发展中国家的货币错配与汇率制度选择困境

货币错配是诱发发展中国家货币金融危机的一个重要因素,也加大了危机的解决成本。货币错配问题的形成是内外因素双重作用的结果,长期实行的“软”钉住汇率制度是其中的一个重要原因。发展中国家普遍遇到了货币错配与汇率制度选择的两难困境,僵硬的汇率制度为货币错配风险的累积提供了正向激励,加深了货币错配,货币错配程度的加深强化了汇率制度的“浮动恐惧”,必须采取有效措施走出这个困境。     

国外通胀指数债券的发展、运作机理及借鉴

政府通胀指数债券作为债券市场的一种债券品种创新,具有能够帮助投资者规避长期国债投资的购买力风险、降低国债发行成本并有利于国债的顺利发行、为宏观经济调控提供有用信息等优势,我国应适时推出通胀指数债券以促进国债市场的发展。     

2006年石油价格展望

本文对影响2006年石油价格的因素做了系统分析。认为2006年形成油价风险的主要动因已从需求的波动转向供给的波动;2006年油价将由于供求的脆弱平衡维持高位运行的格局,并且,由于供给链中潜在的危机,油价波动性将会非常大;但在全球经济增速下降、石油需求增长放缓、石油生产国家和公司仍然在努力满足市场需求、炼油瓶颈有望缓和的大背景下,油价在2006年按2005年可比价格计不会大幅上升,不会对全球经济产生重大负面影响。     

美国证券法对衍生交易市场风险披露的监管及借鉴——以SEC“305规则”体制的监管要求为视角

在以市场风险披露为基础的衍生交易监管政策下,SEC的“305规则”体制由定量、定性信息披露要求与前瞻性信息披露的安全港规则有机构成。我国应当借鉴先进的风险监管规则,构建创新的衍生工具市场风险披露法律框架,并解决好创新规则实施过程中的成本-收益权衡问题、收益波动性问题。     

The Future of Financial Reporting: Insights from Research

Research offers insights that, if heeded and built upon, could improve financial reporting, thereby contributing to a more prosperous society. In particular, research suggests improvement could stem from greater use of fair value; a performance statement designed to reveal the information embedded in changes in fair value; better information to help investors assess the value of intangible assets; more specific information about risk and uncertainty; information that is unbiased, rather than conservative; acceptance of a degree of earnings management together with a determination of how much earnings management is acceptable; and a financial reporting package designed to convey information users need, which presumably is broader than today's financial statements.     

Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model

In this paper, we consider the problem of optimal investment by an insurer. The wealth of the insurer is described by a Cramér–Lundberg process. The insurer invests in a market consisting of a bank account and m risky assets. The mean returns and volatilities of the risky assets depend linearly on economic factors that are formulated as the solutions of linear stochastic differential equations. Moreover, the insurer preferences are exponential. With this setting, a Hamilton–Jacobi–Bellman equation that is derived via a dynamic programming approach has an explicit solution found by solving the matrix Riccati equation. Hence, the optimal strategy can be constructed explicitly. Finally, we present some numerical results related to the value function and the ruin probability using the optimal strategy.     

寿险公司的业务同质化与风险联动性

单家机构之间的业务趋同是否是金融业系统性风险的一个来源？近些年中国单家寿险公司的产品分布和地理分布均更加分散,但是公司之间的产品分布和地理分布均有“同质化”趋势,且公司之间在赔付风险、投资风险和破产风险上的联动性均提高。对此,本文分析了寿险公司业务同质化引起风险联动性的机理,探讨了几种可能的效应。基于公司配对样本,并从时间上和地理上引入工具变量处理业务同质度的内生性,发现:(1)当两家寿险公司的产品分布从完全差别到完全相同时,它们的投资风险联动性和破产风险联动性均将提高十几个百分点;(2)产品同质度对赔付风险联动性没有显著影响;(3)地理同质化对3种风险联动性均没有显著影响。     

Sociology,risk and the environment: a material-semiotic approach

Abstract

Sociology has made significant contributions to the conceptualisation of risk and critique of technical risk analysis. It has, however, unintentionally reinforced the division of labour between the natural/technical and social sciences in risk analysis. This paper argues that the problem with conceptualisations of risk is not a misplaced emphasis on calculation. Rather, it is that we have not adequately dealt with ontological distinctions implicit in both sociological and technical work on risk between material or objective risks and our socially mediated understandings and interpretations of those risks. While acknowledging that risks are simultaneously social and technical, sociologists have not, in practice, provided the conceptual and methodological tools to apprehend risk in a less dualistic manner. This limits our ability both to analyse actors and processes outside the social domain and to explore the recursive relationships between risk calculus, social action and the material outcomes of risk. In response, this paper develops a material-semiotic conceptualisation of risk and provides an assessment of its relevance to more sociologically informed risk governance. It introduces the ideas of co-constitution, emergent entities and enactment as instruments for reconciling the material and social worlds in a sociological study of risk. It further illustrates the application of a material-semiotic approach using these concepts in the nuclear industry. In deconstructing social–material dualisms in the sociology of risk, this paper argues that a material-semiotic conceptualisation of risk enables both technical and social perspectives on risk not only to coexist but to collaborate, widening the scope for interdisciplinary research.     

Learning minimum variance discrete hedging directly from the market

Option hedging is a critical risk management problem in finance. In the Black–Scholes model, it has been recognized that computing a hedging position from the sensitivity of the calibrated model option value function is inadequate in minimizing variance of the option hedge risk, as it fails to capture the model parameter dependence on the underlying price (see e.g. Coleman et al., J. Risk, 2001, 5(6), 63–89; Hull and White, J. Bank. Finance, 2017, 82, 180–190). In this paper, we demonstrate that this issue can exist generally when determining hedging position from the sensitivity of the option function, either calibrated from a parametric model from current option prices or estimated nonparametricaly from historical option prices. Consequently, the sensitivity of the estimated model option function typically does not minimize variance of the hedge risk, even instantaneously. We propose a data-driven approach to directly learn a hedging function from the market data by minimizing variance of the local hedge risk. Using the S&P 500 index daily option data for more than a decade ending in August 2015, we show that the proposed method outperforms the parametric minimum variance hedging method proposed in Hull and White [J. Bank. Finance, 2017, 82, 180–190], as well as minimum variance hedging corrective techniques based on stochastic volatility or local volatility models. Furthermore, we show that the proposed approach achieves significant gain over the implied BS delta hedging for weekly and monthly hedging.     

金融行业对实体行业的尾部风险传导研究——基于实体企业金融化视角

本文基于我国金融资本超额回报率的事实,在市场套利分析框架下实证检验了实 体企业金融化是抑制还是加剧了尾部金融风险溢出。数值模拟结果表明：从杠杆率来看,实体 企业金融化对杠杆率具有“双刃剑”效应,然而,实证结果发现,从长期经济后果来看,实体 企业金融化却显著提高了杠杆率,基于Altman-Z值的风险分析进一步发现企业破产风险显著 上升,从而加剧了尾部金融风险溢出。文章的研究结论有利于全面观察实体企业金融化带来的 的实际效果,也揭示了金融行业对实体行业的风险传导过程中的一个风险源,对于实体经济和 金融领域关于企业金融化效应的研究具有参考价值。