Estimating the potential impact of requiring a stand-alone board-level risk committee

Motivated by the requirement under the Dodd-Frank Act that all large bank holding companies create a stand-alone, board-level risk committee, this paper investigates the association between such a committee and regulatory risk both before and during the financial crisis. I focus the analysis on the set of banks that did not have a risk committee in place prior to the Dodd-Frank Act, as these are the banks that were most affected by the regulation. I find that matched control banks with a risk committee in place had higher capital ratios during the financial crisis, but lower capital ratios during more stable economic conditions relative to the banks without a risk committee. This paper contributes to the literature by narrowly investigating the effects a board-level risk committee, by focusing on a risk measure that is of interest to the regulators who implemented the new regulation, and by documenting that this association changes over time which highlights the importance of estimating the effects of new regulations across different economic conditions.     

Business model risk and uncertainty factors: Toward building and maintaining profitable and sustainable business models

Business models and business model innovation—and particularly their opportunities—have been a popular topic recently, but we find the extant literature on the subject lacking. The risk and uncertainty aspect typical of business models has not been sufficiently addressed. We draw upon the existing literature and triangulate results with an extensive expert group interview to identify 28 risk and uncertainty factor groups, creating a checklist that can be used as the first step in an integrative business model risk management process for existing and new iterations. With an established process for managing and identifying risk in business models, managers can make more conscious and well-informed decisions.     

Calculated risk? A cybersecurity evaluation tool for SMEs

Small and medium-sized enterprises (SMEs) are among the least mature and most vulnerable in terms of their cybersecurity risk and resilience. In this article, we describe a methodology developed using the National Institute of Standards and Technology’s (NIST) Cybersecurity Framework (CSF) as a starting point. The NIST CSF does not meet all the needs of the SME IT leader, but it offers a solid foundation for a useful evaluation and recommendation methodology. We propose an SME cybersecurity evaluation tool (CET) that consists of a 35-question online survey to be completed by IT leaders to self-rate their maturity within the five NIST framework categories: identify, protect, detect, respond, and recover. We outline this approach to cybersecurity risk management before discussing its effectiveness and implications for practitioners.     

技术创业型企业孵化资本投入的风险管控——来自多案例对比

待孵化的技术创业型企业同时具有概念性技术向差异化产品转化的高风险与产品异质性被认同后溢价评估的高收益特点，导致其投资者多处于隔岸观火却欲罢不能的的孵化投资矛盾中。对孵化资本实施有效的风险管控，成为吸引外部资本投入的关键。基于此，选择在可创概念选育与技术创业孵化领域探索出高成功率路径的概念证明中心、YCombinator和创新工场为研究案例，分析其在创业项目筛选、孵化资金运营等关键环节的风险管控方式，以期完善我国孵化资本管控理论、助力我国商业孵化器提高资金风险管控能力、促进外部资本投入。     

The pro-cyclicality of risk weights for credit exposures: Driven by the retail segment

This paper examines the pro-cyclicality of implicit risk weights of credit exposures and the potential contribution of accommodative monetary policy using data for the Czech Republic. The empirical results indicate that risk weights behave pro-cyclically under the IRB approach and acyclically under the STA approach. The pro-cyclical behaviour of IRB risk weights is caused primarily by the retail exposures, the strongest effects being in the highest and lowest quantiles of risk weights. The risk weights for retail exposures behave pro-cyclically not only with regard to the business cycle, but also with respect to the financial cycle and house price growth. In addition, monetary policy easing contributes to the pro-cyclicality in higher quantiles of risk weights.     

Innovative Credit Guarantee Schemes with equity-for-guarantee swaps

Small and medium-sized enterprises (SMEs) faces much more severe financial constraints compared to large mature companies and it is more vulnerable to market imperfection. To alleviate SMEs’ financial constraints, Public Credit Guarantee Schemes (CGSs) have been introduced and widely used around the world. Having provided a thorough analysis of the effectiveness of the traditional CGSs, we introduce an innovative financing contract, referred to as equity-for-guarantee swap (EGS), with the aim of reducing SMEs’ financial constraints in a more effective way. We show that EGS effectively alleviates SMEs’ severe financial constraints as it transfers the information asymmetry between lenders and SMEs to that between insurers and SMEs We investigate how asset prices vary across time under the EGS contract and analyze insurers’ risk exposure, i.e. value-at-risk (VaR) and expected shortfall (ES), of participating in the EGS contract. Consistent with pecking order theory, SMEs tend to use debt financing first dispite the benefit of a boosted growth rate from private equity financing in our model.     

Consumer acceptance of irradiated food and information disclosure – A retail imperative

There is substantial contribution in the literature for understanding the complex nature of irradiated foods, the growing importance and the controversial views expended by consumers, yet acceptance of these foods for many have not met with optimal recognition. The study extends the theory of planned behaviour antecedents to analyse independent determinants and the influences of risk and trust. The indirect effects are also examined. The study uses multigroup analyses to identify whether consumer's concerns on information for irradiated foods act as moderators in order to provide a better explanatory power.The data was analysed using Structural Equation Modelling on responses obtained from a sample of 322 consumers. The study found that the theory of planned behaviour antecedents successfully predicted behavioural intention for irradiated foods but with some limitations. The findings also demonstrate additional support to show that the robustness of the TPB framework is effective for irradiated foods and addresses the literature calls on research for more theoretical underpinnings. It further addresses retailer implications, as the ultimate decision falls with retailers who assess whether sales for irradiated foods are acceptable depending on consumer demand.     

农户风险感知与施药行为的响应关系研究——基于辽宁省菜农数据的实证检验

本文基于辽宁省蔬菜主产区434户菜农调研数据,运用结构方程模型验证了农户风险感知与施药行为的响应关系。研究结果表明,农户风险感知潜变量正向影响农户的施药行为响应,但是风险感知和施药行为潜变量中各个因子的影响路径和显著程度存在差异;农户是否加入合作社对农户风险感知与施药行为的作用关系起到一定的调节效应。基于研究结论,本文提出风险意识提升、保障条件供给和发展新型农业经营主体三方面的建议。     

Heterogeneous beliefs with herding behaviors and asset pricing in two goods world

We construct a incomplete information equilibrium model with heterogeneous beliefs and herding behaviors to identify their joint effects on the dynamics of asset prices. Herding behaviors make investors revise some of their estimations about expected growth rates of goods streams toward to the other one’s by a manner of weighted average of their own forecast and the other’s. As we expected, herding behaviors generate influences on the Radon Nikodym derivative, that is so-called “sentiment” as in Dumas et al. (2009), and in turn not only impact the dynamics of asset prices but also generate influences on investors’ survivals. We also show that introducing heterogeneous beliefs with herding behaviors permits to explain both the Backus–Smith puzzle and the mixed results about the influences of herding behaviors on asset prices. Moreover, we uncover that herding behaviors have positive influences on stocks’ risk premiums.     

基于动态因子Copula模型的我国银行系统性风险度量

本文基于2007年至2019年我国14家上市银行的股票收益率,构建偏态t-分布动态因子Copula模型,利用时变荷载因子刻画单家银行与整个系统的相关性,计算联合风险概率作为系统性风险整体水平的度量,基于关联性视角提出了新的单家机构系统脆弱性和系统重要性度量指标——系统脆弱性程度和系统重要性程度。该方法充分考虑了银行个体差异性和系统的内在关联性以及收益率的厚尾性和非对称性,从而能够捕捉到更多的信息且兼具时效性。研究表明:银行机构在风险聚集时期相关程度更大,联合风险概率能够准确识别出系统性风险事件且在我国推行宏观审慎评估体系以后有明显降低;整体而言,大型商业银行系统重要性水平最高,同时风险抗压能力也最强;本文使用的度量方法降低了数据获取成本且更具时效性,有助于为宏观审慎差异化监管工作提供借鉴和参考。