我国商业银行净利差的影响因素及分类研究

本文利用我国21家商业银行1999—2007年的数据,检验了我国商业银行净利差的影响因素,并具体分析了国有银行、股份银行和城市商业银行净利差的决定因素。结果表明,我国商业银行净利差的影响因素包括违约风险、利率风险、流动性水平、风险厌恶程度、暗含利息支付、非利息储备的机会成本、管理质量、市场份额和政策因素,2004年央行改革对国有银行和股份制银行净利差有显著影响。最后,本文针对政策、战略等方面对各类商业银行提出了建议。     

中国上市商业银行信用风险差异性分析

信用风险是商业银行存在的主要风险,如何将信用风险控制在一个较低的水平已成为我国商业银行发展壮大的迫切要求,因此商业银行信用风险研究对于整个银行业有效评估及管理具有非常重要的意义.本文基于2008-2015年我国12家上市商业银行的面板数据,采用变系数估计模型,通过面板数据计算出12家上市商业银行的违约距离,并对影响违约距离的主要因素进行了回归分析.结果表明,资产规模越大的银行对于风险的承受能力越高,因此银行风险越低,违约距离也就越大.存贷比例增加时,贷款减少而存款增加导致信用风险下降,违约距离增加.资产负债率越高,其偿还债务的比例也就越大,因此其风险也就越高,违约距离就会减小.     

关于银行前台业务风险的探讨

在当前商业银行面临的风险中,前台业务风险是非常重要的方面.众多的商业银行发生的经济案件中,基本都涉及到前台业务.银行前台业务风险控制不好,就可能带来管理影响、声誉影响和发展影响.本文通过论述银行前台业务风险的概念、特点、表现形式和特征,提出强化商业银行前台风险防范的具体措施及建立健全银行前台业务风险管理体制,进一步完善银行前台业务风险的内部控制制度,实行科学的银行前台业务风险管理办法,对银行前台业务风险的防范研究进行了有益的探讨.     

公司治理与银行风险承担行为——基于我国上市商业银行的研究

以我国13家上市商业银行为样本,利用2001--2012年的半年度数据,采用非平衡面板模型对我国上市商业银行公司治理与风险承担行为之间的关系进行实证研究。结果表明,股权集中度与银行风险承担呈显著的倒u型关系;第一大股东的政府性质能够约束商业银行的冒险行为;高管人员薪酬越高时,银行的风险承担越小;而董事会规模和董事会独立性等董事会治理因素并没有对银行的风险承担行为产生显著影响。     

高管风险态度与公司风险

基于2006—2011年的数据,文章发现高管风险厌恶程度越高,公司股票波动率越低,主要是通过融资决策和投资决策影响公司风险;另外发现高管风险态度与董事长的风险态度也会相互影响,并导致各公司风险的差异:当两者风险厌恶程度越高,公司风险越低。文章的研究丰富了高管特征对公司影响的相关文献,并对高管聘任具有一定的启示意义。     

我国商业银行利率风险管理现状分析

全球金融危机给我国利率市场化进程带来了严峻挑战,也使我国商业银行面临的利率风险愈加突出.目前我国商业银行常用的的利率风险度量指标主要有利率风险缺口和利率敏感性比率,通过对各大银行2009年这两个指标的比较分析得出,利率风险在我国各银行中不同程度地存在,同时在当前利率风险管理上各商业银行普追采取较为保守的策略.同时,我国商业银行利率风险管理上也存在一些缺陷,比如缺乏利率风险控制的工具,利率风险分散机制等.因此,商业银行要努力将衍生工具及中间业务纳入到利率风险管理中来.     

商业银行公司治理对风险承担水平影响的实证研究

商业银行公司治理致力于解决银行所有者和经营者的委托代理冲突以及银行股东和债权人的利益冲突,进而降低商业银行的风险承担水平。本文以我国10家上市银行2007—2010年的年报为数据来源,对上市银行治理机制对风险承担的影响进行了实证分析。结果表明,股权集中度对风险承担产生了显著影响,前三大股东持股比例越高,风险承担越低;国有股比例、第一大股东性质与银行风险承担负相关;非上市流通股比例与银行风险正相关;董事会规模、独立董事比例与银行风险承担负相关;高管薪酬没有对风险承担产生显著影响。     

浅谈商业银行内部审计独立性

面对目前经济下行的态势,现代商业银行更多的角色是扮演处理风险问题的中介机构,如果风险控制得好,就能最大程度上减少银行的不良率.随着金融行业杠杆效应愈发强烈,其脆弱性也愈发明显,商业银行身在其中,唯有对风险进行准确的识别和量化,才能健康的发展下去.作为商业银行内控体系和风险管理中十分重要的一个环节,内部审计对银行的风险防控有着极其重要的作用,而独立性又是内部控制不可缺少的一环,只有具备了独立性,内部审计工作才能更好的完成其职责.本文将从内部审计及其独立性的理论含义出发,分析我国商业银行目前在内部审计独立性方面的现状和存在的问题,并给出相应的参考意见.     

风险与监管双重影响下的商业银行行为选择

本文运用微观银行理论的产业组织方法，构建了一个含有信用风险和准备金监管要求的风险中性商业银行行为模型。在引入资本监管要求后，借助风险价值（MaR）概念，分析了影响银行行为的因素。结果发现，法定准备金不影响银行的风险行为，但资本监管要求导致风险中性的银行表现出风险厌恶。商业银行有内在的激励去从事风险对冲，并可以从中获益。最后，结合我国的实际情况，提出了银行改革和金融市场建设的相关建议。     

商业银行会计内控制度存在的问题和对策

近几年金融系统案件频繁发生,会计监督乏力是主要原因,防范会计风险也就顺理成章地成为了银行内部控制的重点.本文从分析商业银行会计内部控制的现状入手,提出强化商业银行会计内控制度的必要性和完善商业银行内部会计控制的政策建议,希望能对防范银行会计风险有所借鉴,为会计业务的健康发展服务.     

Convex and decreasing absolute risk aversion is proper

Proper risk aversion, a pivotal concept in the study of behavioral conditions on utility functions, states that an undesirable risk can never be made desirable by the presence of an independent risk. It is well known that standard risk aversion is sufficient for this concept. We show in this short article that convex and decreasing absolute risk aversion is an alternative sufficient condition.     

The effect of decision weights in bargaining problems

Bargaining problems are considered where the preferences of the bargainers deviate from expected utility but can be modelled according to rank-dependent utility theory. Under rank-dependent utility both the utility function and the probability weighting function influence the risk attitude of a decision maker. The same definition of risk aversion leads to two forms of risk aversion: utility risk aversion and probabilistic risk aversion. The main finding is that these two forms can have surprisingly opposite consequences for bargaining solutions that exhibit a weak monotonicity property. In particular, in a large class of bargaining problems both increased utility risk aversion and decreased probabilistic risk aversion of the opponent are advantagous for a player. This is demonstrated for the Kalai-Smorodinsky bargaining solution. The Nash bargaining solution does not behave regularly in this respect.     

An index of loss aversion

To a considerable extent, risk aversion as it is commonly observed is caused by loss aversion. Several indexes of loss aversion have been proposed in the literature. The one proposed in this paper leads to a clear decomposition of risk attitude into three distinct components: basic utility, probability weighting, and loss aversion. The index is independent of the unit of payment. The main theorem shows how the indexes of different decision makers can be compared through observed choices.     

Attitudes to risk and attitudes to uncertainty: experimental evidence

In a series of experiments the interactions among individual attitudes towards risk and uncertainty, the sign of the outcome domain, and the way uncertainty is represented are tested. This is done in a unified framework, eliciting individual values by means of a second price auction. Results confirm the presence of the well-known fourfold pattern of risk attitude (risk aversion for gains and risk seeking for losses at high probability, and risk seeking for gains and risk aversion for losses at low probability) and show that this pattern can also be extended to uncertainty. In the valuation of losses the modal pattern is decreasing risk and uncertainty aversion as the probability of loss increases, while increasing risk and uncertainty aversion is observed for gains. Moreover, it is found that the size of reaction to uncertainty does not depend on the outcome domain, and that it persists in the face of an incentive-compatible mechanism to elicit preferences.     

Ambiguity Aversion and Incompleteness of Financial Markets

It is widely thought that incomes risks can be shared by trading in financial assets. But financial assets typically carry some risk idiosyncratic to them, hence, disposing incomes risk using financial assets will involve buying into the inherent idiosyncratic risk. However, standard theory argues that diversification would reduce the inconvenience of idiosyncratic risk to arbitrarily low levels. This paper shows that this argument is not robust: ambiguity aversion can exacerbate the tension between the two kinds of risks to the point that classes of agents may not want to trade some financial assets. Thus, theoretically, the effect of ambiguity aversion on financial markets is to make the risk sharing opportunities offered by financial markets less complete than it would be otherwise.     

Is it possible to be too risk averse? Considerations for financial management in the public sector

Within the financial management discipline, risk aversion is viewed as ‘secure’ and ‘responsible’. Yet, frequently risk aversion is associated with delays, failure to take action, decreased employee morale and stakeholder frustration. This article considers the role of risk aversion within the public sector and questions whether the risk-averse nature of the organization, coupled with risk-averse leaders can result in negative outcomes for the agency. The article concludes that while risk aversion is important, there are actions that a risk-averse leader can take to minimize the implications of risk-averse behaviour on the organization as a whole.     

Risk Aversion and the Full Costs of Rent-Seeking*

Risk aversion is frequently postulated as one of the factors that lead to under-dissipation of rents. However, the formal analyses which have supported this contention and suggested that the effects can be large have focused solely on the expenditures of contestants, ignoring the associated costs of risk. The paper argues that this omission is wrong in principle, and that when corrected the presence of risk aversion in fact leads to substantial increases in the extent of rent dissipation, although an exception is when there is a very strong combination of risk aversion and asymmetry.     

Increasing returns and unsynchronized wage adjustment in sunspot models of the business cycle

A challenge to models of equilibrium indeterminacy based on increasing returns is that required increasing returns for generating indeterminacy can be implausibly large and rise quickly with the relative risk aversion in labor. We show that unsynchronized wage adjustment via a relative wage effect can both lower the required degree of increasing returns for indeterminacy to a plausible level and make it invariant to the relative risk aversion in labor. Consequently, indeterminacy and sunspot-driven fluctuations can emerge for plausible increasing returns regardless of the relative risk aversion in labor. Our model generates reasonable dynamics in terms of matching the business cycle, and sunspot shocks become more important with labor market friction.     

A note on comparative downside risk aversion

We provide comparative global conditions for downside risk aversion, which are similar to the ones studied by Ross for risk aversion. We define a coefficient of downside risk aversion, and study its local properties.     

Estimation of relative risk aversion across time

This article examines relative risk aversion in the framework of a three-moment asset pricing model that accounts for skewness. Accounting for skewness in calculating risk aversion gives a more accurate series of estimates of risk aversion and helps to reconcile the wide disparity in risk coefficients found in past literature. Risk aversion coefficients are calculated from 1926 to 2014 using stock market returns. This procedure results in a time series of data that can be related to other variables such as real interest rates and changes in demand for various asset classes.