MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH

Motivated by the European sovereign debt crisis, we propose a hybrid sovereign default model that combines an accessible part taking into account the evolution of the sovereign solvency and the impact of critical political events, and a totally inaccessible part for the idiosyncratic credit risk. We obtain closed‐form formulas for the probability that the default occurs at critical political dates in a Markovian setting. Moreover, we introduce a generalized density framework for the hybrid default time and deduce the compensator process of default. Finally, we apply the hybrid model and the generalized density to the valuation of sovereign bonds and explain the significant jumps in long‐term government bond yields during the sovereign crisis.     

Pension plan solvency and extreme market movements: a regime switching approach

We develop and test a new approach to assess defined benefit (DB) pension plan solvency risk in the presence of extreme market movements. Our method captures both the ‘fat-tailed’ nature of asset returns and their correlation with discount rate changes. We show that the standard assumption of constant discount rates leads to dramatic underestimation of future projections of pension plan solvency risk. Failing to incorporate leptokurtosis into asset returns also leads to downward biased estimates of risk, but this is less pronounced than the time-varying discount rate effect. Further modifying the model to capture the correlation between asset returns and the discount rate provides additional improvements in the projection of future pension plan solvency. This reduces the perceived future risk of underfunding because of the negative correlation between interest rate changes and asset returns. These results have important implications for those with responsibility for balancing risk against expected return when seeking to improve the current poor funding positions of DB pension schemes.     

How does issuing contingent convertible bonds improve bank's solvency? A Value-at-Risk and Expected Shortfall approach

This paper examines how issuing an innovative financial instrument called contingent convertible bond (CoCo) may enhance bank's solvency in comparison to issuing a conventional bond. CoCos convert automatically into common equity or have a principal write-down when bank's regulatory capital fails to meet a predetermined level. They have been invented and put into legislation with an objective to absorb losses thus preventing institutions from bankruptcy. From the standpoint of an issuer CoCos bring about two counter effects regarding his solvency: on one hand they recapitalize a bank approaching insolvency on the other hand CoCos pay much higher coupon comparing to conventional bonds. In our model a bank has two funding alternatives: either to issue CoCos or conventional bonds. We measure issuer's default risk using the concept of Value-at-Risk (VaR) and Expected Shortfall (ES). We conclude that CoCos have the potential to strengthen the resilience of the issuer on the condition that the probability of conversion triggering is higher than the VaR's significance level. Our findings can be helpful to the policymakers and banks to better understand the impact of CoCos on issuer's solvency.     

保险公司次级债风险及监管研究

保险公司通过发行次级债,一方面可有效提升其偿付能力充足率,增强投资能力.另一方面,作为一条收益率较高的投资渠道,保险公司通过购买其他公司发行的次级债,可以提高投资收益率.本文通过数学建模,考虑次级债的风险情况,并基于研究结果指出目前保险公司次级债监管存在的不足,并给出了相关监管建议.     

危机前后美国寿险公司不动产投资研究

基于ISIS全球保险公司数据库收录的美国寿险公司数据资料,本文研究了美国寿险公司的不动产投资情况.研究发现,从美国寿险公司的资产组合构成来看,不动产投资所占的比重还很低,且在次贷危机前后不动产投资在整个资产组合中所占的比重没有很大的变动.在美国房地产市场顶峰期的2005年,寿险公司所持有的不动产投资反而是最低的.但是,...     

New standard regulations regarding allocation to the safety reserve in Sweden

Abstract

This paper describes a statistical investigation of observed loss ratios and run-offs for a number of Swedish insurance companies within different lines of business. The main aim of the investigation was to revise existing upper limits for allocation to the so-called safety reserve, which is an untaxed contingency reserve. The effort was successful in that new rules were established by the Swedish Supervisory Authority in accordance with the results of the investigation. This paper also contains an exposition of the general principles underlying the Swedish safety reserve.     

财务再保险与偿付能力最适边界和可解决域研究

偿付能力监管是现代保险监管方法的重要组成部分，更是衡量保险公司经营稳定与安全性的主要指标，如何改善偿付能力是保险业界必须讨论和研究的热点问题。再保险特别是财务再保险，由于其自身所具有的本质特性，将成为改善保险公司偿付能力的主要手段之一。本文基于再保险的角度去探索改善保险公司偿付能力的途径，从财务再保险的基本理论出发，介绍了财务再保险的定义、特征和分类，并结合保险公司偿付能力的有关知识分析了二者之间的关系。通过模型计算，得出了财务再保险与偿付能力最适边界和可解决域，这将极大的方便保险公司在购买财务再保险时的决策。     

Assessing the efficacy of rational budgeting approaches: fiscal recovery planning and municipal budgetary solvency

ABSTRACT

This study assesses the effects of financial recovery planning on the budgetary solvency of US cities. Budgetary solvency is the ability of governments to meet their service responsibilities and other financial obligations in a fiscal year. Financial recovery planning, which is based on rational decision-making theory, is designed to help cities recover from fiscal stress by facilitating diagnosis of fiscal problems, and the implementation of short- and long-term fiscal recovery strategies. Using data from a national survey of cities and multi-year audited financial reports, the results of the regression analyses show that planning is associated with stronger budgetary solvency, but its effectiveness varies across cities. Specifically, planning helps majority of fiscally struggling cities, but not those facing extreme fiscal decline.     

保险公司资本结构分析——以中国平安保险(集团)股份有限公司为例

保险公司天然具有的高负债性使公司资本结构分析显得尤为重要,这关系到公司偿付能力以及长久可持续经营。本文通过建立保险公司股东收益率的模型,分析保险公司资本结构的特殊之处以及控制保险公司财务杠杆的重要性。以中国平安保险(集团)股份有限公司为例对其近十年的资产负债等数据进行分析并考察其资本结构变化情况,讨论其财务杠杆的影响因素,并提出应将保险监管和企业自律相结合的保持资本充足率的措施。     

非寿险公司偿付能力额度和现金管理的研究

本文运用2001年～2006年20家保险公司的面板数据,比较分析了基于保险监管与基于比率法得到的最低偿付能力额度的差别,认为目前我国保险公司最低偿付能力额度制定过低,并且发现我国基于净赔款支出的方法在偿付能力额度制定中不能发挥作用;实证研究了保险公司现金持有量的影响因素,认为中资保险公司现金持有量主要受资产负债率、投资收益率、非投资资产率和流动资产率四个因素的影响,而外(合)资保险公司的现金持有量则主要受赔付率和非投资资产率的影响,差异较大。