基于风险管理结构视角的保险投资策略研究

保险公司风险管理能力与监管机构监管行为对保险资金运用活动产生影响,最终确定了保险公司的最优投资策略。本文以保险公司投资活动与监管约束为分析要素,以风险管理结构涵盖保险公司风险管理能力,以包含风险管理结构的责任准备金制定表示监管行为,并定义了最优保险投资策略,进而分析风险管理结构、责任准备金制定对最优保险投资策略的内在影响机制。基于风险管理结构的责任准备金制定促使保险公司选取最优投资策略并实现相对应的风险管理结构,监管部门也获取了投资信息并增加了信息的透明性。     

投资风险管理问题与对策分析

<正>企业的投资活动伴随着越来越多的风险和不可预知性,而许多企业却没有建立起自己的一套规避风险的科学模式和先进的风险管理制度,使得企业在投资活动中受到不可估量的损失,投资风险管理问题日益成为研究热点。本文结合企业内外部相关因素对风险投资管理问题进行分析,以期对降低投资风险、加强风险管理提供帮助。     

债券价值决定因素研究

在证券投资过程中，定价和风险管理是最重要的技能，债券投资也不例外。在进行债券投资时，首先要找到那些定价错误的债券，低价买进高价卖出，或通过一些金融工具高价卖空低价买进。然后才是风险管理过程。因此，定价问题在风险管理之前，是投资中很重要的问题。这样在投资债券时，我     

高速公路项目投资风险管理分析

高速公路作为现代化的交通运输通道,对我国社会经济发展具有积极的推动作用,也是我国基础设施的重要组成部分。在政府的大力支持以及民间资本的助力下,高速公路建设实现了跨越式发展。但在实际的项目建设中,投资机会与投资风险并存,需要相关投资企业加强高速公路项目投资风险管理。基于此,文章结合当下高速公路投资项目基本特征,分析其风险种类,提出相应的风险防控措施,希望以此提升高速公路项目投资风险管理水平,为企业投资提供一定的参考。     

我国创业型企业风险投资项目的风险管理研究

本文对我国风险投资项目的风险管理现状及特点进行了分析,指出风险投资存在投资前风险规避不足和信息不对称现象,并提出了风险管理的方式与应对策略。     

编辑荐书

《风险管理》作者在该书中整合了风险管理的全部领域,涵盖了投资与对冲策略,包括创新性的衍生产品、信用风险和证券化技术。引导读者洞悉风险管理的重要问题,侧重给出具体的和有效的技巧和分析。     

现代企业财务风险管理研究

随着科学技术的高速发展,新兴产业剧增,国际化趋势加快,全球竞争日趋激烈,企业面临的环境瞬息万变,财务风险管理理念及技术日益受到瞩目,防范和化解财务风险、提升企业价值成为每一个企业必须重视的问题.本文首先对财务风险进行了界定,接着分析了财务风险的影响因素,进而分析了企业项目投资风险管理和证券投资风险管理.     

基于VaR技术的债券投资的市场风险与流动性风险管理研究

近年来,我国债券市场快速发展,债券市场成为很多投资者的重要投资领域,与此同时债券投资的各种风险也越来越受到投资者的关注。本文采用VaR技术,并借鉴国外先进的风险计量模型对债券投资的市场风险和流动性风险进行准确计量。在此基础之上,利用VaR技术在风险管理中的作用,构建债券机构投资者的风险管理机制。     

基于CDaR的保险资金运用风险管理模型

基于对国内保险资金投资风险测量的主流方法VaR和CVaR模型的缺陷进行分析后,本文提出将新的风险度量方法CDaR模型引入到国内保险资金的投资风险管理实践,结合我国保险资金投资管理条例中的相关投资风险约束条件和国内金融市场的实际情况,并考虑到保险资金的资产负债匹配管理要求,提出了有投资约束条件下的保险资金风险管理拓展模型.     

VaR方法与投资风险管理

随着中国金融市场的不断发展,投资风险也日益成为各种金融机构不能回避的重要问题,运用科学的风险管理手段控制风险已经成为中国各个金融机构的紧迫任务。在各种投资风险管理手段中,VaR方法以其科学性和较广的适用性脱颖而出,成为目前投资管理的流行方法。本文通过一个具体的实例,采用中国股票市场的数据,运用Matlab程序,说明如何通过Var方法进行投资风险管理。     

Stock market risk in the financial crisis

In this paper, we look at the effect of the financial crisis from an angle overlooked to date in the finance literature by investigating composition effects arising from the financial crisis. A composition effect is a change in the market risk of a sector that is caused not by a direct change in that sector but by a change in another sector that affects the composition of the stock market. In the paper we investigate the pre and during crisis market risk of the industrial, banking and utilities sectors. Amongst other results, we find a positive relationship across the G12 countries between the increase in the market risk of industrials during the crisis and both the pre-crisis market risk of the banking sector and the scale of the systemic crisis in a country. The six G12 countries that experienced a major systematic banking crisis are amongst the seven countries with the largest increases in the market risk for industrials. Results drawn from our detailed analysis using US data are consistent with these findings. Finally, we show how the results add to our understanding of the linkages between the financial and real sector and conclude that composition effects of the financial crisis could have a significant chilling effect on investment in industrials, which is in addition to the effect of other linkages already documented.     

Industry characteristics and financial risk contagion

This article proposes a new measure of tail risk spillover: the conditional coexceedance (CCX), defined as the number of joint occurrences of extreme negative returns in an industry, conditional on an extreme negative return in the financial sector. The empirical application provides evidence of significant volatility and tail risk spillovers from the financial sector to many real sectors in the U.S. economy from 2001 to 2011. These spillovers increase in crisis periods. The CCX in a given sector is positively related to its amount of debt financing and negatively related to its valuation and investment. Therefore, real economy sectors—which require relatively high debt financing and whose value and investment activity are relatively lower—are prime candidates for stock price volatility and depreciation in the wake of a financial sector crisis. Evidence also suggests that the higher the industry’s degree of competition, the stronger the tail risk spillover from the financial sector.     

次贷危机后的保险业风险管理问题

2007年美国发生的次级贷危机再次将风险与风险管理的问题摆在了全球金融业面前,而以风险为主营业务的保险业更需要系统思考风险管理对于本行业健康运营的内在意义。本文从风险管理行为动机、非系统性风险的分散、系统性风险的控制三个方面分析了保险业影响危机发生及受到危机冲击的原因,进一步明确了今后保险业风险管理的发展方向,并提出通过建立合理目标、完善信息沟通机制和治理结构等为风险管理提供有效内部支持。     

How did enterprise risk management first appear in the Korean public sector?

This research addresses the rise and fall of the Crisis Management Guideline of Public Organizations (CMGPO) from a historical perspective. In the Korean public sector, as a form of enterprise risk management (ERM), CMGPO is not designed to be merely a tool of financial risk management but also to be a policy tool for crisis management. CMGPO emerged within the conflict between integrated crisis management and dispersed crisis management. The purpose of CMGPO is to bureaucratically integrate the crisis management of public organizations with the governmental crisis management system. ERM as a form of self-regulation is entangled with the pre-existing command and control of the Korean government over integrated crisis management. As a result, CMGPO is characterized as ‘enforced self-regulation’ rather than self-regulation; this is a fundamental idea in ERM.     

Does the equity premium puzzle persist during financial crisis? The case of the French equity market

This paper examines the effects of the financial crisis that began in 2008 on the equity premium of 6 French sector indices. Since the systematic risk coefficient beta remains the most common explanatory element of risk premium in most asset pricing models, we investigate the impact of the crisis on the time-varying beta of the six sector indices cited. We selected daily data from January 2003 to December 2012 and we applied the bivariate MA-GARCH model (BEKK) to estimate time-varying betas for the sector indices. The crisis was marked by increased volatility of the sector indices and the market. This rise in volatility led to an increase in the systematic risk coefficient during the crisis and first post-crisis period for all the major indices. The results are intuitive and corroborate findings in the empirical literature. The increase of the time-varying beta is considered by investors as an additional risk. Therefore, as expected, investors tend to increase their equity premiums to b ear the impact of financial crisis.     

金融危机对欠发达地区金融机构的影响及建议

随着金融危机的不断深化,欠发达地区金融机构尤其是银行业正面临着严峻的考验.经济增长放缓、投资消费信心受挫、资金市场疲软和县域主导产业前景不佳等无不影响着欠发达地区金融机构的经营管理.     

Discretionary Loan Loss Provisions and Systemic Risk in the Banking Industry

This study examines the relation between earnings management through discretionary loan loss provisions (LLPs) and systemic risk in the U. S. banking sector using a large sample of commercial banks from 1996 to 2009. We find that earnings management increases a bank's contribution to systemic crash risk and systemic distress risk, consistent with the notion that earnings management increases information opacity, facilitates bad news hoarding, co‐moves with macroeconomic conditions, and exhibits cross‐sectional correlation and herding in earnings management. However, the effect of earnings management through discretionary LLPs on systemic risk disappears during the crisis period, consistent with weakened earnings management in crisis times. We also find that the same effect strengthens with bank uncertainty and homogenous loans, and weakens in the post‐SOX period, and when banks are audited by Big 4 auditors.     

次贷危机的成因、影响及对金融监管的启示

美国次贷危机愈演愈烈已造成了全球金融危机,究其根源在于次级房屋贷款发放环节。由于包括美国政府、美联储、投资银行、评级机构、保险公司在内的各个市场参与者的共同作用,次级房屋贷款市场迅速膨胀。通过房贷-评级-卖出的证券化过程,次级贷款的风险被散播到了全球的各类投资者。金融监管机构对此次危机负有不可推卸的责任,其传统的最佳标准式的监管理念通过巴塞尔新协议等方式导致了市场行为趋同从而流动性缺失、系统性风险发生、亲周期问题显现。此外,监管机构对于高杠杆率和负债与资产错配的金融机构监管明显不足,也在一定程度上加剧了危机。     

The current economic crisis and international business. Can we say anything meaningful about future scenarios?

The paper starts with a list of stylized facts on economic trends in the last few decades with particular attention to international elements. A very brief analysis of the current economic crisis is then attempted. The root cause, the causa causans, of the excessive growth of the financial sector and the inevitable current crisis is identified in the lack of profitable investment opportunities in advanced capitalist systems. The short-term remedies include a shift in income distribution to increase the consumption component of effective demand; it also includes serious regulation of the financial sector at both national and international levels. In the medium to longer term governments should consider engaging in large investment projects such as alternative sources of energy, transport as well as in public services. This might help to improve conditions for profitable private sector investment, thus benefiting both the workers and the capitalists operating in the real sector at the expense of the rent-seekers. The paper then draws some inference on key elements likely to impact on futures, particularly with respect to internationalization and the two types of innovation identified in the stylized facts: organizational and technological. Inference is drawn with respect to the economic system as well as to economics as a scientific and academic field. The final discussion draws these various elements together.     

美国投资银行危机及其转型剖析

本文通过分析美国投资银行经营模式的缺陷,找出2008年美国投资银行危机及其转型的深刻原因。分析结果显示,融资模式的缺陷、过度依赖高风险业务是美国投资银行危机的内因,而外部监管漏洞放任了投资银行的经营管理,是投资银行危机的重要外因。投资银行危机促使美国主要独立投资银行转型为全能银行经营模式,这是美国银行业发展一个重要的转折点。但危机仅仅是投资银行转型的诱因,全能银行经营模式的相对优势是美国独立投资银行转型的根本原因。