风险承担、风险缓冲与管理理念——关于信托公司风险管理的思考

由于信托制度的独特设计,信托公司或直接或间接均要承担信托财产损失风险,从近期来看,信托公司应构建以资本金为核心的风险缓冲机制。从长期来看,引入业绩评价基准,进行相对业绩评价是信托公司风险缓冲的必然选择。信托公司在风险管理时应树立两个理念,一是要将风险管理列为企业管理活动的核心,二是要认识到风险管理是一项长期性的工作,不能寄希望“毕其功于一役”。     

Take a risk: Preferring prevention over control of biological invaders

Scientists have argued that invasive species can be managed most cost effectively with greater investments in prevention. Further, under ideas like the precautionary principle it is reasonable to expect that a cautious manager would use more prevention relative to control because it keeps more invaders out. Yet, this is not typically done. In many cases, private and public resources are invested primarily to control existing invaders rather than to prevent new invasions. Managers frequently wait until after invaders have arrived and then scramble to limit the damages. We believe these paradoxical decisions can be understood by recognizing the link between typical human preferences for risk bearing and the technology of risk reduction. We demonstrate quantitatively how managers perceived to be cautious or averse to risk tend to shy away from prevention relative to control. This counterintuitive result arises because control is a safer choice than prevention because its productivity is relatively less risky: it works to remove existing invaders from the system. In contrast, the productivity of prevention is more uncertain because prevention only reduces the chance of invasion, it does not eliminate it, and invasion may not occur even in the absence of prevention. Managers' averse to risk will inherently avoid as much uncertainty as possible, whether the source of uncertainty regards ecological outcomes or economic productivity. Implications for environmental decision making are clear. In invasive species management, if managers act as though they are risk averse, their caution can backfire when it leads to more control rather than prevention. The social consequences of this choice are a greater probability of future invasions and lower social welfare. Our results suggest that social welfare is highest when managers were willing to “take a risk” with prevention.     

论我国资产证券化的风险防范

资产证券化存在着许多风险，尤其在我国，由于缺乏相关的法律法规、市场环境及中介机构，资产证券化的运行会蕴涵着更大的风险。必须充分认识这些风险并采取相应的措施，才能降低我国资产证券化的运行风险，促使我国资产证券化顺利进行。     

Playing safe in coordination games:: the roles of risk dominance, payoff dominance, and history of play

This paper presents results from a series of experiments designed to test the impact on subject behavior of changes in the risk dominance and payoff dominance characteristics of two player coordination games. The main finding is that changes in risk dominance significantly affect play of the subjects, whereas changes in the level of payoff dominance do not. Observed history of play also has an important influence on subject behavior, both when subjects are randomly rematched after each game and when they remain matched with the same individual for a sequence of games.     

社会资本发展对企业财务的影响分析

社会资本理论于80年代晚期才引起理论界的广泛关注,此后又引入企业社会资本概念。社会资本的积累直接关系到企业的生存与发展,本文将社会资本理论应用于财务领域,从收益和风险两方面探讨了企业投资于社会资本应考虑的问题,为企业有目的地构建社会资本做初步分析。     

中国股票市场市盈率的检验分析

市盈率高低是我国股市的关注焦点之一。本文在比较国外证券市场的市盈率之后认为我国的市盈率偏高。这种推测得到我们理论研究和模型结论的支持,我国股市市盈率由于系统风险的掩藏、股票初始发行价偏高和股市投机性等因素而呈现较高的倍数。从2004年我国股市市盈率开始下降,逐渐接近我们模型的估计值。此外,我们实证分析认为,市盈率的高低与GDP增长、股票收益波动和国有股比重等因素不存在严格的变动关系,市盈率呈现出一种随机游走的态势,市盈率不是稳定的区间值,而是一系列的动态的时间序列变量值。     

中国银行业不良资产证券化信用风险评价研究

本文首先论述了国际通用的各信用风险模型的适用条件，提出改进的KMV模型作为度量我国不良资产证券化信用风险的模型。同时，提出了计算其违约概率的方法。然后根据我国不良资产的实际情况，建立了一个具有普遍性的模拟的不良资产包，分析其证券化中各个不同发债规模下的信用风险，得出其资产变现收入在对数正态分布下和真实分布中的违约概率，为我国不良资产证券化的风险控制在一定程度上提供了理论依据和技术支持。     

On the informational content of advice: a theoretical and experimental study

This paper examines the market for advice and the underlying perception that advice is useful and informative. We do this by first providing a theoretical examination of the informational content of advice and then by setting up a series of experimental markets where this advice is sold. In these markets we provide bidders with a demographic profile of the “experts” offering advice.The results of our experiment generate several interesting findings. The raw bid data suggest that subjects bid significantly more for data than they do for advice. Second, in the market for advice there appears to be no consensus as to who are the best advisors although on average economists demand the highest mean price and women suffer a discount. In addition, we find that whether a subject suffers from a representativeness bias in the way he or she processes data has an impact on how he or she bids for advice and on his or her willingness to follow it once offered. Finally, we find that on average people impute a low level of informativeness onto advice, consistent with their bidding behavior for data versus advice.This work was done under grant number SES-0425118 of the National Science Foundation. The authors would like to recognize the Center for Experimental Social Science at New York University for its additional support. We also acknowledge the help of Elizabeth Potamites for her research assistance.     

More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model

Summary. This paper studies monotone risk aversion, the aversion to monotone, mean-preserving increase in risk (Quiggin [21]), in the Rank Dependent Expected Utility (RDEU) model. This model replaces expected utility by another functional, characterized by two functions, a utility function u in conjunction with a probability-perception function f. Monotone mean-preserving increases in risk are closely related to the notion of comparative dispersion introduced by Bickel and Lehmann [3,4] in Non-parametric Statistics. We present a characterization of the pairs (u,f) of monotone risk averse decision makers, based on an index of greediness G _u of the utility function u and an index of pessimism P _f of the probability perception function f: the decision maker is monotone risk averse if and only if . The index of greediness (non-concavity) of u is the supremum of taken over . The index of pessimism of f is the infimum of taken over 0 < v < 1. Thus, , with G _u = 1 iff u is concave. If then , i.e., f is majorized by the identity function. Since P _f = 1 for Expected Utility maximizers, forces u to be concave in this case; thus, the characterization of risk aversion as is a direct generalization from EU to RDEU. A novel element is that concavity of u is not necessary. In fact, u must be concave only if P _f = 1.Received: 10 April 2001, Revised: 18 November 2003, JEL Classification Numbers: D81. Correspondence to: Michéle CohenAlain Chateauneuf, Michéle Cohen, Isaac Meilijson: We are most grateful to Mark Machina, Peter Wakker and two anonymous referees for very helpful suggestions and comments.     

Discrepancies between ex ante and ex post efficiency under identical subjective probabilities

Summary. Starr (1973) showed that, if people have different subjective probabilities, ex ante and ex post efficiency conflict. Conversely, under the simple preferences that he considered, the discrepancy between ex ante and ex post efficiency disappears when subjective probabilities are identical. Here I consider identical subjective probabilities, but more general preferences. First, risk attraction is admitted. Second, I dispense with the double requirement (dubbed IZU) of additive separability and state-independence of the utility of zero-date consumption, an unrealistic requirement when modeling the investment in durable goods. I find that, under IZU, and as long as ex post preferences satisfy the natural assumption of quasiconcavity (and satisfy some technical qualifications), an ex ante efficient allocation is indeed ex post efficient, but the converse is not necessarily true under risk attraction. If, on the other hand, IZU is violated, then one can have ex ante efficient allocations that are not ex post efficient, and vice-versa, even under risk aversion. Received: June 25, 1999; revised version: March 2001