EXTREME VALUE AT RISK: A SCENARIO FOR RISK MANAGEMENT

This paper uses the generalised extreme value (GEV) distribution to model the extreme losses that are likely to occur during market crashes, in the case of an investor who has long positions in stocks and currencies. The null hypothesis – which tests for normality of asset returns – is rejected due to asymmetry of these returns. We assume that the asymmetric behaviour and volatility of the returns are captured by the shape and scale parameters, respectively, of a GEV distribution. The data set includes stock indices for the United States, Japan, the United Kingdom, Germany, France and South Africa, and the South African rand exchange rates against the US dollar observed from 3 January 2005 to 30 December 2009. In addition, we divide this sample period into two periods: the pre‐crisis period, from 3 January 2005 to 31 December 2007 and the crisis period, from 1 January 2008 to 30 December 2009. We compared the estimates of value at risk (VaR) using an extreme value theory (EVT) model, with the estimates derived from the traditional variance–covariance method and found that during the crisis the 99% extreme VaR estimates are more reliable as they lie within the Basel II green zone. These results suggest that, at higher quintiles, the VaR estimates based on EVT are reliable and more accurate than estimates from the traditional method.     

MACROECONOMIC UNCERTAINTY AND CONDITIONAL STOCK MARKET VOLATILITY IN SOUTH AFRICA*

This paper analyses how systematic risk emanating from the macroeconomy is transmitted into stock market volatility using augmented autoregressive Generalised Autoregressive Conditional Heteroscedastic (AR‐GARCH) and vector autoregression (VAR) models. Also examined is whether the relationship between the two is bidirectional. By imposing dummies for the 1997‐1998 Asian and the 2007‐2009 sub‐prime financial crises, the study further analyses whether financial crises affect the relationship between macroeconomic uncertainty and stock market volatility. The findings show that macroeconomic uncertainty significantly influences stock market volatility. Although volatilities in inflation, the gold price and the oil price seem to play a role, it is found that volatility in short‐term interest rates and exchange rates are the most important, suggesting that South African domestic financial markets are increasingly becoming interdependent. Finally, the results show that financial crises increase volatility in the stock market and in most macroeconomic variables, and, by so doing, strengthen the effects of changes in macroeconomic variables on the stock market.     

金融危机下凯恩斯主义与供给学派财政政策对中国经济的适用性分析

2007年由美国引起的金融危机给美国乃至全球带来了巨大的影响。我国也在出口、外汇等方面受到了影响。在金融危机背景下,结合我国国情在供需、税收和国家干预三方面对凯恩斯主义和供给学派的财政政策对中国经济适用性进行分析。     

中部地区开放型经济发展现状、定位及路径选择

随着国内外发展环境的变化,我国开放型经济面临的瓶颈约束日益明显,区域发展不协调、一体化水平不高等问题愈发突出。推动内陆欠发达地区开放型经济发展、形成合理的区域发展格局是我国开放布局的重要目标。地处内陆腹地的中部地区要改变开放型经济发展滞后的状况,实现本地区经济崛起,必须确立新的发展思路,寻求新的发展路径。     

宏观审慎监管：内涵界定与政策框架

进一步完善全球金融监管体系,特别是构建宏观审慎金融监管制度框架,是美国金融危机以来全球防范和应对系统性金融风险、维护金融体系安全与稳健的重要举措。宏观审慎监管框架重在明晰宏观审慎的主要监管主体、完善宏观审慎监管体系的框架、制定宏观和微观审慎监管指标体系的相关法律、制度和规范。特别是要注重处理好互为表里、相辅相成的微观审慎监管与宏观审慎监管之间的关系,充分发挥两者的合力效应。     

高校财务管理创新思路的研究

高校财务管理是高校经济工作的核心,是高校管理的重要组成部分,目前,强化高校财务管理已成为高校财务人员面临的重大课题,只有更新理财观念,创新财务运行机制,才能进一步实现高校财务管理目标。     

室内装修影响空气质量实测分析及对策

甲醛、TVOC是新建建筑及装修室内空气主要污染物。通过对新装修住宅室内进行实测分析研究,记录实验数据,分析实验结果,将其浓度与国家标准进行对比,并分析探讨其影响因素,提出减少其含量的方法,对人们减少环境污染提供一些简单易行的方法。     

素质教育下高校心理健康与思想政治教育关系

从高校素质教育重思想政治教育轻心理素质教育现状出发,通过分析其原因,指出高校进行心理健康教育已经是刻不容缓的事实,并指出高校应当采取思想政治教育与心理健康教育有机结合的方法,以取的更好的教育效果。     

进口大豆低温保质保水储藏技术探讨

本文重点探讨了进口大豆不同保管方式对大豆质量的影响,在降温通风中如何降低水分减量,探索控温储藏的方法以取得较好的经济效益和社会效益。     

从韩系轮胎的质量问题看政府监管

韩国锦湖轮胎因为在轮胎生产过程中大剂量添加返炼胶而导致轮胎存在鼓包、胎体内侧帘线外露、漏气等质量隐患,已发生多起爆胎事件。在中央电视台2011年“3·15晚会”对韩系轮胎质量问题曝光以后,却出现了消费者维权无门。事故责任方气焰嚣张的现象,这说明政府监管严重缺位。政府相关部门应尽快补位,抓紧健全法律法规、增强执行力,做好“裁判员”工作,构建完善的监管体系,完善市场规则,从而真正保障消费者的权益。