Derivative activities and the risk of international banks: A market index and VaR approach

The results of a comparison of international banks using a three-factor multi-index model and a modified value-at-risk (VaR) analysis indicate that the use of options increases the interest rate beta for all banks, while both interest rate and currency swaps generally reduce risk. The results are the strongest and the most consistent for U.S. dealer banks, followed by European banks, and then Japanese banks. Furthermore, the evidence suggests that the VaR approach to risk management can effectively be used by both domestic as well as international banks, although the results appear to be somewhat sensitive to the regulatory environment in which the bank operates.     

Is Volatility the Best Predictor of Market Crashes?

The objective of this paper is to determine the best predictor of equity market crashes by focusing particularly on volatility and market liquidity. In finance, volatility has traditionally been regarded as the best measure of market risk. However, this paper shows that the forecast value of market liquidity, in particular our modified calculated market depth, predicts equity market crashes much more accurately than does the forecast values of EGARCH or Implied Volatility.     

如何提高我国金融业的国际竞争力

针对经济全球化和我国金融业的对外开放，文章从金融创新、金融风险、金融体制改革等方面论述了我国金融业面对挑战应采取的措施。     

商业银行资金转移定价系统:转移方法、定价模式与实施建议

资金转移定价系统是商业银行进行利率风险管理、产品定价、资源配置、利润核算、绩效评价、优化决策和提高运营效率的重要工具.实施资金转移定价对商业银行经营管理水平的提高以及竞争力的提升具有很大的促进作用,对提高商业银行产品利率敏感性、完善货币政策传导机制具有不可忽视的影响.本文介绍了资金转移定价的模式和方法,比较了各自的优劣,并结合我国商业银行目前面临的内外部环境特征,指出我国商业银行实行资金转移定价必须注意的几个问题.     

Rent, risk, and replication: Preference adaptation in winner-take-all markets

We study the evolution of an economy where agents who are heterogeneous with respect to risk attitudes can either earn a certain income or enter a risky rent-seeking contest. We assume that agents behave rationally given their preferences, but that the population distribution of preferences evolves over time in response to material payoffs. We show that, in particular, initial distributions with full support converge to stationary states where all types are still present. Although rents are perfectly dissipated in material terms at a steady state, efficiency is greater than if everybody had been risk neutral, since risk lovers specialize in rent seeking.     

Scaledt分布、杠杆效应和上证综指的VaR风险

与正态分布相比，上证指数收益率的经验分布具有尖峰厚尾特征，但用Scaled t-分布比正态分布可以更好地拟合上证指数收益率的经验分布。本文以Scaled t-分布假设下的GJR模型为基础，测量了上证指数收益率波动性的杠杆效应，即信息对波动性的不对称影响：并根据GJR模型应用Monte Carlo模拟方法，测定上证指数日收益率和持有期收益率的风险价值（VaR）。根据GJR模型提供的结果，上证指数30天、60天和90天持有期收益率的风险值分别为12．1％、17．8％、22．0％。用GJR模型比均值-方差模型和历史模拟方法计算的5％显著性水平VaR值更接近实际收益率。     

电子商务环境下的内部控制与风险管理

会计职业人员对评估内部控制并实施风险管理的技能已熟知多年。这种经过时间检验并证明行之有效的经验和专业技能是会计职业产业独特影响的知识基础。随着电子商业的发展，尽管目前尚没有统一且标准的定义，但其发展对会计职业却提出了挑战。从某种意义上讲，企业的风险评估增加了很多新的内容，而与之相对应的内部控制也需要进行必要的调整，从而实行风险管理。本文拟就电子商务环境下的内容控制和风险 管理及其手段进行分析。     

Intergovernmental transfers and fiscal behavior insurance versus aggregate discipline

This paper evaluates the trade-off between the advantages of risk sharing and the perils of common pool problems in federal fiscal arrangements. Under the assumption of asymmetric information we evaluate two alternative regimes of intergovernmental transfers. In one regime, the central government pre-commits to a certain level of transfers that compensate vertical fiscal imbalances and provide some limited ex-ante insurance. In the other regime, it accommodates ex-post the fiscal needs of the different provinces. In this second case, full-insurance results, but the economy is subject to a tragedy of the fiscal commons, with excessive subnational spending, insufficient local taxation, and reduced production of federal public goods. We find the range of parameters for which one or the other institutional regime will be preferable. The result is a fiscal-federalism version of the usual trade-off between rules and discretion.     

The relationship between governance structure and risk management approaches in Japanese venture capital firms

This paper attempts to understand what drives Japanese venture capital (JVC) fund managers to select either active managerial monitoring or portfolio diversification to manage their firms' investment risks [J. Bus. Venturing 4 (1989) 231]. Unlike U.S. venture capitalists that use active managerial monitoring to gain private information in order to maximize returns [J. Finance 50 (1995) 301], JVCs have traditionally used portfolio diversification to attenuate investment risks [Hamada, Y., 2001. Nihon no Bencha Kyapitaru no Genkyo (Current State of Japanese Venture Capital), Nihon Bencha Gakkai VC Seminar, May 7]. We found that performance pay is positively related to active monitoring and that management ownership is positively related to active monitoring and negatively related to portfolio diversification. The managerial implication of our study is that venture capitalists should be as concerned about the structure of their incentive systems for their fund managers as they are for their investee-firm entrepreneurs. Agency theory says that contingent compensation is a self-governing mechanism for individual effort that is difficult to measure and verify. When properly applied, equity ownership and performance-based pay can have powerful influencing effects on the strategic choices of managers.