永久性最低提取利益保证变额年金的公平保证费用定价

近年来,我国的人口老龄化趋势严重,截止到2012年底,年龄超过60岁的人口已达1.94亿,占总人口的14.3%,预计在2013年突破2亿。因此,老年人口的养老问题日益受到社会关注。在养老工具里面,相对于具有较低稳定收益的传统养老保险和没有最低保证的投连险,投资人(或投保人)更愿意选择具有最低利益保证的变额年金保险。在转移长寿风险的同时,投资人(或投保人)既有最低利益保证,又有可能获得更高的投资收益。因此有最低利益保证的变额年金未来会是年金保险的主流产品。本文对此进行探讨,为国内保险公司设计开发此类产品提供理论指导和参考。     

信贷资产证券化的违约风险分析

识别和控制资产证券化过程中的风险是金融监管的客观需要。以信贷资产支持证券为例探讨资产证券化的特有风险—违约风险,并运用KMV模型测度个案违约风险,在此基础上提出一些控制违约风险的策略。     

A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES

We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit bond and equity option pricing formulas that can be calibrated to find a risk neutral model that matches a set of observed market prices. This risk neutral model can then be used to price more exotic, illiquid, or over‐the‐counter derivatives. We observe that our model matches the equity option implied volatility surface well since we properly account for the default risk in the implied volatility surface. We demonstrate the importance of accounting for the default risk and stochastic interest rate in equity option pricing by comparing our results to Fouque et al., which only accounts for stochastic volatility.     

The Pricing of Catastrophe Equity Put Options with Default Risk

In this paper, we present a pricing model for catastrophe equity put options with default risk by assuming that the default of the option issuer may occur at any time prior to maturity of the option. Catastrophic events are assumed to occur according to a doubly stochastic Poisson process, and stock price is affected by the catastrophe losses, which follow the compound doubly stochastic Poisson process. As for default risk, we adopt typical structural approaches, and we also allow the correlation between the underlying stock and the assets of the option issuer. Under this framework, we derive a pricing formula for catastrophe equity put options with default risk. Finally, numerical analysis is presented to illustrate effects of default risk on catastrophe equity put option prices.     

A martingale representation theorem and valuation of defaultable securities

We consider a financial framework with two levels of information: the public information generated by the financial assets, and a larger flow of information that contains additional knowledge about a random time. This random time can represent many economic and financial settings, such as the default time of a firm for credit risk, and the death time of an insured for life insurance. As the random time cannot be seen before its occurrence, the progressive enlargement of filtration seems tailor‐fit to model the larger flow of information that incorporates both the public flow and the information about the random time. In this context, our interest focuses on the following challenges: (a) How to single out the various risks coming from the financial assets, the random time, and their correlations? (b) How these risks interplay and lead to the formation of any risk in the larger flow of information? It is clear that understanding how risks build‐up and interact, when one enlarges the flow of information, is vital for an efficient risk management and derivatives' evaluation in those informational markets. Our answers to these challenges are full and complete no matter what the model for the random time is and no matter how the random time is related to the public flow. In fact, we introduce “pure default” risks, and quantify and classify these risks afterward. Then we elaborate our martingale representation results, which state that any martingale in the large filtration stopped at the random time can be decomposed into orthogonal local martingales (i.e., local martingales whose product remains a local martingale). This constitutes our first principal contribution, while our second contribution consists in evaluating various defaultable securities according to the recovery policy, within our financial setting that encompasses any default model, using a martingale “basis.” Our pricing formulas explain the impact of various recovery policies on securities and determine the types of pure default risk they entail.     

P2P网络借贷市场信用风险识别

近年来,P2P网络借贷市场成为我国金融领域的重灾区,各类问题层出不穷,不仅损害了投资者利益,而且严重扰乱了我国的金融秩序,深入研究P2P网络借贷市场存在的问题具有重要现实意义。P2P网络借贷市场是信息不对称最为严重的市场之一,对借款人信用风险进行识别是P2P网络借贷的关键环节。根据信用风险定价理论,借贷利率应该充分反映违约风险,通过检验借贷利率与违约风险之间的关系可以验证借贷市场信用风险识别机制的有效性。基于“人人贷”平台公开的历史交易数据对P2P网络借贷市场的信用风险识别问题进行实证研究,结果表明:借贷利率能部分反映借款人的信用风险,但在相同的利率水平下,其他指标与违约风险也存在显著性关系,表明相同的利率未对应相同的信用风险,平台的信用风险识别机制部分有效。进一步研究表明,在缺乏成熟、易用的个人征信产品的情况下,无论借款人、P2P平台,还是投资者,对信用风险影响因素的判断与实际情况都存在一定的偏差,工作经验丰富的借款人付出了过高的借贷成本,平台在判断收入对信用风险的影响方面出现了偏差,投资者则忽视了借款人学历的价值。建议打破个人征信数据壁垒,丰富个人征信产品,保护居民信用数据安全,以保障借贷市场的持续发展。     

虚拟经济对现代经济增长的贡献效应

本文认为,虚拟经济是以金融系统(金融机构、金融工具和金融市场)为主要依托、与虚拟资本的循环运动密切相关的经济活动,是金融资产交易关系的总和。它既可对风险定价,提供发现未来价格以及锁定、规避风险的有效机制,又可合理安排公司制度对公司实施有效的控制,以此协调各方利益关系,还通过经济的货币化实现交易的专业化。这些功能为现代风险投资、规模经济和公司价值最大化提供了巨大空间,并使现代经济增长呈现新特征。     

对包钢股票β值的检验

β值是指企业的系统风险,也就是企业不能通过投资分散掉的风险。例如全球经济形势,利率水平等所产生的风险。企业的β系数表示了资产的回报率对市场变动的敏感程度,可以衡量该资产的不可分散风险。本文基于投资组合理论,首先简单分析了单个资产系统风险对于确定单个资产收益率的重要意义,随后运用上证指数（000001）与包头钢铁有限责任公司的股票（600010）的相关数据,运用E-views6.0进行一元线性回归分析,确定了包钢集团的β值。最后,本文对得到的模型进行了统计意义与计量经济学检验,为今后计算单项资产β值实现规避风险的研究提供了有益的借鉴。本文选取了包钢股票2009年9月至2014年9月近五个年度的月度数据,运用EXCEL、新浪股票、E-views6.0等相关网络及系统软件对其进行分析研究,最终得出包钢股票的β值。     

基于风险预算的新疆居民家庭金融资产的风险资产配置

通过对新疆2013-2017年的居民家庭金融总资产以及投资和储蓄的分析,从宏观的家庭金融资产视角使用Markowitz的投资组合的均值-方差模型在风算预算的基础上,进一步计算出实际新疆居民每年应当用于储蓄或者用于投资与固定风险和较大风险的比例,即得出风险资产的配置,从而提高新疆居民的储蓄向投资的转化,加强居民金融资产的管理和风险资产的分配,提高居民的风险收益,为新疆居民家庭获取更多金融资产投资于风险性收入提供更好的政策建议。     

The near-death experience of the celtic tiger

This article narrates Ireland’s recent odyssey from the pride and envy of Europe to kneeling supplicant through the eyes of an econometric model of the government bond market. The exercise suggests that, in essence, two developments triggered and propelled Ireland’s drift towards sovereign default: first, the global financial crisis that drove Ireland into a severe recession with collapsing tax revenues and increasing unemployment; second, a gap between the post-2007 increase in sovereign default risk that can actually be linked to macroeconomic fundamentals and the much bigger increase in perceived risk reflected by high interest rates and communicated by the massive downgrades of Ireland’s sovereign debt rating.     

Risk Management of Nonstandard Basket Options with Different Underlying Assets

Basket options are among the most popular products of the new generation of exotic options. They are particularly attractive because they can efficiently and simultaneously hedge a wide variety of intrinsically different financial risks and are flexible enough to cover all the risks faced by firms. Oddly, the existing literature on basket options considers only standard baskets where all underlying assets are of the same type and hedge the same kind of risk. Moreover, the empirical implementation of basket‐option models remains in its early stages, particularly when the baskets contain different underlying assets. This study focuses on various steps for developing sound risk management of basket options. We first propose a theoretical model of a nonstandard basket option on commodity price with stochastic convenience yield, exchange rate, and domestic and foreign zero‐coupon bonds in a stochastic interest rate setting. We compare the hedging performance of the extended basket option containing different underlying assets with that of a portfolio of individual options. The results show that the basket strategy is more efficient. We apply the maximum likelihood method to estimate the parameters of the basket model and the correlations between variables. Monte Carlo simulations are conducted to examine the performance of the maximum likelihood estimator in finite samples of simulated data. A real‐data study for a nonfinancial firm is presented to illustrate ways practitioners could use the extended basket option. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:299‐326, 2013     

Corporate security prices in structural credit risk models with incomplete information

The paper studies derivative asset analysis in structural credit risk models where the asset value of the firm is not fully observable. It is shown that in order to determine the price dynamics of traded securities, one needs to solve a stochastic filtering problem for the asset value. We transform this problem to a filtering problem for a stopped diffusion process and apply results from the filtering literature to this problem. In this way, we obtain an stochastic partial differential equation characterization for the filter density. Moreover, we characterize the default intensity under incomplete information and determine the price dynamics of traded securities. Armed with these results, we study derivative assets in our setup: We explain how the model can be applied to the pricing of options on traded assets and we discuss dynamic hedging and model calibration. The paper closes with a small simulation study.     

风险态度、金融教育与家庭金融资产选择

文章基于中国城市居民消费金融调查数据,研究了风险态度、金融教育对家庭金融资产选择和家庭金融市场参与的影响。结果发现,风险态度显著影响家庭金融资产组合分散化程度,风险厌恶程度越高,金融资产组合分散化程度越低。风险态度对家庭正规金融市场参与有显著影响,风险厌恶程度的提高会显著降低家庭在股票、基金、债券、储蓄性保险市场的参与概率,风险厌恶程度增加一单位,家庭参与股票市场的可能性会降低10.5%。风险厌恶程度对股票、基金、债券、储蓄性保险资产在家庭金融资产中的比例具有显著的负向影响。家庭的金融教育投入对风险资产持有比重条件分布的影响上,呈先上升后下降趋势,中间分位的要大于两端。文章相应的政策含义是,政府及金融管理部门需要普及金融教育知识,提高居民的金融风险认知水平,从而优化家庭金融资产选择,改善居民金融福利。     

政府资产风险:地方财政风险分析的一个新视角

针对目前研究地方财政风险问题时往往都从负债的角度来考察 ,本文变换了一下研究思路 ,从资产风险的角度来研究我国地方政府财政风险。本文首先定义了地方财政风险和地方政府资产风险概念 ,然后通过界定政府资产的类型 ,即财政收入、政府存量资产和政府无形资产或称政府威信 ,分别考察我国地方政府这三类资产的状况 ,结果发现我国地方政府资产质量不佳 ,存在着很大的风险 ,本文试图探究其原因 ,并为此提出了一些建议。     

Sovereign default, interest rates and political uncertainty in emerging markets

A large body of the empirical literature shows that high turnover rates/length of tenure of policymakers and the degree of conflict within a country affects sovereign spreads, debt and default rates. We help to rationalize such claims by including these political features in a dynamic stochastic small open economy model of sovereign debt and default. In this way we offer a complementary approach to the econometric analyses in the literature. Consistent with the data, the quantitative analysis shows that politically unstable and more polarized economies experience higher default rates and larger level and volatility of sovereign interest rate spreads.     

On the exit value of a forward contract

Default risk associated with forward contracts can be substantial, yet these financial instruments are widely used to hedge price risk. An objectively priced exit option on the forward contract would help reduce the likelihood of litigation associated with contract default. A method is proposed to compute the exit option's value for an arbitrary forward contract, using Black's (1976) model and option premium data. The time series dynamics of the exit option value are confirmed to be, like its underlying, well described by a martingale with heavy‐tailed (Student) GARCH residuals. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29: 179–196, 2009     

Effect of corporate governance on default risk in financial versus nonfinancial firms: Canadian evidence

This paper investigates the influence of corporate governance variables on default risk of Canadian firms after the 2008 financial crisis. We provide evidence that important governance mechanisms have differential impacts between Canadian financial and nonfinancial firms. Ownership structure, (e.g., institutional ownership and insider ownership), has a significant impact on the default risk of financial firms but not on nonfinancial firms. Nonfinancial firms with more independent boards are associated with lower default risk, while financial firms with larger boards and more independent boards have higher default risk. In addition, although cross‐listing in the US reduces the default risk for Canadian nonfinancial firms, it actually increases the risk for Canadian financial firms during the postcrisis period. Copyright © 2016 ASAC. Published by John Wiley & Sons, Ltd.     

Pricing corporate bonds in Brazil: 2000 to 2004

This paper analyzes the factors that influence the issuing price of debentures in Brazil in the period from year 2000 to 2004, applying a factor model, in which exogenous variables explain return and price behavior. The variables in this study include: rating, choice of index, maturity, country risk, basic interest rate, long-term and short-term rate spread, the stock market index, and the foreign exchange rate. Results indicate that the index variable, probability of default and bond's maturity influence pricing and points out associations of long-term bonds with better rating issues.     

What risks do corporate bond put features insure against?

Corporate bond prices are known to be influenced by default and term structure risk in addition to non‐default risks such as illiquidity. Putable corporate bonds allow investors to sell their holdings back to the issuer and may thus provide insurance against all of these risks. We first document empirically that embedded put option values are related to proxies for all three. In a second step, we develop a valuation model that simultaneously captures default and interest rate risk. We use this model to disentangle the reduction in yield spread enjoyed by putable bonds that can be attributed to each risk. Perhaps surprisingly, the most important reduction is due to mitigated default or spread risk, followed by term structure risk. The reduction in the non‐default component is present but rather small.     

中国商业银行信用风险度量研究

信用风险是商业银行面临的主要风险,信用风险的度量模型有专家判断法、信用评分法、神经网络分析法以及现代违约概率模型等。通过比较分析LOGIT模型和KMV模型,选取了能够体现公司盈利能力、营运能力、资本结构、偿债能力、成长能力和现金流量的28个指标,运用逐步回归方法建立LOGIT模型,发现该模型能够提前一年较好地预测出公司的违约情况。在分析KMV模型时,通过GARCH-M模型计算出企业股权价值波动率,并运用上市公司数据得出样本公司的股权价值和违约点,从而计算出样本公司的资产价值和资产价值波动率,最后得出KMV模型的判别结果。上述分析表明我国商业银行应以LOGIT模型作为判别模型,以KMV模型作为追踪模型,将LOGIT模型与KMV模型相结合来判断贷款企业的信用风险水平。