风险传染的信息识别——基于网络借贷市场的实证

基于清华大学金融科技研究院互联网金融研究中心网络借贷平台数据库与网贷之家相关平台统计数据,通过构建Logit模型与Cox比例风险回归模型来研究2015年12月e租宝事件和2018年6月备案延期后的“爆雷”现象,本文着重考察投资者是否具备根据信息披露程度识别问题平台和正常平台的能力。本文发现,第一,信息披露程度是影响平台风险的重要因素:信息披露程度越高的平台,其运营时间越长,出现问题的可能性越低。第二,信息披露程度越高的平台对抗风险的能力越强。风险传染期内,信息披露程度较高的平台,其成交量受市场负面情绪的影响较小。上述两点表明,总体而言,投资者重视平台披露的信息,并具备一定的信息识别能力。最后本研究也发现,上述两次风险事件期出现的问题平台是市场出清所需,它们和正常运营平台存在较大差异,尚无证据表明大量正常平台被拖累成问题平台。     

‘It’s a Harsh Fact of Life with the RMA’: neo-liberalism and the realities of community sports facility development by the private sector in New Zealand

Despite the importance of facilities as primary sites for delivery of leisure and sport services, there has been a scarcity of academic literature on the provision of community sports facilities and the processes through which they are developed. In particular, this paper provides empirical analysis of leisure facility provision with a focus on practice and experience of policy and planning actors. By employing a case study approach and semi-structured interviews, the study identified a sharp contrast between the discourse of neo-liberalism and the realities of a highly regulated environment for the private sector under a national legislation of New Zealand, namely the Resource Management Act 1991. While both public and private actors recognised benefits of the resource consent process in mitigating the negative environmental impacts and facilitating public input, the findings also revealed its potential impediments to both private and philanthropic developments and their potential resultant benefits to communities and social citizenship due to its costly, restrictive and undifferentiated nature. Consequently, the paper suggests that future research needs to examine empirical evidence of how social citizenship and citizen engagement are enhanced by both public and private sectors through planning and development of community sports facilities and services.     

卫健系统干部培训课程体系常见问题及完善之道

全面质量管理是干部教育培训项目实现持续改进的基础,课程设计作为干部培训体系的关键环节,直接影响着干部培训的成效。就课程体系而言,PDCA循环注重基于培训要求的专题策划、满足学习需求的课程设计、完善管理服务的过程控制以及回应培训评估的改进处理。近年来,上海市卫生局党校立足培训需求,强化培训管理,增强培训实效,不断开创干部教育培训新局面,为上海市卫生健康系统干部培训作出了重要贡献,但在课程体系设计、执行和评估等方面也存在改进空间,可以通过强化政治训练、加强师资队伍建设、创新培训方式、完善培训评估等途径,进一步提高干部培训实效。     

TrAffic LIght system for systemic Stress: TALIS3

For the purposes of financial stability, identifying financial institutions that, when in distress, could have a significant adverse impact on financial markets is important. A TrAffic LIght System for Systemic Stress (TALIS-cube) is proposed that provides a comprehensive color-based classification for grouping companies according to both the stress reaction level of the system when the company is in distress and the company’s stress level. TALIS³ can integrate multiple signals from the interaction between different risk metrics. Starting from specific risk indicators, companies are classified by combining two loss functions—one for the system and one for each company—evaluated over time and as a cross section. An aggregated index is also obtained from the color-based classification of companies. TALIS³ can be used to enhance the performance and robustness of existing systemic risk measures. An empirical analysis of the U.S. market is also provided.     

特大城市特种设备安全双重预防标准体系与试点——以上海为例

上海作为国际特大城市,特种设备数量多、占比高,安全形势严峻。近年来,上海就特种设备风险分级管控和隐患排查治理的双重预防性工作机制开展试点,构建起工作标准体系。以制定规范性指导文件为纲,从风险管控、隐患排查和使用单位安全管理评价三个方向延伸,制定相应的具体工作标准,并将试点中采集到的隐患、风险案例,以信息化的手段集成为数据库,用以指导督查工作的标准化,实现隐患与风险的识别,对形成特大型城市特种设备隐患排查、风险管控的标准体系进行有益的探索。     

风险层级决策体系下的财务共享中心权责研究

由共享思想衍生的财务共享服务在当前的我国大型企业中已经得到较广泛的运用,当企业的业务线撤销财务权力后,所带来的财务共享中心的权责问题成为了阻碍财务共享服务提升流程处理效率的因素之一。通过对决策事件进行影响度以及风险性的划分并形成决策矩阵,探析在不同组织层级下财务共享中心的具体决策权之所在以及财务共享中心对于企业应急事件信息处理的反应系统,以期为财务共享中心的权责问题决策提供参考。     

Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network

This paper investigates the systemic risk spillovers and connectedness in the sectoral tail risk network of Chinese stock market, and explores the transmission mechanism of systemic risk spillovers by block models. Based on conditional value at risk (CoVaR) and single index model (SIM) quantile regression technique, we analyse the tail risk connectedness and find that during market crashes, stock market exposes to more systemic risk and more connectedness. Further, the orthogonal pulse function shows that Herfindahl-Hirschman Index (HHI) of edges has a significant positive effect on systemic risk, but the impact shows a certain lagging feature. Besides, the directional connectedness of sectors shows that systemic risk receivers and transmitters vary across time, and we adopt PageRank index to identify systemically important sector released by utilities and financial sectors. Finally, by block model we find that the tail risk network of Chinese sectors can be divided into four different spillover function blocks. The role of blocks and the spatial spillover transmission path between risk blocks are time-varying. Our results provide useful and positive implications for market participants and policy makers dealing with investment diversification and tracing the paths of risk shock transmission.     

Risk aversion,public disclosure,and partially informed outsiders

In this paper, we examine the impact of public disclosure and partially informed outsiders on a risk-averse insider’s trading behavior, market efficiency, and market depth. In our model, under disclosure requirements, except for the final auction, market depth is the same at every auction. When informed outsiders are risk-neutral, in contrast to the case of a risk-averse insider with no informed outsiders, the insider is more concerned about the uncertainty about future price risk. When the number of informed outsiders increases, market liquidity improves, and the insider increases the variance of her random component to conceal her trading strategy. However, since the insider is relatively more risk-averse, she pays less attention to doing this on her own. Besides, the order flow provided by informed outsiders and randomly added by the insider injects additional liquidity into the market. When informed outsiders are risk-averse, compared to risk-neutral informed outsiders, an insider is most concerned about trading risks brought by informed outsiders at the beginning of trading. Furthermore, whether the trader is an insider or informed outsider, the more risk-averse trader has lower expected profits. Moreover, outsiders’ greater risk aversion leads to a smaller market depth.     

Time-varying beta in functional factor models: Evidence from China

In this paper, we introduce a functional method to investigate how betas change over time in factor models. Based on the China A-share data, we drop the constant beta assumption in the CAPM and multi-factor models to estimate the time-varying betas directly from the functional data regression. The empirical results show that exposures to all risk factors have certain time-varying patterns in the Chinese A-share stock market.     

Modelling demand for lotto using a novel method of correcting for endogeneity

Modelling lottery sales as a function of the mean, standard deviation and skewness of the probability distribution of returns potentially gives insights into how the design of a game could be modified to maximise net revenue. But use of OLS is problematic because the level of sales itself affects values of the moments (and insufficient instruments are available for IV regression). We draw on the concept of a rational expectations equilibrium, developing a new regression model which corrects for endogeneity where the causal impact of the dependent variable on the right-hand side variables is deterministic. We apply the model to data on lotto sales from Spain. Using the Spanish data, we show that results provide more reliable guidance to lottery agencies because accounting for endogeneity leads to significantly different results from OLS and these results have superior performance in out-of-sample forecasting of sales. More generally, results prove consistent with the Friedman-Savage explanation of why people buy lottery tickets and with evidence from racetrack data that ‘bettors love skewness’.