巴塞尔新资本协议内部评级法下商业银行道德风险的研究

从作为巴塞尔新资本协议第一支柱的资本充足率要求来看,作为信用风险度的评估手段之一的内部评级法,与“商业银行合规行为”存在内在冲突,会导致商业银行道德风险的发生;但作为第二支柱的监管检查作为一个外部条件,则对商业银行道德风险具有积极的规避效应。而市场约束有构成约束商业银行道德风险的又一层规避墙,并且将对商业银行的监控从监管当局移向市场自身,将有助于提高监管效率。巴塞尔新资本协议对于商业银行道德风险的规避措施,对于中国监管当局推行新巴塞尔资本协议而言,成为防范银行业风险的重要决策依据。     

信用风险转移业务监管措施的国际经验及启示

信用风险转移市场的出现改变了商业银行、保险公司、证券公司等参与机构的风险概况,对金融系统的效率和稳定性产生了深远的影响.近年来,随着市场参与机构的增加和交易复杂性的提高,信用风险转移市场已经成为各国监管当局关注的热点.本文对国外信用风险转移业务的监管措施进行了总结分析,并提出了相应的政策建议.     

金融监管治理:问题、机制与评估

金融监管已从过去强调监管干预和控制发展为监管治理,其治理问题包括政府行为及其效率、央行和存款保险机构与金融监管机构的协调状况、监管与被监管机构间的博弈和寻租行为等引起的金融监管宽容及有害监管,以及因金融监管的巨大外部性导致的监管治理效率评估难度较大等。完善的金融监管治理机制应体现独立性、透明性要求,包括对监管机构的制衡及国际金融监管的协调机制等。     

博弈视角的农村信用社高级管理人员监管机制设计

农村信用社高管与金融监管机构在现实中按照静态的非重复博弈规则行动,而非基于动态的重复博弈,其机会主义行为引起了均衡点的移动.实施有效监管,重在促进重复博弈关系的建立.     

信用风险转移业务监管措施的国际经验及启示

信用风险转移市场的出现改变了商业银行、保险公司、证券公司等参与机构的风险概况,对金融系统的效率和稳定性产生了深远的影响。近年来,随着市场参与机构的增加和交易复杂性的提高,信用风险转移市场已经成为各国监管当局关注的热点。本文对国外信用风险转移业务的监管措施进行了总结分析,并提出了相应的政策建议。     

有限理性下的金融创新与监管研究——基于演化动态博弈模型

进入21世纪后,金融监管机构对日新月异的金融创新产品的监管适度性越来越难以把握,监管的"度"对于一国的金融发展有着举足轻重的影响。本文运用演化动态博弈的相关理论和研究方法,通过构建监管机构与金融机构的动态博弈模型得到相应的演化稳定策略,以此来解释相关博弈方所采取的博弈行为。     

CRT市场信用风险传染机制研究

本文依据信用风险相关理论和信用风险转移的已有研究成果,从CRT市场上信用风险本身和CRT交易过程中的潜在风险、信息不对称下微观银行CRT行为中的道德风险和逆向选择问题以及金融监管、货币政策和金融创新等宏观因素波动3个方面对CRT市场上信用风险传染的作用机理和生成机制进行了深入的理论探讨,以期为我国CRT市场发展和理论研究的进一步深入提供新的思路。     

博弈视角的农村信用社高级管理人员监管机制设计

农村信用社高管与金融监管机构在现实中按照静态的非重复博弈规则行动,而非基于动态的重复博弈,其机会主义行为引起了均衡点的移动。实施有效监管,重在促进重复博弈关系的建立。     

商业银行信用风险的博弈分析

我国商业银行不良贷款居高不下,本文从博弈论的角度分析商业银行信用风险形成原因,由于银行与企业之间“逆向选择类型”和“道德风险类型”原因的存在,使银行在博弈过程中处于“劣势”,因此必须采取一系列措施改变银行所处的被动局面。     

我国商业银行外部监管体系的完善

目前我国商业银行的经营风险主要表现为：国有独资商业银行经营积累的信用风险十分突出；商业银行经营的利率风险逐步扩大；同时，面临的外汇风险将较快增长；商业银行资产负债管理的比率难以达到标准，使商业银行的风险特征更为明显，此外在我国商业银行经营中还存在规范行为，由此带来的经营风险亦不容忽视。加强对商业银行经营风险的管理与防范，笔者认为除了强化商业银行风险防范的内控机制之外，应不断地从完善商业经济的外部监管体系入手，真正建立起央行监管、机构内控、行业自律、社会监督的“四位一体”金融监管体系，达到“标本兼治，立体监督，综合治理”的目标。     

Short-sale refinancing and price adjustment speed to bad news: Evidence from a quasi-natural experiment in China

Short selling may accelerate stock price adjustment to negative news. However, the literature provides mixed evidence for this prediction. Using short-sale refinancing and a staggered difference-in-differences (DID) model, this paper explores the effect of short selling on stock price adjustment. Our results show that (1) short-sale refinancing improves the speed of stock price adjustment to negative news. This result holds after we control for endogeneity. (2) The positive relationship between short-sale refinancing and stock price adjustment speed is significant in subsamples of stocks with higher earnings management or lower accuracy of analyst forecasts, indicating that firms with more opaque information are more likely to be targeted by short sellers. In subsamples of stocks with a higher ownership concentration or lower ownership by institutional investors, short selling is more likely to increase the speed of stock price adjustment, indicating that ownership structure may influence negative news mining. (3) As short-sale refinancing exacerbates the absorption of bad news by stock prices, it increases crash risk. This study enriches the research on the economic consequences of short selling and provides empirical evidence supporting regulations on short selling in China.     

Cost accounting standard and cost accounting systems in Japan. Lessons from the past - recovering lost traditions

This paper aims to show two things. The first is how Japanese culture has contributed to the development of Japanese cost accounting history. The second is to reveal the research possibilities of cost accounting history. This paper also reviews the salient features of several important examples of these aspects of cost accounting practice in Japan. It therefore explores, through some practical illustrations, how and why Japanese cost accounting differs from that found in the West.     

Guidelines for Manuscripts Submitted to The China Journal of Accounting Research

【正】The China Journal of Accounting Research‘‘CJAR’’(ISSN 1755-3091)publishes quarterly.It contains peer-reviewed articles and commentaries on accounting,auditin...     

Shared Standard Setting in the Public Interest:A Strong Model

正The last two decades have been a definitive era in the evolution of the accountancy profession.In the wake of major corporate scandals at the turn of the century,an international public debate arose on the need for more effective and well-considered regulation;this debate then reignited during the global financial and sovereign debt crises.     

HOW TO PUT TOGETHER A COMPLETE PACKAGE

正Many Institute members know they cannot rely purely on technical knowledge and business acumen to remain competitive.As soft skills are increasingly important,Jemelyn Yadao finds out how CPAs can maintain     

Guidelines for Manuscripts Submitted to The China Journal of Accounting Research

正The China Journal of Accounting Research"CJAR"(ISSN 1755-3091)publishes quarterly.It contains peer-reviewed articles and commentaries on accounting,auditing and corporate governance issues that relate to the greater China region.We welcome the submission of both theoretical and empirical research papers pertinent to researchers,regulators and practitioners.Authors should note:     

The China puzzle: Opportunities for accounting research

How can China achieve phenomenal economic growth despite what is considered as 'weak' institutions in market-based economies? Xu(2011) provides a framework to u...     

Bayesian Premium Rating with Latent Structure

We propose a fully Bayesian approach to non-life risk premium rating, based on hierarchical models with latent variables for both claim frequency and claim size. Inference is based on the joint posterior distribution and is performed by Markov Chain Monte Carlo. Rather than plug-in point estimates of all unknown parameters, we take into account all sources of uncertainty simultaneously when the model is used to predict claims and estimate risk premiums. Several models are fitted to both a simulated dataset and a small portfolio regarding theft from cars. We show that interaction among latent variables can improve predictions significantly. We also investigate when interaction is not necessary. We compare our results with those obtained under a standard generalized linear model and show through numerical simulation that geographically located and spatially interacting latent variables can successfully compensate for missing covariates. However, when applied to the real portfolio data, the proposed models are not better than standard models due to the lack of spatial structure in the data.     

Aims and Scope

<正>The focus of the China Journal of Accounting Research is to publish theoretical and empirical research papers that use contemporary research methodologies to...     

Income smoothing and the cost of debt

The literature on income smoothing focuses on the effect of earnings smoothing on the equity market.This paper investigates the effect of income smoothing on th...