韩国KIKO案件的交易结构分析

企业因金融衍生交易遭遇重大损失能否得到法律救济,是当前的热点问题。近年来韩国地方法院以情势变更原则裁决终止尚未履行完毕的KIKO合同,在国际衍生交易市场引发强烈反响,因其可能危及金融衍生交易的合法存续。KIKO合约与中信泰富、深南电的期权合约很相似,分析这类合约有助于我国企业熟悉金融衍生产品游戏规则。梳理KIKO裁决及其国际层面的法律争议,也给我国法律界以诸多启示。     

Incomplete Financial Contracts and Non-contractual Legal Rules: The Case of Debt Capacity and Fraudulent Conveyance Law

This paper illustrates how non-contractual legal rules sometimes alleviate contractual incompleteness. A serious incompleteness in debt contracts is the borrower's ability to fraudulently transfer assets to third parties, rendering the borrower insolvent. The incompleteness arises because contractual remedies are ineffective against third-party transferees who are not bound by the debt contract, while the borrower has no assets to recover. Fraudulent conveyance law is a non-contractual legal rule allowing recovery against these transferees. This increases debt capacity most dramatically for borrowers with highly liquid assets. Without non-contractual legal rules, high liquidation value implies low debt capacity. Journal of Economic Literature Classification Numbers: G32; G38.     

Liars Never Prosper? How Management Misrepresentation Reduces Monitoring Costs

When monitoring is not contractible—so investors monitor only when, at that time, they expect to benefit from doing so—efficient contracts sometimes induce managers to makefalsereports to investors. Because of monitoring discretion, management misrepresentation can produce Pareto improvements by reducing monitoring costs. When costs of renegotiation are small, optimal contracts necessarily induce misrepresentation. Discretionary monitoring also generates an equilibrium role for multiple-security capital structures. When an optimal contract has two investors, securityholder conflict arises endogenously as a means of reducing monitoring costs. It is efficient to write the contract so that one investor's decision to monitor hurts the other investor.Journal of Economic LiteratureClassification Number: G32.     

Hedging Equity-Linked Life Insurance Contracts

Abstract

This paper examines a portfolio of equity-linked life insurance contracts and determines risk-minimizing hedging strategies within a discrete-time setup. As a principal example, I consider the Cox-Ross-Rubinstein model and an equity-linked pure endowment contract under which the policyholder receives max(S_T , K) at time T if he or she is then alive, where S_T is the value of a stock index at the term T of the contract and K is a guarantee stipulated by the contract. In contrast to most of the existing literature, I view the contracts as contingent claims in an incomplete model and discuss the problem of choosing an optimality criterion for hedging strategies. The subsequent analysis leads to a comparison of the risk (measured by the variance of the insurer’s loss) inherent in equity-linked contracts in the two situations where the insurer applies the risk-minimizing strategy and the insurer does not hedge. The paper includes numerical results that can be used to quantify the effect of hedging and describe how this effect varies with the size of the insurance portfolio and assumptions concerning the mortality.     

The economics of earnings manipulation and managerial compensation

This article examines managerial compensation in an environment where managers may take a hidden action that affects the actual earnings of the firm. When realized, these earnings constitute hidden information that is privately observed by the manager, who may expend resources to generate an inflated earnings report. We characterize the optimal managerial compensation contract in this setting, and demonstrate that contracts contingent on reported earnings cannot provide managers with the incentive both to maximize profits and to report those profits honestly. As a result, some degree of earnings management must be tolerated as a necessary part of an efficient agreement.     

Pricing and Hedging of Multi Type Contracts under Multidimensional Risks in Incomplete Markets Modeled by General Itô SDE Systems

The HARA and CARA theory of pricing, and the theory of partial, yet the most conservative hedging, of a single (liquid) tradable derivative contract under multidimensionality of risks in incomplete markets, including markets with non-hedgable interest rate risks, was developed by the author in a recent paper. In the present paper this theory is extended to the general case of simultaneous pricing and hedging of multiple (types of) such contracts. The results are based on the generalization of the “fundamental matrix of derivatives pricing and hedging” to include multiple contracts. Some applications are discussed as well.     

Do equity-based <Emphasis Type="Italic">Sukuk</Emphasis> structures in Islamic capital markets manifest the objectives of Shariah??

The Islamic capital market is an important component of the overall Islamic financial system especially in providing an element of liquidity to the otherwise illiquid assets. Like its conventional counterpart, Islamic capital markets complement the investment role of the Islamic banking sector in raising funds for long-term investment. These long-term investments are facilitated through various Shariah contracts and instruments ensuring efficient mobilisation of resources and their optimal allocation. This article aims at reviewing equity-based Sukuk structure, which is one of the most popular instruments used in Islamic capital market today. This article argues that some innovations made in structuring Sukuk, which try to achieve the same economic outcome like conventional instruments, distort the vision of Islamic economics based on justice and equitability. These visions are deeply inscribed in the objectives of Shariah, also known as Maqasid al-Shariah. This distortion stems from the restricted view of understanding Shariah, by only focussing on the legal forms of a contract rather than the substance especially when structuring a financial product. The overemphasis on form over substance leads to potential abuse of Shariah principles in justifying certain contracts, which in fact are contradictory to the Shariah text and ultimately undermining the higher objectives of Shariah. In the final analysis, this article concludes that the substance of a contract that has greater implications to the realisation of Maqasid al-Shariah should be equally looked into. Otherwise, Islamic finance just appears as an exercise of semantics; the functions and operations are really no different from conventional banks, except in the use of euphemisms to disguise interest and circumvent the many Shariah prohibitions.     

Stairway to heaven or highway to hell: Liquidity,sweat equity,and the uncertain path to ownership

We study a setting in which a principal contracts with an agent to operate a firm over an infinite time horizon when the agent is liquidity constrained and privately observes the sequence of cost realizations. We formulate the principal’s problem as a dynamic program in which the state variable is the agent’s continuation utility, which is naturally interpreted as his equity in the firm. The optimal incentive scheme resembles what is commonly regarded as a sweat equity contract, with all rents back loaded. Payments begin when the agent effectively becomes the owner, and from this point on, all production is efficient. These features are shown to be similar to features common in real‐world work‐to‐own franchising agreements and venture capital contracts.     

Costly contracting in a long‐term relationship

We examine a model of contracting where parties interact repeatedly and can contract at any point in time, but writing formal contracts is costly. A contract can describe the external environment and the parties' behavior in a more or less detailed way, and the cost of writing a contract is proportional to the amount of detail. We consider both formal (externally enforced) and informal (self‐enforcing) contracts. The presence of writing costs has important implications both for the optimal structure of formal contracts, particularly the tradeoff between contingent and spot contracting, and for the interaction between formal and informal contracting. Our model sheds light on these implications and generates a rich set of predictions about the determinants of the optimal mode of contracting.     

Hedging with Two Futures Contracts: Simplicity Pays

We propose to use two futures contracts in hedging an agricultural commodity commitment to solve either the standard delta hedge or the roll‐over issue. Most current literature on dual‐hedge strategies is based on a structured model to reduce roll‐over risk and is somehow difficult to apply for agricultural futures contracts. Instead, we propose to apply a regression based model and a naive rules of thumb for dual‐hedges which are applicable for agricultural commodities. The naive dual strategy stems from the fact that in a large sample of agricultural commodities, De Ville, Dhaene and Sercu (2008) find that GARCH‐based hedges do not perform as well as OLS‐based ones and that we can avoid estimation error with such a simple rule. Our semi‐naive hedge ratios are driven from two conditions: omitting exposure to spot price and minimising the variance of the unexpected basis effects on the portfolio values. We find that, generally, (i) rebalancing helps; (ii) the two‐contract hedging rules do better than the one‐contract counterparts, even for standard delta hedges without rolling‐over; (iii) simplicity pays: the naive rules are the best one–for corn and wheat within the two‐contract group, the semi‐naive rule systematically beats the others and GARCH performs worse than OLS for either one‐contract or two‐contract hedges and for soybeans the traditional naive rule performs nearly as well as OLS. These conclusions are based on the tests on unconditional variance ( Diebold and Mariano, 1995 ) and those on conditional risk ( Giacomini and White, 2006 ).     

Negotiating contract types and contract clauses in the German construction industry during the Third Reich

This article examines the determinants of contractual form and renegotiations in the German construction industry during the Third Reich. At the beginning of World War II, firms dealt with growing uncertainty by convincing procurement agencies either to use cost‐plus contracts or to include an additional risk premium in fixed‐price contracts. In the later years of the war, procurement agencies initiated renegotiations over contract clauses to reduce the extraordinary profits resulting from information rents and high‐risk premiums. This regulatory course undermined the credibility of the regulatory commitment, thereby weakening the incentives of the fixed‐price contracts still in use.     

Insurance contracts portfolios with heterogenous parametric life distributions

In this paper we consider two portfolios: one of m endowment insurance contracts and one of m whole life insurance contracts. We introduce the majorization order, Schur functions, and parametric families of distribution functions. We assume that the owners of the portfolios are exposed to different members of a known parametric family of distributions and study the effect of this stochastic heterogeneity on the premiums and death benefits of the insurance contracts. We show that the premiums paid in both contracts are Schur concave and that the death benefit awarded in the whole life contract is Schur convex. We provide upper and lower bounds for the premiums and for the death benefit, and compute the bounds for four parametric families of distribution functions used frequently in the Actuarial Sciences.     

Colluding through suppliers

This article investigates downstream firms’ ability to collude in a repeated game of competition between supply chains. We show that downstream firms with buyer power can collude more easily in the output market if they also collude on their input supply contracts. More specifically, an implicit agreement on input supply contracts with above‐cost wholesale prices and negative fixed fees (that is, slotting fees) facilitates collusion on downstream prices. Banning information exchange about wholesale prices decreases the scope for collusion. Moreover, high downstream prices are more difficult to sustain if upstream rather than downstream firms make contract offers.     

Exposure Triggers and Allocation Methods: Learning Lessons From Prior Court Rulings

This study provides a review of some of the major court rulings that have shaped and continue to shape the commercial general liability (CGL) market. The evolution of the concepts of "triggers" and allocations systems is examined to gain a perspective on the way in which courts reinterpret contract language to apply to new and emerging exposures. A review of the issues impacting the CGL provides valuable insights into the way court rulings can create a significant impact in the insurance market. A stream of court decisions provides the backdrop for today's challenges, including the reemergence of asbestos claims. The study also fills a gap in the literature related to the crisis in the CGL marketplace and changes in the pricing, regulation, and solvency of insurers operating in those lines. As old risks continue to evolve and new risks emerge, courts have begun to reinterpret liability contracts in much the same way as they reinterpreted contracts with regard to pollution and products in the 1970s and 1980s. Recent rulings related to asbestos and environmental liability underscore the importance of these issues in today's marketplace. By reviewing these events related to the CGL policy, insurers, insureds, and regulators may gain a new perspective on the importance of developing a clear standard wording that will be consistently interpreted in light of new exposures.     

A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities

This paper sets up a model for the valuation of traditional participating life insurance policies. These claims are characterized by their explicit interest rate guarantees and by various embedded option elements, such as bonus and surrender options. Owing to the structure of these contracts, the theory of contingent claims pricing is a particularly well-suited framework for the analysis of their valuation.The eventual benefits (or pay-offs) from the contracts considered crucially depend on the history of returns on the insurance company's assets during the contract period. This path-dependence prohibits the derivation of closed-form valuation formulas but we demonstrate that the dimensionality of the problem can be reduced to allow for the development and implementation of a finite difference algorithm for fast and accurate numerical evaluation of the contracts. We also demonstrate how the fundamental financial model can be extended to allow for mortality risk and we provide a wide range of numerical pricing results.     

The Extra‐Territoriality of the Statutory Stay in an English Administration – Revisited

This note is written by way of an addendum to the author's article on the extra‐territorial scope of the stay imposed in an English administration which was published in this journal last year. 1 In that article, it was argued that the stay imposed in an English administration should be treated by the English courts as applying without territorial limitation but that the courts should nonetheless grant leave to proceed in other jurisdictions in any case where there is no sufficient connection with England. The purpose of this note is to reconsider the issue in the light of the decision of the Privy Council in Stichting Shell Pensioenfonds v Krys 2 on anti‐suit injunctions, where judgement was given some months after publication of the original article. It is suggested that the decision in Shell as to the circumstances in which an anti‐suit injunction will be granted has significantly narrowed the issue but that extra‐territoriality would nonetheless still be a desirable development.     

论在我国保险法上确立合理期待原则

美国保险法上的"满足被保险人的合理期待"的法律理念自提出并被不少国家逐渐接受后,目前已发展成为一种全新的格式合同解释原则."合理期待原则"的产生和存在有其历史背景和理论基础,传统合同救济办法不能对被保险人提供有效救济是其产生的直接动因,保险合同为射幸合同,其所具有的悬殊的对价特征是其产生的根源,在本质上是公平原则的必然...     

Strategic commodity allocation

This article extends the study of the financialization of commodities (Rouwenhorst and Tang [Annu. Rev. Financ. Econ., 2012, 4, 447–467]) by considering an investment in the term structure of commodity futures prices. Specifically, we analyse the benefits of adding a distant commodity futures contract and/or a spot commodity (near month futures contract) to a portfolio of bonds and stocks in a setting similar to Brennan and Schwartz [The use of treasury bill futures in strategic asset allocation programs. In Worldwide Asset and Liability Modeling, edited by W.T. Ziemba and J.M. Mulvey, pp. 205–230, 1998 (Cambridge University Press: Cambridge)]. Our analysis employs an empirical study that covers the post financial crisis period. We show that the spot commodity considerably improves the value of the portfolio. However, an investment in the whole term structure of futures contracts is optimally achieved through high opposite positions in the spot commodity and distant futures contracts. We find that these extreme calendar spreads can result in an inappropriate investment.     

Bondholder-Stockholder Conflict: Contractual Covenants vs. Court-Mediated Ex-Post Settling-Up

Bondholders have failed to respond to corporate restructurings by demanding more protective provisions; in fact, the trend has been toward fewer rather than more restrictive covenants. In this article, we model the use of contractual covenants as a trade-off between contract implementation costs and deadweight efficiency losses. We find that the current lack of restrictive covenants is arguably consistent with rational investor behavior. The key to this conclusion is the recognition that there is an implicit ex-post settlement component to debt contracts, which is enforced by the courts. A look at the behavior of the courts and of bondholders supports our point of view.     

Minimum Rate of Return Guarantees: The Danish Case

We analyze minimum rate of return guarantees for life-insurance (investment) contracts and pension plans with a smooth surplus distribution mechanism. We specifically model the smoothing mechanism used by most Danish life-insurance companies and pension funds. The annual distribution of bonus will be based on this smoothing mechanism after taking the minimum rate of return guarantee into account. In addition, based on the contribution method the customer will receive a final (non-negative) undistributed surplus when the contract matures. We consider two different methods that the company can use to collect payment for issuing these minimum rate of return guarantee contracts: the direct method where the company gets a fixed (percentage) fee of the customer's savings each year, e.g. 0.5% in Denmark, and the indirect method where the company gets a share of the distributed surplus. In both cases we analyze how to set the terms of the contract in order to have a fair contract between an individual customer and the company. Having analyzed the one-customer case, we turn to analyzing the case with two customers. We consider the consequences of pooling the undistributed surplus over two inhomogeneous customers. This implies setting up different mechanisms for distributing final bonus (undistributed surplus) between the customers.