RAROC和VAR在贷款定价中的综合应用

建立科学的贷款定价机制,对于商业银行的经营具有重大意义。本文是基于VAR技术的RAROC模型为贷款定价。在RAROC模型框架下,用基于Gaussian模型的VAR来测算贷款的经济资本,并应用于RAROC模型。用两模型的相结合,有效综合度量信用风险与市场风险,来为银行贷款合理定价。     

证券投资基金业绩度量模型探析

证券投资基金是中国资本市场上一支重要的力量,对其业绩进行客观评价是一项极其复杂的系统工程。本文试图运用风险调整收益的思想,分别选取风险价值VAR与尾条件期望CVAR的加权平均、以及ARCH模型计算出来的条件异方差作为风险测度指标,建立基金业绩评价模型。     

资本项目开放会引发货币危机吗？

本文运用MS VAR模型研究中国2003年1月—2015年6月资本项目开放与货币危机间的关系。结果表明：整体而言,资本项目开放与货币危机之间存在正相关关系。在高风险条件下,资本项目开放对货币危机的影响越强;在低风险条件下,适度扩大短期资本开放程度有助于降低货币危机压力。样本期内人民币市场大部分时间都处于低度和中度风险状态,处于高度风险状态的时间较短,这和中国经济整体运行情况基本符合。此外,货币危机发出高风险预警信号的期间,大多伴随着利率汇率的大幅波动、快速频繁的资本流动以及FDI和外债余额的急剧增长,表明资本项目开放存在较高的风险隐患。     

基于VAR的房地产投资风险度量方法研究

主要论述了VAR方法在房地产投资风险中的应用。首先分析了应用VAR在我国房地产投资风险中的必要性,再通过计算VAR的方法给出了如何在房地产投资项目中应用VAR度量风险,最后对房地产业应用VAR的前景进行了分析。     

资产重组与资本市场——从企业组织角度考察

资本市场是企业资产重组产生和发展的土壤,资本市场的完善与否直接关系到资产重组的成败.文章首先分析资产重组所面临的风险,然后从风险出发来分析资本市场,得出资本市场主要通过三个方面来解决重组风险,提出资本市场在解决重组风险过程中的具体措施.     

我国资本项目开放与银行体系风险关系的实证研究

基于我国2007年至2016年的季度数据,本文分别测算了我国的资本项目开放程度和银行体系的风险情况,在此基础上构建了VAR模型,并运用格兰杰因果检验和脉冲响应分析方法,对我国资本项目开放程度和银行体系风险之间的关系进行了实证研究,针对得出的实证结果,本文提出了稳步推进资本项目开放进程等几点建议.     

中国货币政策变动对资本市场的影响

货币政策对资本市场的影响是宏观经济领域研究的课题之一。本文对货币政策的溢出效应进行理论分析,通过构建VAR模型,以2008—2015年货币政策中存款准备金变化的数据为样本,实证分析中国货币政策变化与资本市场相互关系的影响。实证研究发现,货币供应量的变动对股市影响比较大,货币政策的制定和实施对资本市场的影响比较明显。货币政策的制定必须充分考虑到对资本市场的影响,并积极完善利率市场化,推进资本市场向纵深发展。     

人民币汇率预测、 中美息差及资本市场开放对股票价格的影响

随着"沪港通"的进一步推进以及人民币加入SDR一篮子货币,国内资本市场与国外资本市场联系愈加紧密.如何在推进资本市场双向开放的同时维护资本市场健康有序发展,已成为我国在推进人民币国际化进程中的重要问题.本文引入汇率预期变量,基于2006年10月-2016年9月的月度数据,通过建立VAR模型,分析人民币汇率预期、 中美息差、 资本账户开放程度与股票价格之间的联动关系.     

保险风险证券化发展研究

保险风险证券化是指将保险风险通过金融有价证券向资本市场转移的过程。本文主要阐述了保险风险证券化的发展动因、特点及运作方式,并在此基础上分析了巨灾风险证券化的定价方法。     

中国应积极发展风险资本市场

周翔日前在《中国资产新闻》报上撰文提出,当前应积极发展我国的风险资本市场。文章认为:风险资本市场属于资本市场的一个部分,风险资本主要是对具有高风险、高收益特性的项目进行投资。由于现代科技的高速发展和人类生活水平的提高,使得产品的周期缩短,淘汰率增高,产品开发与推广的风险也随之加大,从而引起了对风险资本的需求。周文分析说,目前在我国,建立有形的风险资本市场即二板市场,会对促进我国的经济发展起到相当积极的作用。因为,在我国相当多的中小企业中,普遍存在资信差、融资难的问题。加之一些体制上的原因,广大民营企业也被金…     

Spillovers and diversification potential of bank equity returns from developed and emerging America

We examine the network spillovers, portfolio allocation characteristics and diversification potential of bank returns from developed and emerging America. We draw our results by applying a directional spillover index, the tail-event driven network (TENET) and nonlinear portfolio optimization methods on bank returns. We find that the spillovers and connectedness among banks from emerging America are noticeably smaller than those among banks from developed America. The largest emerging market spillover transmitters and receivers are the banks from Brazil, followed by the banks from Chile. The largest developed market spillover transmitter is JP Morgan Chase. The connectedness among banks from developed America is dominated by the banks from the USA, relative to those from Canada. The total connectedness of the emerging market banks is more intensified than that of the banks from developed America due to the effect of the COVID-19 pandemic. The portfolio optimization shows that in developed America, the largest banks from the USA are the largest risk contributors to total portfolio risk, whereas the banks from Canada contribute the least risk. In emerging America, the banks from Brazil contribute the most risk to total portfolio risk while the banks from Peru and one bank from Colombia contribute the least risk. The portfolio of banks from emerging America offers greater diversification potential and lower total portfolio allocation risk.     

论我国商业银行市场退出的法律完善

我国金融机构市场退出的风险突出表现在商业银行上。本文通过比较国内外商业银行市场退出法律制度现状,发现我国商业银行市场退出法律制度尚存在诸多的不足,并就此提出了相应的合理建议,进而完善商业银行市场退出监管法律体系。     

商业银行市场风险预警体系构建及实证分析

2008年爆发的美国次贷危机暴露了商业银行市场风险预警的缺失。本文从宏观和微观两个层面选取12个市场风险预警指标,并结合因子分析方法,对中国商业银行市场风险预警体系进行实证研究,为商业银行市场风险管理实践提供理论指导。     

关于商业银行流动性风险现状的度量

商业银行肩负着为市场提供流动性的重任,但银行同时也将整个社会的流动性冲击集中到了自己身上,存在着很大的风险,所以对其流动性风险的度量是极其重要的。本文试着采用静态指标法从国有商业银行和非国有股份制商业银行两个角度对商业银行流动性风险现状进行度量分析。     

Structural changes,competition and bank stability in Malaysia’s dual banking system

This paper assesses Malaysia’s competition landscape and its risk implications subsequent to conventional banking consolidation and Islamic banking penetration in the aftermath of the 1997/1998 Asian financial crisis. Employing a panel sample of conventional and Islamic commercial banks, it arrives at the following conclusions. First, the consolidation exercise, which has led to a significant reduction in the number of domestic commercial banks, has not stifled banking competition. Second, the paper provides empirical support for the competition-stability relationship, particularly for the conventional banking sector. Islamic banking sector risk appears to be neutral to market competition or market power, although there is limited evidence that it increases with overall market concentration. Finally, the analysis uncovers the risk-increasing effect of the Islamic banking market structure on the conventional banking sector. By contrast, conventional banking market concentration tends to reduce the credit risk of Islamic banks.     

浅谈土地储备项目贷款风险及其对策

目前,项目贷款融资模式是我国土地储备项目的主要融资方式。而我国商业银行对土地储备项目贷款的风险防范意识较为淡漠,风险管理水平也十分有限,对土地储备项目贷款风险的控制主要还是事后控制,没有将土地储备项目贷款风险作为一个整体对象加以预防和控制。因此,本文在分析土地储备项目贷款中各种风险的基础上,提出了可操作的对策方法与途径,可以提高银行土地储备项目贷款管理水平,促进土地市场和金融市场稳定发展。     

Investor protection,regulation and bank risk-taking behavior

This paper examines whether the influence of investor protection on banks’ risk is channeled through banking regulation, and vice-versa, using panel data from a sample of 567 European and US banks for the 2004–2015 period. As banking regulatory factors, we consider capital stringency, activity restrictions and private monitoring, whereas as investor protection factors, we consider the level of shareholder and creditor protection. We find that banking regulation moderates the positive direct influence of investor protection on banks’ risk, while investor protection reinforces the negative direct influence of banking regulation on risk. Moreover, we show that the negative effect of national regulations on banks’ risk is more pronounced during systemic crisis years. Finally, taking into account market competition, we argue that private monitoring only has a direct effect on banks’ risk, whereas the effects of capital stringency and activity restriction are channeled through market competition.     

Asset price volatility and banks

This paper examines the operation of Diamond–Dybvig banks when depositors have access to the asset market. Previous studies have shown that banks are redundant in this environment since it is impossible to prevent the strategic withdrawals. This paper shows that the strategic withdrawals can be prevented if the market risk, due to asset price volatility, is considered. Banks provide deterministic returns to the depositors since the aggregate withdrawals are predictable, and therefore, banks can choose the portfolio such that no asset liquidation is involved. However, an individual consumer with stochastic liquidity need is vulnerable to the price volatility if he holds the asset directly. Therefore, banks improve the consumers’ welfare by providing the insurance against not only the liquidity shock but also the market risk. Banks are not redundant.     

Interbank loans,collateral and modern monetary policy

This study develops a novel agent-based model of the interbank market with endogenous credit risk formation mechanisms. We allow banks to exchange funds through unsecured and secured transactions, which facilitates the flow of funds to the most profitable investment projects. Risk premiums result from banks׳ forecasting rules and depend on past performance of the benchmark risk factors and interest rates. Our model confirms basic stylized facts of the interbank interest rates and volumes. We also find that network structures within the secured market segment are characterized by the presence of dealer banks, while we do not observe similar patterns in the unsecured market. We perturb the model with exogenous shocks and policy scenarios which correspond to unconventional monetary policies.     

Does lending behaviour of banks in emerging economies vary by ownership? Evidence from the Indian banking sector

While much has been discussed about the relationship between ownership and financial performance of banks in emerging markets, literature about cross-ownership differences in credit market behaviour of banks in emerging economies is sparse. Using a portfolio choice model and bank-level data from India for 9 years (1995–96 to 2003–04), we examine banks’ behaviour in the context of credit markets of an emerging market economy. Our results indicate that, in India, the data for the domestic banks fit well the aforementioned portfolio-choice model, especially for private banks, but the model cannot explain the behaviour of foreign banks. In general, allocation of assets between risk-free government securities and risky credit is affected by past allocation patterns, stock exchange listing (for private banks), risk averseness of banks, regulations regarding treatment of NPA, and ability of banks to recover doubtful credit. It is also evident that banks deal with changing levels of systematic risk by altering the ratio of securitized to non-securitized credit.