Precautionary Demand for Education, Inequality, and Technological Progress

This paper offers an explanation for the evolution of wage inequality within and between industries and education groups over the past several decades. The model is based on the disproportionate depreciation of technology-specific skills versus general skills due to technological progress, which occurs randomly across sectors. Consistent with empirical evidence, the model predicts that increasing randomness is the primary source of inequality growth within uneducated workers, whereas inequality growth within educated workers is determined more by changes in the composition and return to ability. Increasing randomness generates a precautionary demand for education, which we show empirically to be significant.     

Recovering Risky Technologies Using the Almost Ideal Demand System: An Application to U.S. Banking

We present and estimate a model that shifts the focus of modeling production from the traditional assumptions of profit maximization and cost minimization to a more general assumption of managerial utility maximization that can incorporate risk incentives into the analysis of production and recover value-maximizing technologies. We implement the model using the almost ideal demand system. In addition, we use the model to measure efficiency in a more general way that can incorporate a concern for the market value of firms assets and equity and identify value-maximizing firms. This shift in focus bridges the gap between the risk incentives literature in banking that ignores the microeconomics of production and the production literature that ignores the relationship between production decisions and risk. Our estimation of the model for a sample of U.S. commercial banks illustrates that results obtained from our generalized model can differ significantly from those obtained from the standard profit-maximization model, which ignores risk.     

Mercantilism and Imperialism in the Rise and Decline of the Dutch and British Economies 1585-1815

This essay locates the rise and relative decline of the economy of the Netherlands over the period l585-l8l5 in geopolitics. It has used the rise of Britain, l688-1815 as a point of reference and for bilateral comparison, in order to validate a hypothesis that the degree of avoidable decline had less to do with inefficiencies in the economic sphere, but flowed essentially from political failures to countervail blatant and violent challenges from the new nation's mercantilist rivals – particularly France but also Britain. I concluded that a similar pattern of political complacency, cultural inertia and liberal myopia marked the response of imperial Britain to the threat from Germany after its reunification in l870.     

抵押风险分析和抵押贷款违约损失率研究

违约损失率是BaselⅡ规定的六大风险指标之一,而抵押是BaselⅡ标准法规定的信用风险缓释工具之一,两者在巴塞尔新资本协议中有着非常关键的地位和作用.本文总结了国内外违约损失率的研究概况,在利用历史数据对我国商业银行抵押贷款的违约损失率进行实证分析后发现：（1）回收率同融资金额成反比;（2）回收率同融资折率成反比;（3）回收率呈“U”型分布.本文的分析有助于进一步探究我国商业银行抵押贷款违约损失率的特征,是量化风险暴露和计算监管资本的基础,并为我们下一步的折率研究做好了铺垫.     

国际结算和贸易融资风险的识别与控制

贸易融资较传统的流动资金贷款业务具有更大的市场适应能力.生产制造型企业贸易融资风险的主要影响因素有核心技术和装备情况、产品更新换代能力、国际品牌效应、人力成本.生产制造型企业资金流风险的主要影响因素有原材料采购与销售价格、结算方式、资产的流动性、盈利能力.贸易类企业融资风险的主要影响因素有上下游客户的稳定性、市场需求的稳定性、资金的可流动性.物流企业融资风险的主要影响因素有公司的收入及成本构成、应对市场价格变动的能力、上下游客户情况、企业的资金流.     

基于精算方法的信用风险的量化

比较了保险风险和信贷风险的基本特征后可以发现，精算模型的方法和思路可以用来描述商业银行的信用风险。可以通过定性分析和定量分析相结合的方式，推导出适用的信用风险量化管理模型。在数据整理和检验的基础上，借鉴寿险精算的生命模型思想可以建立“正常-损失”模型，进而实现对贷款损失率的解释；借鉴非寿险准备金测算的方法，可以采用链梯法测算商业银行短期贷款业务应提取的贷款坏账准备金数额。在上述方法的基础上，可以将“正常-损失”模型与链梯法结合起来，测算长期贷款的坏账准备金。     

风险价值在证券投资基金风险管理中的应用

风险价值是用于测量和控制金融风险的量化模型,它在证券投资基金的投资决策、绩效评估、风险限额分配等方面具有独特优势。本文分析证券投资基金实施风险价值方法的动因,并结合中国的实际情况,探讨风险价值在证券投资基金风险管理中的具体应用。     

Is there a Difference? The Performance Characteristics of SRI Equity Indices

Abstract:  This study analyses whether stock indices that represent socially responsible investments (SRI) exhibit a different performance compared to conventional benchmark indices. In contrast to other studies, the analysis concentrates on SRI indices and not on investment funds. This has several advantages, since transaction costs of funds, the timing activities and the skill of the fund management do not have to be considered. A direct measure of the performance effects of SRI screens is therefore examined. The 29 SRI stock indices are analysed by single-equation models as well as by multi-equation systems that exploit the information in the cross-section. SRI stock indices do not exhibit a different level of risk-adjusted return than conventional benchmarks. But many SRI indices have a higher risk relative to the benchmarks. The findings are robust to the use of different benchmark indices and apply to all common types of SRI screening.     

Varying the VaR for unconditional and conditional environments

Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from 12 European bourses, this paper presents VaR measures based on their unconditional and conditional distributions for single and multi-period settings. These measures underpinned by extreme value theory are statistically robust explicitly allowing for fat-tailed densities. Conditional tail estimates accounting for volatility clustering are obtained by adjusting the unconditional extreme value procedure with GARCH filtered returns. The conditional modelling results in iid returns allowing for the use of a simple and efficient multi-period extreme value scaling law. The paper examines the properties of these distinct conditional and unconditional trading models. The paper finds that the biases inherent in unconditional single and multi-period estimates assuming normality extend to the conditional setting.     

Modelling Credit Risk for SMEs: Evidence from the U.S. Market

Considering the fundamental role played by small and medium sized enterprises (SMEs) in the economy of many countries and the considerable attention placed on SMEs in the new Basel Capital Accord, we develop a distress prediction model specifically for the SME sector and to analyse its effectiveness compared to a generic corporate model. The behaviour of financial measures for SMEs is analysed and the most significant variables in predicting the entities' credit worthiness are selected in order to construct a default prediction model. Using a logit regression technique on panel data of over 2,000 U.S. firms (with sales less than $65 million) over the period 1994–2002, we develop a one-year default prediction model. This model has an out-of-sample prediction power which is almost 30 per cent higher than a generic corporate model. An associated objective is to observe our model's ability to lower bank capital requirements considering the new Basel Capital Accord's rules for SMEs.