美国信用衍生品交易监管立法及对我国的启示

本文论述信用衍生品主要类别、积极作用及交易蕴含风险,分析评价了2010年7月美国国会通过的包含信用衍生品在内的金融衍生品交易监管立法。我国监管层也有推出信用衍生品的计划,并于2010年11月开始市场试点,在此背景下作者对构建我国信用衍生品监管法律制度提出若干建议:加快制定包括信用衍生品在内的统一的金融衍生品交易监管法,为市场发展奠定法律基础;完善金融监管协调机制;尽快出台相关立法或司法解释以解决《中国银行间市场金融衍生产品交易主协议》有关规定与现行法律冲突的问题;适时修改监管规则以鼓励金融机构更多采用信用衍生品管理风险;逐步引进集中清算方式;改进信用衍生品监管信息披露要求。     

美国ETF监管制度演进：产品创新与制度因应

美国交易所交易基金(ETF)在指数共同基金基础上发展而来,监管者利用豁免机制搭建起监管框架,获得包容创新的制度空间。ETF具有特殊的两级市场内部构造,核心特征在于维持两级市场之间资产净值与交易价格紧密关联的套利机制。随着ETF产品基础资产拓展和运作机制调整,构建于豁免机制之上的监管制度在产品组织形式、流动性保障和信息披露等方面都暴露出缺陷,引发投资者保护和风险防范相关法律争议。近年来,美国持续完善ETF监管框架,在改革豁免机制的同时,以信息披露规则为切入点,积极回应不同市场主体的差异化产品创新需求。当前我国ETF市场正处于快速发展阶段,亦需夯实产品创新的制度保障,建立健全契合ETF特殊性的配套监管制度。     

欧洲高收益债券市场违约风险监管研究

多年以来,欧洲一直是仅次于美国的世界第二大高收益债券市场。除了债券自身信用评级水平之外,欧洲高收益债券违约率的高低与市场监管力度以及宏观金融经济运行状况密切相关。欧洲监管当局把对高收益债券市场的监管重点放在:规范市场信息披露及信用评级标准和行为、保护投资者权益、保持交易行为的规范性和跨国界市场交易衔接处理等方面,这些监管策略的实施对控制市场违约风险起到了积极的作用。欧洲的监管经验对于今后我国高收益债券市场的尝试性推出也极具借鉴意义。     

全球高收益债券市场的发展:格局演变及监管借鉴

高收益债券经过数十年的发展,市场规模日益壮大,已经成为全球债券市场中颇具特色的融资工具。规范的信息披露与信用评级体系、可行的债权破产保护机制、健全的监管法律体系以及严格的监管操作执法是美欧证券市场监管当局控制违约风险、规范高收益债券市场运作的重要保证。在我国尝试推出高收益债券品种,对于推动资本市场多元化进程、解决中小企业融资难题、满足中国实体经济发展的需要都极具现实意义。     

从国际风险监管经验看“正负区间”

国际市场风险的监管和管理方式从发展历史看,外汇市场是完全自律的市场,市场参与者统一遵守行业自律规则。如从事衍生产品交易的银行要遵守ISDA或类似的MASTER AGREEMENT等协议,并自行控制风险。各国临管机构一般不单独针对衍生产品及其交易制定特殊的监管规则,而     

商业银行表外业务信息披露机制重构研究——以资产负债表为例

商业银行混业经营业务的扩展,逐步加剧了风险监管的难度,完善信息披露机制,有利于内外部监管主体更为全面、及时地掌握商业银行经营动态,提高监管的针对性和有效性。然而,商业银行业务经营越来越体现高收益与高风险不对等的衍生特性,混业经营所产生的表外业务,难以在会计准则的规范下得到有效披露,降低监管主体所获取信息的质和量,进而步入商业银行风险监管陷阱。本文以商业银行表外业务信息披露为主体,从信息披露的必要性与可行性、信息披露的原则与目标、信息披露的格式与程序、信息披露的质量评价等方面,重构商业银行表外业务信息披露机制,旨在进一步发挥信息的金融决策功能,从而提升表外业务风险监管的有效性,以此规范商业银行表外业务经营流程与金融秩序。     

我国衍生金融工具会计风险防范探析

随着金融市场的不断发展,金融衍生工具不断创新,已经成为当今国际资本市场不可或缺的重要部分。同时,金融衍生工具的会计确认、计量以及信息披露等都存在一定的风险,也给规避风险带来了挑战。我国2006年颁布的会计准则没有对内容工具的信息披露等做出专门的规定．只是套用针对所有金融工具的准则和规定。本文针对新的国际金融市场特征和新的会计准则．分析了衍生金融工具的风险类型及其特征,以及其能利用会计监管手段加强风险规避等问题。     

金融衍生工具的风险及监管分析

最近几年,金融市场不断发展,为了规避风险,我国的金融衍生产品业务快速增长,但其本身又带来了更大的风险。如何有效监管是我国一直在研究的问题,16年11月28日,银监会《衍生工具交易对手违约风险资产计量规则(征求意见稿)》的发布中亦可看出,金融衍生工具监管问题在我国所受的重视,然而由于我国衍生产品交易起步较晚、基础较差,在很多方面仍存在一系列问题,本文通过分析金融衍生工具的风险以及现在出现的监管方面的问题,提出一系列的改进建议。     

我国衍生金融工具会计风险防范探析

随着金融市场的不断发展,金融衍生工具不断创新,已经成为当今国际资本市场不可或缺的重要部分。同时,金融衍生工具的会计确认、计量以及信息披露等都存在一定的风险,也给规避风险带来了挑战。我国2006年颁布的会计准则没有对内容工具的信息披露等做出专门的规定,只是套用针对所有金融工具的准则和规定。本文针对新的国际金融市场特征和新的会计准则,分析了衍生金融工具的风险类型及其特征,以及其能利用会计监管手段加强风险规避等问题。     

从法律风险分析余额宝的监管问题

由于没有获得销售牌照,支付宝公司将基金买卖嵌入余额宝,只能为基金公司和投资者提供第三方支付结算服务,不能代销基金。这样的代销行为属于监管的模糊地带,因此政府相关部门的政策决定余额宝的发展命运。同时,因货币市场基金容易为了追求高收益造成流动性风险,以及民众在收益上存在认识误区,余额宝存在一定风险。因此,政府亟需明确监管主体,保证信息披露及时完整,也要规范理财产品自身宣传。     

金融风险的信息质量特征与我国金融会计制度改革

本文着眼于巴塞尔新资本协议第三次征求意见稿提出的金融风险监管和信息披露框架,以我国金融会计制度的国际化协调为切入点,分析了信用风险、市场风险和操作风险等金融风险的构成要素,指出现有监管信息系统和会计体系存在的问题.同时,本文还评价了我国新<金融企业会计制度>等规范对金融风险的披露和监管特征,分析了新制度对银行类上市公司所产生的影响,并提出了建立以风险计量会计披露为核心的监管体系的构想.本文最后对协同新巴塞尔协议的监管原则,建立完整的银行业信息披露框架,形成动态信息披露机制提出了一些建议.     

Derivatives use and financial instrument disclosure in the extractives industry

This article documents the use and disclosure of derivatives in the Australian extractives industry. We find that derivatives are used by 23 per cent of our sample, with mitigation of commodity risk and foreign exchange risk being the most common purposes for which derivatives are used. The most common types of derivatives used in the sector for hedging purposes are forward rate agreements and options. Results indicate that derivative use is positively associated with financial risk and firm size. We also examine the relation between firm characteristics and the extent of financial instrument disclosure, using a disclosure index based on the additional requirements in IFRS 7 Financial Instruments: Disclosures. Empirical results reveal that large firms with higher leverage, which use derivatives, and are audited by a Big 4 auditor provide more extensive disclosure of financial instruments.     

Bank Capital and Risk: Is Voluntary Disclosure Enough?

This paper considers whether banks have an incentive to disclose accurate information concerning their risk and capital adequacy. State-of-the-art capital regulation relies on quantitative capital requirements, bank supervision, and public disclosure of information to the markets. Is voluntary regulatory disclosure of risk information sufficient to achieve policy objectives? The game-theoretic model of this paper suggests that voluntary disclosure can be usefully supplemented with other regulatory tools, in particular with direct supervision and financial market discipline.     

商业银行市场风险披露对使用者的决策影响研究

本文从使用者风险分析的角度分析了企业会计准则第37号的市场风险披露对商业银行报表使用者的影响,得出了四个结论:37号准则关于市场风险的定义是恰当的,有利于商业银行报表使用者做出更为有效的风险分析;商业银行报表使用者比准则制定的预期有更为复杂的风险分析;37号准则允许的灵活性要求商业银行报表使用者有较高水平的风险分析能力;37号准则有必要进一步要求商业银行披露特定的对风险分析至关重要的量化信息。本研究以商业银行和市场风险为研究重点,研究结论对其他行业以及其他种类的风险披露也具有一定的扩展意义。     

Corporate risk management,product market competition,and disclosure

This paper studies the effects of hedge disclosure requirements on corporate risk management and product market competition. The analysis is based on a model of market entry and shows that to prevent entry incumbent firms engage in risk management when these activities remain unobserved by outsiders. In the resulting equilibrium, financial markets are well informed and entry is efficient. However, potential attempts for more transparency by additional disclosure requirements introduce a commitment device that provides incumbents with incentives to distort risk management activities thereby influencing entrant beliefs. In equilibrium, firms engage in significant risk-taking. This behavior limits entry and adversely affects the nature of competition in industries.     

Mandatory disclosure and learning from external market participants: Evidence from the JOBS act

This paper examines whether mandatory disclosure affects the extent to which firms learn from external market participants. Conventional wisdom suggests that mandatory disclosure should increase the total amount of information in financial markets. However, disclosure can also reduce investors' incentives to acquire and produce information. Using the JOBS Act to identify variations in disclosure requirements, this paper finds that firms with reduced disclosure requirements attract more informed investors and learn more from financial markets than those with stricter disclosure requirements. This learning is concentrated among firms that attract sophisticated investors, particularly those with industry expertise, and weakens once firms are forced to disclose more information. Overall, the results suggest that one benefit from regulators’ recent efforts to reduce U.S. firm disclosure requirements is an increase in firm learning.     

The economic rationale for the nature and extent of corporate financial disclosure regulation: A critical assessment

The regulatory framework for corporate financial disclosure has been the subject of a large literature, most of which has focused on the economic rationale for disclosure requirements. This extant economic analysis has not led to any definitive conclusions regarding the necessity for disclosure regulation nor has it provided public policy guidance as to the nature and extent of required corporate financial disclosure. It is evident that broader-based analysis and research incorporating relevant social and political (as well as economic) factors is necessary to gauge appropriate public policy for financial information disclosure.     

Do stock prices reflect undisclosed financial statement information? Evidence from the OTCBB

I exploit a regulatory change that mandated that Over-the-Counter Bulletin Board (OTCBB) firms must comply with the reporting requirements of the 1934 Securities Exchange Act. I use this change to examine the association between equity values and financial statement data in voluntary and mandatory disclosure environments. Before the change, disclosure of financial statement information was voluntary for most of these firms. I study firms that initiate SEC filing after the change and classify them as disclosing and nondisclosing based on whether they voluntarily disclosed financial statement information before the regulatory change. In these firms’ initial SEC filings after the eligibility rule, they retroactively disclose financial statement information for the year prior to compliance with the rule. Thus I can observe previously withheld financial data. I find that the choice to voluntarily disclose is negatively associated with firm characteristics related to proprietary costs and with situations in which accounting information plays a less important role in resolving information asymmetry. For nondisclosing firms, I find evidence that equity values reflect financial statement data, even though this information was not publicly available, and that compliance with mandatory SEC disclosure requirements strengthens this association. For disclosing firms, I find evidence that suggests investors viewed their voluntary disclosure of financial statement data as credible and fail to find evidence that compliance with mandatory reporting requirements enhances this association.     

银行监管和股东属性对银行风险的影响——基于新兴经济体的监管数据分析

银行监管按世界银行的标准划分为总体监管和12类分项监管;银行大股东属性包括政府类、金融企业类、外资类等.总体监管可以有效地降低银行风险;大股东为工业类、金融类企业的银行能够更好地控制风险,而家族类银行的风险程度较高;通过对分项监管进行研究可以发现,加强对所有权、资本要求、经营活动限制、外部审计要求、流动性、存款保险制度、退出及监管效率八个方面的监管可降低银行总体风险,而加强准入、内部管理、资产分类配置、信息披露这四类监管反而会增加银行总体风险.     

Risk disclosure and cost of equity: The Spanish case

In this paper we make an empirical study of the relationship between risk disclosure and the cost of equity. In particular, the objective being pursued is to contrast whether or not the cost of equity for the company is related to its financial and non-financial risk disclosure. Our results show no statistically significant relationship between the latter and the cost of equity; and a statistically significant relationship, with a positive sign, between this cost and financial risk disclosure. This suggests that company risk disclosures appear to introduce unknown contingencies and risk factors rather than only update information about known risks.