重尾加权和一致尾等价关系下的破产理论

在重尾分布的条件下,随机变量独立,且分布不同,得到一致尾等价关系P(max1≤k≤n∑nk=1θkXk>X)～P(∑nk=1θkXk>X)～∑nk=1p(θkXk>X)并推导出几个具有乘积形式的等价性破产概论。     

关于*-Aluthge变换■(*)的一些性质

设T是复可分希尔伯特空间H上的有界线性算子.算子■和■(*)具有相同的闭值域点,■具有单值扩张性质当且仅当■(*)具有单值扩张性质.■有性质(β)当且仅当■(*)有性质(β).     

DCEP的法律性质厘定

DCEP(Digital Currency Electronic Payment)发行系内外因相互作用下国家政策驱动之结果,系货币政策实施、金融稳定性维护、经济提质增效升级的关键推动力.《中国人民银行法》(修订草案)出台为DCEP发行提供法律依据,亦迈出了相关法律修订之关键一步.但学界对DCEP的法律性质尚存有疑问,有待进一步辨明.具体而言,学界多将DCEP称之为法定数字货币,法律概念存在认识误区;应明确其法定货币法律地位,厘清DCEP为数字人民币的概念.而且,法定货币定位下,DCEP应然法律性质与现行法并非完全吻合,即物权性质非吻合性、法偿性限度困境、身份性与国家公权矛盾.通过法律解释,可对DCEP的物权性质予以释明;通过法律修订,亦能实现法偿性、身份性保护.     

我国损害赔偿金可税性探讨

损害赔偿金是否具备所得性质,此问题与所得定义以及损害赔偿在税法上应当如何被评价息息相关。关于所得的概念,各国税法并无明确定义,学说对所得概念也存有不同理解。而在我国具体实践中,关于损害赔偿金可税性的判断有非所得、应税所得及免税所得三大类,故对于损害赔偿金是否应课征所得税,便容易出现因个案不同而有歧异的认定,影响税法秩序的安定性。本文通过对所得定义的分析,并结合损害赔偿在民法上的功能定位,认为损害赔偿金并非都具有所得性质,并进一步探讨对损害赔偿金课税所涉及的所得类型合理归属问题。     

价值的性质

本文提出了价值的八个性质。阐述了单一价值与非单一价值的概念及关系。说明了价值转移的两种形式。提出了一些价值性质的原则及公式。阐述了交换性、替代性和替换性的几种情况。     

论保险合同的射幸性特征

保险合同的射幸性特征似乎是保险合同的一个众所周知的特点。据考证,当保险制度于19世纪中叶传入中国后,我国学者将描述保险合同性质的“Aleato-ryContract”一词译成了射幸性合同。由此,保险合同具有射幸性特征一说便自然而然地流传到了今天。我国民法将有偿合同分为实定合同及射幸性合同。其中,实定合同在成立时,当事人的给付义务及给付的范围都已确定;而射幸性合同是指当事人一方或双方的给付义务取决于合同成立后约定的偶然事件的发生与否。大部分的有偿合同属于实定合同,     

关于经济学科学性质的思考

关于经济学科学性质的争论由来已久,以科学的狭义概念为标准,经济学既有科学的性质,又有非科学的一面。认识经济学的科学性质,对我们正确理解经济学有重要意义。本文在分析经济学科学性质观点的基础上,对经济学的科学性质和非科学表现进行了分析。     

金融衍生产品法律风险及其管理

一、法律风险的含义与特征对不同的市场参与者而言,法律风险具有不同的含义。企图对法律风险进行一个精确、统一的定义是不可行的。但是,对法律风险的性质进行描述有助于我们对法律风险的识别和控制。哈佛大学法学院访问教授Schuyler K Henderson(2003)认为,法律风险是一个宽泛的、不精确的概念,用来表述因合约条款的不可执行性和     

L-fuzzy拓扑空间中的S-紧性

L-fuzzy拓扑空间中引入了S-紧性的概念,并进一步研究了S-紧性,具体给出了S-紧性的两个充要条件。     

从基本准则看会计准则的国际趋同

一、会计基本准则和财务会计概念框架(一)有重要影响的概念框架。按照美国财务会计准则委员会的解释,财务会计概念框架是一个章程、一套目标与基本原理相互关联有内在逻辑性的体系。这个体系能导致会计准则前后一贯,并指出财务会计与财务报表的性质、作用和局限性。也就是说,财务会计概念框架是一套将目标和有关联的基本概念联结起来的凝固体系,是用来指导并评价会计准则的基本理论框架。其内容主要包括:(1)确认财务会计和财务报告的目标;(2)对财务报表要素作出定义;(3)评估财务会计和会计信息的质量特征;(4)解决如何对财务报表要素的确认、计量和报告;(5)分析某些重大财务会计问题。     

Dilatation monotone risk measures are law invariant

We prove that on an atomless probability space, every dilatation monotone convex risk measure is law invariant. This result, combined with the known ones, shows the equivalence between dilatation monotonicity and important properties of convex risk measures such as law invariance and second-order stochastic monotonicity. We would like to thank Johannes Leitner for helpful discussions. The second author made contributions to this paper while being affiliated to Heriot-Watt University and would like to express special thanks to Mark Owen, whose project (EPSRC grant no. GR/S80202/01) supported this research.     

内地与香港实现职业道德守则等效

2011年11月7日,中国注册会计师协会与香港会计师公会在北京签署职业道德守则等效联合声明,确认内地职业道德守则与香港职业道德守则实现等效。财政部副部长、中国注册会计师协     

Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?

Most countries tax retirement savings according to the EET (exempt contributions, exempt accumulations, taxable withdrawals) regime. Relevant literature recommends the use of TEE (taxable contributions, exempt accumulations, exempt withdrawals) or EET systems and emphasizes their near equivalence. We show that this near equivalence breaks down when considering the tax effects on risk-taking. This paper proves that the TEE regime is risk-taking neutral, while the EET regime does not, in general, respect this property. The argument of risk-taking neutrality thus calls for broadening the use of the TEE configuration.     

Performance of the different RAROC models and their relation with the creation of economic value. A study of the largest banks operating in Brazil

This article approaches several different methodologies for calculation of the RAROC (Risk Adjusted Return on Capital) for Brazilian banks. Two questions gave reason to the study: whether the application of different methods for calculation of the RAROC would generate significantly different results?, and checking what is the connection between the RAROC and the generation of economic value, measured by the EVA (Economic Value Added), for the largest banks with operations in Brazil? The following methodologies for verification of the RAROC were applied: Buch’s Method (2011); Prokopczuk’s Method (2006); Prokopczuk’s Method (2006) with application of the VaR technique; Saunders’s Method (2007); Chapelle’s Method (2008); and the Smithon & Hayt Method (2001), by applying these parametric and non-parametric statistics in order to check the sensibility of the differences between models. This study has evidenced that, when we compare the methodology based on minimum capital with other methodologies, there are no significant differences, except in the few cases indicated. It is important to notice it only occurred in the case of the Bank of Brazil and it was concentrated in the comparison of the Creditmetrics models and in the methodology in which there is equivalence by the reference equity.     

When are origin and destination regimes equivalent?

A series of equivalence results are established which show that a switch from a destination regime of commodity taxation to an origin regime has no real effects. These significantly generalize those in the existing literature. Assuming uniformity of taxes within each country, equivalence applies (1) in a general competitive economy with an arbitrary (finite) number of goods and factors of production, arbitrary factor taxes, and arbitrary transport costs; (2) in an imperfectly competitive economy with any form of imperfect competition and with transport costs; and (3) in monetary economies where there is some price rigidity (such as nominal wage rigidity) as long as the exchange rate is flexible. Conditions under which nonequivalence applies are also identified and discussed.     

李嘉图等价定理的理论回顾和实证研究

1998年以来，我国政府实施了积极的财政政策。这种通过增发国债增加政府支出的积极财政政策能否有效地扩大总需求，即财政政策是否有效，不仅是宏观经济理论的一个核心问题，也是我国今后很长时期内制定宏观经济政策时必须考虑的问题。本文主要对李嘉图等价定理进行回顾性理论分析，并在理论上论证该定理站不住脚，最后通过计量经济分析证明该定理不适用于我国。本文的结论是：税收和国债在我国并非等价，通过增发国债增加政府支出的积极财政政策是有效的。     

Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension

This paper has two purposes. The first is to extend the notions of an n-dimensional semimartingale and its stochastic integral to a piecewise semimartingale of stochastic dimension. The properties of the former carry over largely intact to the latter, avoiding some of the pitfalls of infinite-dimensional stochastic integration. The second purpose is to extend two fundamental theorems of asset pricing (FTAPs): the equivalence of no free lunch with vanishing risk to the existence of an equivalent sigma-martingale measure for the price process, and the equivalence of no arbitrage of the first kind to the existence of an equivalent local martingale deflator for the set of nonnegative wealth processes.     

Tax Competition and Foreign Capital

This paper derives welfare equivalence of double taxation rules in a tax competition model with discriminatory home taxes and the ability to finance subsidiary operations with host country capital. For a more general model, we provide sufficient conditions on the number of host sectors and factors that support double-tax-rule equivalence. Examples violating these conditions help identify economic factors under which a home country has strict preferences over double taxation rules. If the home tax rate can influence host factor prices, the home country weakly prefers deductions over credits as in the pure-home-equity financing case.     

Investment decisions when utility depends on wealth and other attributes

The problem of optimal investment under a multivariate utility function allows for an investor to obtain utility not only from wealth, but other (possibly correlated) attributes. In this paper we implement multivariate mixtures of exponential (mixex) utility to address this problem. These utility functions allow for stochastic risk aversions to differing states of the world. We derive some new results for certainty equivalence in this context. By specifying different distributions for stochastic risk aversions, we are able to derive many known, plus several new utility functions, including models of conditional certainty equivalence and multivariate generalisations of HARA utility, which we call dependent HARA utility. Focusing on the case of asset returns and attributes being multivariate normal, we optimise the asset portfolio, and find that the optimal portfolio consists of the Markowitz portfolio and hedging portfolios. We provide an empirical illustration for an investor with a mixex utility function of wealth and sentiment.