被用来分析一切事物——从天气模式到议会选举欺诈。“The natural extension of this hypothesis,” Deutsche Bank’s Javed Jussa wrote, “is that companies that do not conform to Benford’s law may exhibit some sort of accounting irregularity.”德意志银行的贾韦德尤萨(Javed Jussa)写到:“从这种假设可以大自然地推论出有,不合乎本福德法则的公司有可能专门从事了某种会计学不合规不道德。”Deutsche Bank’s quantitative analysts are not the only ones looking to harness modern technology and data mining to unearth potential problems. 并非只有德意志银行的定量分析师在谋求利用现代技术和数据挖掘来说明了潜在问题。

Regulators are also looking to capitalise on recent advances in computing and “machine-learning” algorithms to autonomously scan financial markets and company reports for signs of fraud or abuse.监管机构也在谋求利用计算出来和“机器学习”算法上最近的进展来自动扫瞄金融市场和公司财报,以找寻欺诈或市场欺诈不道德的蛛丝马迹。This is the future of fraud detection, says Steven Blum, a managing director at Control Risks’s compliance and forensic accounting division. “It’s a tool, but an increasingly powerful tool. And the more data you get into the mix the more powerful it becomes.”化险咨询(Control Risks)合规和法务会计学部门的董事总经理史蒂文布卢姆(Steven Blum)回应,这是欺诈侦察的未来。


”For example, a few years ago the SEC rolled out what has been dubbed its “Robocop”, a computer program more formally called the “Accounting Quality Model”. 例如,美国证交会几年前发售了一个绰号为“机械战警”(Robocop)的计算机程序,它的月名称是“会计学质量模型”。This uses the regulator’s treasure trove of financial data to detect patterns in corporate earnings reports that might hint at strange behaviour — whether just aggressive accounting practices or outright deceit.该程序用于证交会的金融数据库来找到企业利润报告中的模式,借此找到有可能说明了的怪异不道德——无论是保守的会计学手法还是赤裸裸的欺诈。The details on the SEC’s Robocop are sparse, but Mr Jussa found several important indicators that could hint at potential accounting mishaps.关于美国证交会“机械战警”的具体情况,人们知之甚少,但尤萨找到了多个有可能暗示着潜在会计学问题的最重要指标。Some are technical market factors. Sizeable bets against a company — as measured by the “short interest” — are a classic sign that some hedge fund managers smell something fishy. Unusually high trading volumes and prices far away from their one-year lows are also warning signs.一些指标是技术性的市场因素。

对一家公司的大规模做空(以“卖空数量”取决于)是一些对冲基金公司找到疑点的典型迹象。出现异常低的交易量和远高于一年低点的价格也是有一点警觉的迹象。But there are more fundamental warning signs, such as the reported cash flow that a company’s assets throw off, the expected dividend yield and the turnover of the company’s assets.但还有更加基本的预警信号,比如公司财报中资产产生的现金流、预计股息收益以及资产周转率。The most common problem is the misstatement of revenues, for example aggressively booking in orders as actual sales — something some tech companies have a tendency to do — or recording sales in one period when the goods are actually shipped in the next quarter. Another is accounting for some costs as assets.最广泛的问题是虚报收益,比如将订单记为实际销售的保守作法——某些科技公司偏向于这么做到——或者将下一季度才确实发货的商品列于本期销售。

另一个问题是将一些费用记为资产。Early identification of potential problems can help investors avoid some dud bets. Deutsche Bank ran its accounting fraud model against 30 years of financial data, and found that a portfolio of companies it found as “potentially vulnerable to accounting irregularities” underperformed the broader stock market by a third.尽早找到潜在问题可以协助投资者防止一些多余押注。德意志银行用其会计学欺诈模型处置了30年的金融数据,结果找到,模型确认“有可能不存在会计学不合规风险”的那些公司的股价展现出比大盘较低三分之一。

Mr Blum points out that “big data” and evermore sophisticated algorithms will become increasingly common among a variety of organisations in the finance industry.布卢姆认为,“大数据”以及更加先进设备的算法将在金融行业中的众多机构中显得更加广泛。Even some repentant sinners are now using technology to detect market abuses. After being censured and fined for “spoofing” — submitting a blizzard of orders and cancellations only to move the price of a security — in 2010, trading outfit Trillium developed a system to spot and prevent spoofing internally, which it is now marketing to other firms.就连一些罪罪过但痛改前非的机构,现在也在用于技术来找到市场欺诈不道德。在2010年因“幌骗”(spoofing,一种市场操控手法,再行递交大量订单然后中止,目的只是为了转变证券价格)而遭到指责和罚款之后,Trillium研发了一套系统,在内部找到并制止“幌骗”。现在Trillium相反其他公司促销这套系统。

“The controls we built have turned out to be a next-generation solution to spoofing,” says Michael Friedman, Trillium’s general counsel.Trillium的总法律顾问迈克尔弗里德曼(Michael Friedman)回应:“事实证明,我们创建的控制措施是杜绝‘幌骗’的下一代方案。”The “Surveyor” program autonomously scans for the market order book for potential manipulation, such as spoofing, insider trading, two-sided trading — where a company pushes a stock around by trading with two separate accounts, either intentionally or by accident — and “wash trades”, the simultaneous selling and buying of a stock through different brokers.“监督员”(Surveyor)程序自动扫瞄市场订单簿,以找寻潜在的操控不道德,比如“幌骗”、内幕交易、两面交易(指一家公司通过两个独立国家账户交易来操控股票,无论是无意还是有意)以及“元神卖元神买”(wash trades,指通过有所不同经纪商同时买入和售出一支股票)。

In other words, technological advances and increasingly complex markets may make an investor or regulator’s job harder and more complex, but may also offer some potentially powerful solutions to keeping financial markets clean.换言之,技术变革和日益简单的市场有可能让投资者或者监管机构的工作显得更为艰苦和简单,但有可能也获取了一些潜力极大的解决方案来维持金融市场的洁净。