保险公司资产负债管理技术及指标研究

保险公司的经营特点及其所面临的风险决定了资产负债管理是保险业的管理核心之一。上世纪末的利差损问题无疑引起了保险业对资产负债管理的重视。但是目前国内保险业的资产负债管理无论在公司实务上还是监管上仍存在着诸多不足。本文尝试从资产负债管理的历史出发,介绍资产负债管理的理论、监管与实务情况,创新之处在于对大量的公司实务情况进行了调研及梳理,并对理论、实务与监管之间的联系及发展作出了一定的思考。     

资产管理业务的国际比较研究

资产管理业务连接着融资方和投资者,兼具融资属性和投资功能,是金融市场的 重要组成部分。2012年之后,我国资管业务迎来一波快速增长浪潮。但与欧美国家相对成熟的 资产管理业务体系相比,我国的资产管理业务起步较晚,在驱动因素、主要产品、业务模式、 行业监管等方面均具有较为明显的本土特征。本文通过对中外资管业务的系统梳理和横向比 较,以期在借鉴国际经验的基础上,得出有助于完善我国资管业务规制、促进行业健康可持续 发展的建议。     

我国商业银行资产证券化研究

资产证券化起始于上世纪70年代,孵化于美国金融市场,经过几十年的发展,已经成为国际资本市场发展最快、最具生命力的金融工具。资产证券化对于金融市场快速发展的中国同样具有重要意义,有利于优化金融市场结构、增加社会融资渠道,加深金融要素的流通,深化金融领域的创新。本文通过分析资产证券化在我国的发展历程,提出了我国商业银行资产证券化的必要性。     

The Global Asset Management Industry: Competitive Structure and Performance

The asset management industry represents one of the most dynamic parts of the global financial services sector. Funds under institutional management are massive and growing rapidly, particularly as part of the resolution of pension pressures in various parts of the world. The industry is not, however, well understood from the perspective of industrial organization and international competition, which is the focus of this paper. It begins with a schematic of asset management in a national and global flow-of-funds context, identifying the types of asset‐management functions that are performed and how they are linked into the financial system. It then assesses in some detail the three principal sectors of the asset management industry—mutual funds, pension funds, and private-client assets, as well as foundations, endowments, central bank reserves and other large financial pools requiring institutional asset management services. Relevant comparisons are drawn between the United States, Europe, Japan and selected emerging-market countries. This is followed by a discussion of the competitive structure, conduct and performance of the asset management industry, and its impact on global capital markets.     

Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for the Insurance Industry

The number and severity of natural catastrophes has increased dramatically over the last decade. As a result, there is now a shortage of capacity in the property catastrophe insurance industry in the U.S. This article discusses how insurance derivatives, particularly the Chicago Board of Trade's catastrophe options contracts, represent a possible solution to this problem. These new financial instruments enable the capital markets to provide the insurance industry with the reinsurance capacity it needs. The capital markets are willing to perform this role because of the new asset class characteristics of securitized insurance risk: positive excess returns and diversification benefits.
The article also demonstrates how insurance companies can use insurance derivatives such as catastrophe options and catastrophe-linked bonds as effective, low-cost risk management tools. In reviewing the performance of the catastrophe contracts to date, the authors report promising signs of growth and liquidity in these markets.     

European Real Estate Research and Education: Development,Globalization, and Maturity

The last 10 years has seen the rapid development of real estate research in Europe and the development of intra-European contacts and networks. At the same time, U.S. academics have become increasingly interested in European real estate research and strong links have developed between European and U.S. real estate academics. Further links have been established between Australasian and European academics. This, of course, has been set against a background of the globalization of real estate investment and the consequent globalization of real estate research. During the same period, specialist real estate education has developed in a number of European countries and the focus in real estate education in the United Kingdom has changed.     

欧洲主权债务危机演进及对中资银行的启示

受全球金融危机的持续影响和欧元区制度问题的激化,欧洲主权债务危机呈愈演愈烈之势,逐步从边缘国家扩散至核心国家,并从主权债务危机向银行业危机演化。目前,欧元区重债国采取的财务整顿政策难以在短期发挥缩减赤字的作用,反而加大复苏风险;对重债国援助资金总量有限,其发放门槛徒增短期违约风险;欧洲央行购买国债虽有利于缓解危机恶化,但量化宽松的政策与其控制通胀的设立宗旨存在矛盾。在此背景下,中资银行应调整涉欧资产配置,进一步加强国别风险研究和管理,积极稳健地推进国际化经营,打造资产、业务和经营地域多元化的国际化银行。     

Transparency,Value Creation,and Financial Crises

This article reports the findings of the authors' recent study of the impact of the level of corporate transparency on shareholder value creation during periods of financial crisis. Their sample consists of the companies comprising Spain's IBEX 35 stock index during the ten‐year period 2000–2010. The study uses three different measures of earnings management (EM) as inverse indicators of the quality of disclosure and carries out fixed effects regressions that adjust for firm and industry characteristics, two periods of financial crises, and the passage of time. The main findings of the study are that (1) companies with lower disclosure quality have generated less value for their shareholders over long time periods and that (2) the shareholders of companies that were more aggressive in managing their earnings experienced greater wealth destruction during the two financial crises of the last decade. Given the still unfolding impact of the recent global financial crisis, as reflected in the current debt crisis in Western European countries, the authors' study reinforces the importance of the current debate over the benefits and costs of increasing the regulation of financial markets, especially in the areas of transparency and disclosure requirements.     

German bond markets and US monetary policy

Low interest rates have been a major problem for the European life insurance industry. The implementation of Solvency II certainly has forced European life insurers to improve their risk management procedures and to buy long term bonds in order to handle the interest rate risk inherent to their liabilities. As a consequence, the industry meanwhile more or less seems to be able to cope with the problem of low interest rates. However, now the US central bank has started to hike rates. The Bank of Canada meanwhile has followed its southern neighbor. The changed monetary policy environment in North America might create new challenges for asset managers in the European life insurance industry. This paper provides some additional thoughts and empirical evidence about the linkages between US monetary policy and the European bond market employing techniques of time series analysis.     

台湾地区银行保险业之发展

银行保险(Bancassurance)在欧美已盛行多年且深具实效,然在我国台湾地区是一个新兴起的渠道,并正处于发展阶段。近年来台湾地区寿险业之经营面临各种内外在环境变迁影响,获利节节下降,营运困难度增加。加以金融制度开放,致银行、保险、证券间的业务区隔逐渐模糊,如何整合行销资源和突破现有困境以获取最大竞争优势,遂成为寿险业者营运重点。从事银行保险,如能充分发挥双方优势,能为消费者、寿险业及银行业三方带来利益,并可达到三赢的成效。     

Consolidation and efficiency in the financial sector: A review of the international evidence

In response to fundamental changes in regulation and technology, the financial industry is undergoing an unprecedented wave of consolidation. A growing body of empirical literature measures the efficiency gains from mergers and acquisitions; however there is little sense of how the results might depend on the country, industry and time period analyzed. In this paper we review critically works that cover the main sectors of the financial industry (commercial and investment banks, insurance and asset management companies) in the major industrialized countries over the last 20 years, searching for common patterns that transcend national and sectoral peculiarities. We find that consolidation in the financial sector is beneficial up to a relatively small size, but there is little evidence that mergers yield economies of scope or gains in managerial efficiency.     

四十年来中央银行的研究进展及中国的实践

改革开放四十年来,中国金融体系从无到有,发生了翻天覆地的变化,目前已基本建成了与中国特色社会主义市场经济相适应、具有活力和国际竞争力的现代金融体系。这四十年,现代货币经济学和全球中央银行政策实践也发生了深刻变革。作为全球最大的新兴发展加转轨经济体的中央银行,中国人民银行面临的现实约束条件更加复杂,央行的研究为推动中国金融体系发展和央行科学决策提供了可靠支撑,既与世界同步,也具有自己的鲜明特征。本文以世界经济十年左右的周期波动及与之相伴随的货币经济学理论进展和中央银行政策变迁为主线,总结了四十年来中央银行的研究进展和中国经验,旨在进一步推动中央银行的理论研究,更好地促进金融高质量发展。     

Credit markets and financial information

The last decade has seen rapid growth in trading of credit instruments on secondary markets. The ensuing availability of a rich set of credit market data has created a novel environment for testing a variety of financial economic theories. In this discussion, we provide a simple framework for linking asset pricing research using equity and credit market data and offer some suggestions for future archival empirical research aiming to establish relations between financial information and credit markets. Credit instruments are intrinsically linked to equity instruments. The strength of this link varies temporally and cross-sectionally in measurable ways that can, and should be, used to guide future empirical research linking information to credit markets.     

Evaluating the Risks of Modeling Assumptions Used in Risk Measurement

Over the past few years, risk measurement has become an important, high-profile responsibility for most firms in the financial services industry. With advances in academic theory and in technology, financial risk modeling has grown increasingly sophisticated. Most firms rely on a number of models to analyze their market risks (for example, sensitivity to changes in interest rates, exchange rates, commodity prices, and so on) for asset/liability management. But it is critical to recognize that even the most sophisticated models must make assumptions about key parameters that affect the results of the analysis. This so-called “model risk” reflects the fact that in the real world risk factors are unstable and the historical data upon which many modeling inputs are based can change. This paper discusses model risk, gives specific examples of how model risk can affect fixed-income portfolio valuation, and explains why risk measurement should involve stress testing of key modeling assumptions. If the results of a valuation or asset/liability analysis change dramatically given a small change in a modeling assumption, management may wish to reduce the firm’s exposure to that risk factor, as absolute certainty in financial modeling is an unobtainable goal.     

对冲基金及其监管问题研究

近年来,随着金融市场的加速创新和结构性调整,对冲基金的规模也迅速扩张,成为国际金融市场的重要参与者。与传统的资产管理、共同基金相比,对冲基金在投资策略、组织形式等方面具有自己的特点。对冲基金日益扩大的资产规模和自由灵活的投资策略增加了金融市场的流动性、提高了市场效率,但同时也给金融体系带来了新的不稳定因素。2006年以来,对冲基金对金融稳定的影响日益成为全球金融监管者关注的问题。有些国家主张通过间接监管的方式,有些则一直推动加强对对冲基金的直接监管。如何加强对对冲基金的监管,减少对冲基金对金融体系稳定性的负面影响,仍然是全球金融业面临的一项挑战。     

上市公司使用金融衍生品避险动机的实证研究——来自金融保险业的经验证据

以我国2006—2008年金融、保险板块上市公司为研究样本,对我国上市公司使用金融衍生品的避险动机,运用Logstic归进行了研究。结果发现,只有公司规模与金融衍生品需求正相关。表明了我国金融衍生产品市场还处于发展初期,使用金融衍生品的公司参与避险的数量不多,资产规模小的金融机构风险管理经验尤为缺乏。     

行业变革下理财子公司的机遇和挑战

随着资管新规、理财新规和理财子公司管理办法的相继颁布,我国资产管理行业迎来了重大的变革。2019年,理财子公司陆续成立,作为一种全新的资产管理机构,因为体量大、背景深,对整个资管行业将产生重大影响。理财子公司成立于行业发生重大变革的背景下,面临着经营模式转型、关系重新定位、人才系统欠缺、能力亟待提升等方面的挑战,但同时也有市场机遇、政策机遇和转型机遇等方面的有利条件。面对行业变革带来的机遇和挑战,理财子公司要通过做好自身定位、打造合作共赢生态圈、建设三大体系、构筑四大基础,为客户和企业提供一站式金融服务。     

The Asset Management Industry in Asia: Dynamics of Growth,Structure, and Performance

We examine the industrial organization and institutional development of the asset management industry in Asian developing economies—specifically in China, Indonesia, Korea, Malaysia, Singapore, Philippines, and Thailand. We focus on the size and growth of the buy‐side of the respective financial markets, asset allocation, the regulatory environment, and the state of internationalization of the fund management industry in its key components—mutual funds, pension funds, and asset management for high net worth individuals. We link the evolution of professional asset management in these environments to the development of the respective capital markets and to the evolution of corporate governance. We find that the fund management industry occupies a very small niche in domestic financial systems that are dominated by banks. At the same time, we find that its growth has been very rapid in the early 2000s and we suggest that this is likely to persist as the demand for professional management of financial wealth in the region develops and as the pension fund sectors of the respective economies are liberalized to allow larger portions of assets to be invested in collective investment schemes.     

Leveraged Buyouts in the U.K. and Continental Europe: Retrospect and Prospect

The markets for management buyouts in the U.K. and continental Europe have experienced dramatic growth in the past ten years. In the U.K., buyouts accounted for half of the total M&A activity (measured by value) in 2005. And as in the U.S. during the‘80s, the greatest number of U.K. buyouts in recent years have been management‐ and investor‐led acquisitions of divisions of large corporations. In continental Europe, by contrast, the largest fraction of deals has involved the purchase of family‐owned private businesses. But in recent years, increased pressure for shareholder value in countries like France, Netherlands, and even Germany has led to a growing number of buyouts of divisions of listed companies. Like the U.K., continental Europe has also seen a small but growing number of purchases of entire public companies (known as private‐to‐public transactions, or PTPs), including the largest ever buyout in Europe, the €13 billion purchase this year of the Danish corporation TDC. In view of the record levels of capital raised by European private equity funds in recent years‐which, until 2005, exceeded the amounts invested in any given year‐we can expect more growth in private equity investment in the near future. In continental Europe, the prospects for buyouts remain especially strong, given both the pressure from investors to restructure larger corporations and the possibilities for adding value in family‐owned firms. But, as the authors note, today's private equity firms face a number of challenges in earning adequate returns for their investors. One is increased competition. In addition to the increased activity of U.S. private equity firms, local private equity investors are also facing competition from hedge funds and new entrants such as government‐sponsored operators, family offices, and wealthy entrepreneurs. Another major challenge is finding value‐preserving exit vehicles. Although an IPO is an option for the largest buyouts with growth prospects, most buyout investments are harvested either through sales to other companies or, increasingly, other private equity firms. The latter transactions, known as “secondary” buyouts, now account for a significant share of new funds invested by private equity firms across Europe.     

Sources of gains from international portfolio diversification

This paper looks at the determinants of country and industry specific factors in international portfolio returns using a sample of forty eight countries and thirty nine industries over the last three decades. Country factors have remained relatively stable over the sample period while industry factors have significantly increased during the last decade and dropped again since 2000. The importance of industry and country factors is correlated with measures of economic and financial international integration and development. We find that financial market globalization is the main driving force behind the changes in relative magnitude of the different shocks. Country factors are smaller for countries integrated in world financial markets and have declined as the degree of financial integration and the number of countries pursuing financial liberalization has increased. Higher international financial integration within an industry increases the importance of industry factors in explaining returns. Economic integration of production also helps in explaining returns. Countries with a more specialized production activity have higher country shocks.