产融型企业集团规模经济效应度量模型的构建及其实证研究

在分析产融型企业集团经济效应的表现及形成机理的基础上,对产融型企业集团规模经济效应的度量进行了方法设计,依据国内上市产融型企业集团及其参股金融企业,运用广义超越对数成本函数度量产融型企业集团规模经济效应,实证结果表明,参股金融的产融型企业集团能够较好地实现规模经济效应,其规模经济系数大多超过了1,表明产融型企业集团这一运营模式是具有效率的。     

我国产融结合的发展现状及实证分析

我国的产融结合可以划分为三个阶段、三种模式,我国有很多知名的企业集团正在向产融结合的方向发展.实证分析表明,我国的产融结合仍以信贷关系为主,但正在向产权融合方向发展.我国应当鼓励产融结合型企业集团发展,修订相关法律法规,允许产融双向融合,促进金融机构股权的多元化,成立产业投资基金.     

基于Granger检验的利率波动与商业银行资产负债关系的研究

随着利率市场化的逐步推开,商业银行利率风险呈现出上升趋势,对商业银行利率风险的分析已经成为商业银行风险管理的重要课题。本文采用Granger因果关系检验方法,选取具有代表性的利率指标和银行资产负债项目中的部分变量进行实证研究,探索性的检验了不同利率与银行资产负债项目Granger因果关系,期望能为后续的研究提供一定的基础。     

新常态下促进中央企业产融有序结合的思考

随着金融的市场化改革和基于中央企业自身发展的需要,近些年中央企业纷纷以各种形式涉足金融业。央企产融结合在一定程度上解决了企业集团融资约束问题、提高了资金使用效率、提升了集团企业整体收益并推动了产品创新。但央企产融结合也存在着协同效益低下、产业资本过度依赖金融资本、风险相互传导等问题。在经济结构调整深化的背景下,应坚持以金融服务实体经济为宗旨,聚焦主业,严控风险,有序推进中央企业的产融结合。     

基于Granger检验的利率波动与商业银行资产负债关系的研究

随着利率市场化的逐步推开,商业银行利率风险呈现出上升趋势,对商业银行利率风险的分析已经成为商业银行风险管理的重要课题。本文采用Granger因果关系检验方法,选取具有代表性的利率指标和银行资产负债项目中的部分变量进行实证研究,探索性的检验了不同利率与银行资产负债项目Granger因果关系,期望能为后续的研究提供一定的基础。     

浅谈财务公司协同创效

企业集团是执行国家经济发展战略、贯彻国家产业政策、推动我国经济发展方式转变和产业结构调整的主力军。以服务企业集团为代表的财务公司,也伴随着实体经济这棵大树悄然生长,日益茁壮。财务公司也成为了企业集团产融结合首选的金融企业,特别是对于大型企业集团来说,财务公司的出现无疑对提升集团的资金管理水平,有效降低集团资金使用成本以及防范集团资金风险起到了举足轻重的作用。产融结合逐步成为企业发展的重要路径之一,如何最大限度地挖掘集团资金潜力,如何最大限度地降低集团财务成本,如何最大限度地发挥协同效应成为了财务公司发展永恒的主题。     

国外企业集团产融结合及其对我国大型企业集团的借鉴意义

产业资本和金融资本①的相互渗透和融合,是现代企业集团多角化经营的重要特征之一。纵观国外成功的企业集团的发展历史,几乎可以毫无例外地发现在其发展的一定阶段出现了或多或少的产融之间的结合行为。那么,国外企业集团产融结合有哪些模式,对我国大型企业集团有哪些...     

企业集团财务公司产生的理论动因研究

信贷市场的信息不对称和企业集团内部各成员企业之间的信息不对称导致了企业集团内部资本市场的产生,通过市场配置的交易成本的不断提高促使了企业集团金融市场内部化的发展,企业集团对多样化金融服务的需求加速了产业资本和金融资本的融合。因此,内部资本市场理论、交易成本理论和产融结合理论是企业集团财务公司产生的理论动因。     

利率、公司治理和银行风险承担行为的实证研究

2014年11月22日,央行宣布非对称降息,意图以更间接的方式,在银行等金融机构按市场规则应对的情况下达到政策目标。基于此,本文分析了利率和银行风险承担之间的关系及公司治理因素对这种关系的影响。基于2007年到2013年16家上市商业银行的数据进行实证,结果显示:(1)利率降低会提升银行的风险承担水平;(2)第一股东持股比例上升会增加银行的风险承担水平;(3)第一股东持股比例上升会提高银行风险承担对利率的敏感度。     

国有企业集团财务公司财务金融风险管理研究

随着市场经济的快速发展,国有企业集团财务公司在顺应行业和企业集团的创新发展趋势、积极推进产融结合发展战略方面起到了越来越重要的作用.本文研究了国有企业集团财务公司当前的发展现状,发现存在自身财务金融风险防控体系建设不足、内控有待完善及传染性内部风险等情况,针对性提出国有企业集团财务公司拓展外部资金来源、健全财务金融风险管理和防控体系、完善内控建设以及重视信息化技术运用等建议.     

RISK MANAGEMENT FOR MIDDLE MARKET COMPANIES

This article reinforces the message of the one immediately preceding by showing that small to medium‐sized firms have even stronger (non‐tax) motives for hedging risks than their large corporate counterparts. Although middle market companies have traditionally been viewed as less sophisticated than their larger corporate counterparts in the risk management arena, the authors suggest that such companies have become increasingly receptive to new hedging strategies using derivative products. When used appropriately, such products allow companies to stabilize their periodic operating cash flow by eliminating specific sources of volatility such as fluctuations in interest rates, exchange rates, and commodity prices. Smaller companies recognize that a single swing in a budgeted cost can have a catastrophic effect on an entire budget, whereas a larger company can more easily absorb such a cost. Moreover, because the principal owners of mid‐sized firms often have a substantial part of their net worth tied up in the business, they are likely to have a far stronger interest than typical outside shareholders in using risk management to reduce the volatility of corporate profits and firm value. Perhaps most important to owners whose firms rely on debt financing, the greater cash flow stability resulting from active risk management significantly reduces the possibility of financial distress or bankruptcy. In this article, three representatives of Bank of America's risk management practice discuss three different exposures faced by middle market companies—those arising from changes in interest rates, foreign exchange rates, and commodity prices—and show how these risks can be managed with derivatives. Besides shielding companies from financial trouble, risk management is also likely to improve their access to the money and capital markets. By protecting the firm's access to capital, risk management increases the odds that the firm will not be forced to pass up good investment opportunities because of capital constraints or fear of getting into financial difficulty.     

Communities as a risk in mining: managing community legitimacy

Abstract

Using three cases from mining multinational enterprises (MNEs) in Armenia, this article conceptualises community risk, providing an alternative framework to conventional risk management approaches when managing local community relations. These approaches have been struggling to capture the increasingly complex risks originating from communities – both those who are directly affected by mining activities and the ones who have a vested interest in mining. The article defines two types of community relations which mining companies manage: communities of place (CofP), who live near the mine and are directly affected by its operations, and communities of interest (CofI), who are outside interest groups either opposing or supporting a given project. Community risks arise when CofPs create meaning about the legitimacy of the changes introduced into their physical and social environment, leading them to take action that affects the MNEs’ risk exposure to political, cultural or financial risks. The CofP can present these types of risks by acting alone or in cooperation with the CofI, who often have the resources and knowhow to affect corporate decision-making. The article contributes by defining community risk as an increasingly salient source of uncertainty for mining companies and MNEs in particular. Conceptualising community risk as the lack of legitimacy with these important stakeholder groups enables MNEs to strategise and adopt practices which are adapted to the local context. At the same time it assures investors, political and cultural stakeholders that the communities who have a specific interest in the project accept its impact.     

货币供应量、利率与银行系统性金融风险——基于CoVaR方法的实证研究

在常态化疫情防控的背景下,商业银行系统性金融风险有上升迹象,这对央行实施货币政策工具和力度的把握提出了更高要求。本文利用条件在险值模型检验了我国货币供应量、利率与银行系统性金融风险的关系。研究结果表明,货币供应量和利率与银行系统性风险之间的关系不是线性的,而是U型的,即存在最优的货币供应量和利率能够使商业银行的系统性金融风险最低。当货币供应量和利率小于这个最优组合时,增加货币供应量和提高利率能够有效降低商业银行的系统性金融风险;而当货币供应量和利率大于这个最优组合时,增加货币供应量和提高利率反而会增加银行系统性金融风险,进而降低商业银行的金融稳定性。     

You have more capital than you think

Senior executives typically delegate the responsibility for managing a firm's derivatives portfolio to in-house financial experts and the company's financial advisers. That's a strategic blunder, argues this Nobel laureate, because the inventiveness of modern financial markets makes it possible for companies to double or even triple their capacity to invest in their strategic assets and competencies. Risks fall into two categories: either a company adds value by assuming them on behalf of its shareholders or it does not. By hedging or insuring against non-value-adding risks with derivative securities and contracts, thereby removing them from what the author calls the risk balance sheet, managers can release equity capital for assuming more value-adding risk. This is not just a theoretical possibility. One innovation-the interest rate swap, introduced about 20 years ago-has already enabled the banking industry to dramatically increase its capacity for adding value to each dollar of invested equity capital. With the range of derivative instruments growing, there is no reason why other companies could not similarly remove strategic risks, potentially creating billions of dollars in shareholder value. The possibilities are especially important for private companies that have no access to public equity markets and therefore cannot easily increase their equity capital by issuing more shares. The author describes how derivative contracts of various kinds are already being employed strategically to mitigate or eliminate various risks. He also shows how companies can use the risk balance sheet to identify risks they should not bear directly and to determine how much equity capacity they can release for assuming more value-adding risk.     

美国政府对问题金融机构注资制度的演变及借鉴

本文考察了美国对问题银行注资救助制度的演变及不断完善过程,并对制度内涵及机理进行了研究.政府对濒临倒闭问题金融机构注资救助就是政府干预、防止金融风险扩散的一种手段,但这种手段在制度不健全的情况下也很容易被滥用.滥用会导致个别金融机构将风险向政府转嫁、增加纳税人的负担,同时对市场机制具有很大破坏作用.美国在防止政府干预滥用的制度建设上取得了许多成功经验,这些经验对我国目前正在启动的政府对证券公司的注资具有非常重要的借鉴意义.     

Continuous reporting benefits in the private debt capital market

The study is an experiment, administered over the Internet, measuring the effect that continuous reporting has on a company's ability to secure private debt capital. Specifically, we test whether commercial loan officers would be more willing to increase the probablity of loan acceptance to a mid-sized company operating in a continuous reporting environment than they would a company that operates in a traditional reporting environment. We find that high risk companies providing financial information to the lender on a daily basis have a higher probability of loan acceptance than do companies providing financial information to the lender on a quarterly basis. We did not find any results for low risk companies, suggesting the potential benefits of continuous reporting might not accrue to those type companies. The results were robust for both new and existing banking relationship scenarios. We did not find any results for the interest rate variable. The results of this study have significant implications for companies determined to be high risk. Commercial loans are the life-support for many companies, and failure to secure a line-of-credit could have devastating consequences for these high-risk companies.     

林业上市企业财务风险评价研究——基于因子分析法和聚类分析法

以33家林业上市企业作为样本,通过因子分析法对其2014年的主要财务指标进行分析,识别影响林业企业财务风险的主要因素,构建林业上市企业的财务风险评价模型,对林业上市企业的财务风险程度进行打分和排序;并采用聚类分析法根据样本企业的财务风险程度将林业公司归集为良好、一般、高风险三类。针对林业公司普遍存在的财务风险,应制定相应对策。     

The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application

Credit and interest rate risk are the two most important risks faced by commercial banks in their banking book. In this paper we derive a consistent and comprehensive framework to measure the integrated impact of both risks. By taking account of the repricing characteristics of assets, liabilities and off balance sheet items, we assess the integrated impact of credit and interest rate risk on banks’ economic value and capital adequacy. We then stress test a hypothetical but realistic bank using our framework and show that it is fundamental to measure the impact of credit and interest rate risk jointly.     

Using an Alternative Estimation Method to Perform Comprehensive Empirical Tests: An Application to Interest Rate Risk-Management

Using a sample of 241 U.S. bank holding companies, we test all relevant rationales for corporate risk-management activities related to interest rate risk. Three main results emerge: (1) measurement error and the possibility of multiple influences on the model's proxy variables indicate that the confirmatory factor analysis method can provide a more accurate and comprehensive test of interest rate risk-management rationales than conventional estimation techniques, (2) the corporate risk-management theories most consistently supported are those related to financial distress costs and firm size, and (3) an exogenous factor related to interest rate volatility negatively influences a firm's interest rate risk exposure.     

Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk

Variable annuities are investment vehicles offered by insurance companies that combine a life insurance policy with long-term financial guarantees. These guarantees expose the insurer to market risks, such as volatility and interest rate risks, which can be managed only with a hedging strategy. The objective of this article is to study the effectiveness of dynamic delta-rho hedging strategies for mitigating interest rate risk in variable annuities with either a guaranteed minimum death benefit or guaranteed minimum withdrawal benefit rider. Our analysis centers on three important practical issues: (1) the robustness of delta-rho hedging strategies to model uncertainty, (2) the impact of guarantee features (maturity versus withdrawal benefits) on the performance of the hedging strategy, and (3) the importance of hedging interest rate risk in either a low and stable or rising interest rate environment. Overall, we find that the impact of interest rate risk is equally felt for the two types of products considered, and that interest rate hedges do lead to a significant risk reduction for the insurer, even when the ongoing low interest rate environment is factored in.