电子商务的风险管理与审计研究

电子商务尽管现在处于低潮期，但是作为重要的变革力量，它仍然是2l世纪的一个必然趋势。另外，电子商务发展受阻的一个重要原因就是电子商务的安全问题，这一问题影响了消费的决策，也极大地改变了企业的整个风险结构。本从外部审计与内部审计两个角度分析了审计可以在应对电子商务风险中发挥的重要作用。从外部审计来看，数据完整性与机密性是网站审计与认证的重要方面，从内部审计来看，审计应该在包括了电子商务风险的全面风险管理框架内发挥重要的作用。     

The negative trade-off between risk and incentives: Evidence from the american whaling industry

This paper analyzes the trade-off between risk and incentives in the share contracts of the American whaling industry. Using a newly collected panel of 5378 individuals who sailed on more than 1000 whaling voyages from 1855–68, the response of sailors’ compensation to an increase in risk is estimated. The risks used to identify this response resulted from the commerce-raiding naval vessels of the Confederacy during the Civil War. As the Confederate cruisers sailed primarily in the Atlantic, and therefore posed far less of a threat to whaling voyages to other oceans, a quasi-experimental approach focusing on the differences between Atlantic voyages compared to others is implemented. The results are consistent with a negative trade-off between risk and incentives in the industry’s contracts. Moreover, evidence is found of selection among less risk-averse sailors and merchants into riskier voyages during the war.     

Decomposition of Fraud‐Risk Assessments and Auditors' Sensitivity to Fraud Cues*

Practitioners and regulators are concerned that when auditors perceive management's attitude or character as indicative of low fraud risk, they are not sufficiently sensitive to high levels of incentive or opportunity risks in their overall fraud‐risk assessments. In this study, we examine whether a fraud‐triangle decomposition of fraud‐risk assessments (that is, separately assessing attitude, opportunity, and incentive risks prior to assessing overall fraud risk) increases auditors' sensitivity to opportunity and incentive cues when perceptions of management's attitude suggest low fraud risk. In an experiment with 52 practicing audit managers, we find that auditors who decompose fraud‐risk assessments are more sensitive to opportunity and incentive cues when making their overall assessments than auditors who simply make an overall fraud‐risk assessment. However, this increased sensitivity to opportunity and incentive cues appears to happen only when those cues suggest low fraud risk. When opportunity and incentive cues suggest high fraud risk, auditors are equally sensitive to those cues whether they use a decomposition or a holistic approach. We discuss and examine potential explanations for this finding.     

新巴塞尔资本协议下操作风险资本计算方法剖析

为了使监管资本对操作风险具有更高的敏感性,对商业银行资本金进行精确计量并使之与银行潜在经济风险相匹配是新巴塞尔资本协议的主旨。本文对新协议中关于操作风险资本金计算的理论依据和计算方法进行了剖析,有助于建立我国商业银行内部风险管理模型。近年来我国商业银行业也开始了关于操作风险的量化和管理,2004年中国工商银行首次出台了操作风险管理框架,这标志着我国商业银行操作风险管理进入实质阶段。     

公司股份回购负财务效应分析

股份回购早已成为上市公司为配合资本结构决策或股利政策而广泛采用的财务举措,而在我国股份回购无疑也是证券市场上的一项重大制度突破和金融创新。本文首先阐述了股份回购的基本理论,然后结合东北老工业基地公司股份回购的相关情况,着重地分析了股份回购的负财务效应。最后针对股份回购负财务效应分析中所发现的问题,提出了一系列相应的建议和解决措施,使其无论在理论上还是实践上的研究都得到了进一步的完善。     

Game-theoretic properties of Final-Offer Arbitration

Final-Offer Arbitration (FOA) is a dispute settlement procedure in which an arbitrator chooses one side's final position as the resolution. Game-theoretic models of FOA in two-sided interest disputes are reviewed, especially models of the disputants' final offer choices under uncertainty about the arbitrator's preferences. The extent to which the Brams-Merrill Theorem (1986) reveals optimal strategic behavior under FOA, and the implications for efficiency and equity, are assessed. Analysis of a model not satisfying the hypotheses of the Theorem suggests that, for some arbitrators, FOA can have an undesirable tendency. Another game model is used to address the question of how disputants' differential risk-aversion is reflected in their strategic behavior, and in the fairness of FOA outcomes. This calculation clarifies some apparently contradictory empirical evidence about FOA.     

A framework for the analysis of firm risk communication

In this paper, we propose a framework for the analysis of risk communication and an index to measure the quality of risk disclosure. Mainstream literature on voluntary disclosure has emphasized that quantity can be used as a sound proxy for quality. We contend that, in the analysis of the disclosure of risks made by public companies, attention has to be paid not only to how much is disclosed but also to what is disclosed and how.We apply the framework to a sample of nonfinancial companies listed in the ordinary market on the Italian Stock Exchange. To verify that the framework and synthetic index are not influenced by the two factors recognized in the literature as the most powerful drivers of disclosure behavior for listed companies, we use an OLS model. The regression shows that the index of disclosure quantity is not influenced either by size or industry. Thus, the synthetic measure can be used to rank the quality of the disclosure of risks.     

Analysing Perceived Downside Risk: the Component Value‐at‐Risk Framework

Multinational companies face increasing risks arising from external risk factors, e.g. exchange rates, interest rates and commodity prices, which they have learned to hedge using derivatives. However, despite increasing disclosure requirements, a firm's net risk profile may not be transparent to shareholders. We develop the ‘Component Value‐at‐Risk (VaR)’ framework for companies to identify the multi‐dimensional downside risk profile as perceived by shareholders. This framework allows for decomposing downside risk into components that are attributable to each of the underlying risk factors. The firm can compare this perceived VaR, including its composition and dynamics, to an internal VaR based on net exposures as it is known to the company. Any differences may lead to surprises at times of earnings announcements and thus constitute a litigation threat to the firm. It may reduce this information asymmetry through targeted communication efforts.     

关于证券市场投资者风险偏好的实证研究

根据显现偏好理论,投资者的投资行为显现了其内在的风险偏好。在本文中,采用均衡分析方法,以中国证券市场中的指数序列为样本,综合期望收益、方差,自相关系数等统计量,准确反映证券组合的投资价值,揭示市场中投资者作为一个整体所具有的风险偏好和投资组合无差异曲线的形式。