险资股权投资的结构性改革研究*——基于险资投资的倒U型效应分析

保险资金作为重要的机构投资者能否发挥促进公司绩效提升的作用在已有研究和监管政策制定上都存在较大争议。本文以2005-2017年A股上市公司为研究样本，发现险资持股比例对上市公司绩效以及估值影响存在显著的倒U型曲线效应，相应机制研究表明险资持股通过显著影响两类代理成本的渠道发挥治理作用。在适度持股比例以下，险资增持能够降低被投资公司管理费用率和其他应收款占比，并提高资产周转率，从而降低两类代理成本；持股超过一定比例反而造成两类代理成本上升。险资持股比例变化对保险机构调研次数的影响则从公司治理参与角度印证了以上结论。对倒U型曲线效应的深入分析既有助于深化对机构投资者影响公司绩效的多重效应和机制的认识，同时为在金融机构层面落实金融供给侧结构性改革、增强险资服务实体经济能力提供参考。     

Rethinking bank shareholder equity: The case of Deutsche Bank

We introduce and apply an innovative accounting approach to analyse the equity position of a European systemically important financial institution, Deutsche Bank, between 2001 and 2015. According to our findings, the actual contribution by shareholders to bank equity capital was limited, while shareholder payout policies, including share buybacks and trading on its own shares, were both material. These findings raise concerns on the actual capacity by shareholder equity to assure protection against (residual) risk and loss absorption. Customer and investor protections appear to lay with bank entity equity dynamics. These findings have implications for bank financial sustainability and resilience, company capital maintenance, and regulatory capital requirements. Further developments based upon this innovative methodology may improve on existing prudential and accounting regulations.     

Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework

In setting minimum capital requirements for trading portfolios, the Basel Committee on Banking Supervision (1996, 2011a, 2013) initially used Value‐at‐Risk (VaR), then both VaR and stressed VaR (SVaR), and most recently, stressed Conditional VaR (SCVaR). Accordingly, we examine the use of SCVaR to measure risk and set these requirements. Assuming elliptically distributed asset returns, we show that portfolios on the mean‐SCVaR frontier generally lie away from the mean‐variance (M‐V) frontier. In a plausible numerical example, we find that such portfolios tend to have considerably higher ratios of risk (measured by, e.g., standard deviation) to minimum capital requirement than those of portfolios on the M‐V frontier. Also, we find that requirements based on SCVaR are smaller than those based on both VaR and SVaR but exceed those based on just VaR. Finally, we find that requirements based on SCVaR are less procyclical than those based on either VaR or both VaR and SVaR. Overall, our paper suggests that the use of SCVaR to measure risk and set requirements is not a panacea.     

Parameter risk in time-series mortality forecasts

The projection of mortality rates is an essential part of valuing liabilities in life insurance portfolios and pension schemes. An important tool for risk management and solvency purposes is a stochastic projection model. We show that ARIMA models can be better representations of mortality time-series than simple random-walk models. We also consider the issue of parameter risk in time-series models from the point of view of an insurer using them for regulatory risk reporting – formulae are given for decomposing overall risk into undiversifiable trend risk (parameter uncertainty) and diversifiable volatility. Particular attention is given to the contrasts in how academic researchers might view these models and how insurance regulators and practitioners in life offices might use them. Using a bootstrap method we find that, while certain kinds of parameter risk are negligible, others are too material to ignore. We also find that an objective model selection criterion, such as goodness of fit to past data, can result in the selection of a model with unstable parameter values. While this aspect of the model is superficially undesirable, it also leads to slightly higher capital requirements and thus makes the model of keen interest to regulators. Our conclusions have relevance to insurers using value-at-risk capital assessments in the European Union under Solvency II, but also territories using conditional tail expectations such as Australia, Canada and Switzerland.     

Iterated VaR or CTE measures: A false good idea?

The purpose of this paper is twofold. Firstly, we consider different risk measures in order to determine the solvency capital requirement of a pension fund. Secondly, we illustrate the impact of the time horizon of long-term guarantee products on these capital. We consider a financial market modelled by a common Black–Scholes–Merton model. We neglect the mortality and underwriting risks by assuming that the pension fund is fully hedged against these risks, which allows us to keep understandable and tractable formulæ (the longevity risk will be a part of future researches). A portfolio is built in this market according to different strategies and the pension fund offers a fixed guaranteed rate on a certain time horizon. We begin with well-known static risk measures (value at risk and conditional tail expectation measures) and then we consider their natural dynamic generalization. In order to be time consistent, we consider their iterated versions by a backward iterations scheme. Within the dynamic setting, we show that solvency capital can be expensive and that attention must be paid to the safety level considered.     

Does a marching band impact college Football game attendance? A panel study of Division II

Marching bands are an integral part of the college football game-day experience by increasing both the quantity and quality of entertainment. Academic music programs could enhance a band’s entertainment value via better-trained members and recruitment of more highly skilled musicians. The impact of these influences on game-day attendance is explored using data from nine years of regular season games in Division II. The regression model controls for economic factors, home-team performance, demographic influences and game characteristics and employs boot-strap clustering methods for calculating standard errors of coefficients. Results suggest that a marching band, the existence of an academic music program and being a historically black college each exerts an independent positive impact on attendance after controlling for all other factors.     

新巴塞尔协议下我国国有银行资本充足率问题及对策研究

新巴塞尔协议代表着对国际商业银行业监管方向和趋势 ,与 1988年巴塞尔协议相比 ,新协议内容更广泛 ,更复杂。它的主要内容包括最低资本要求、资本充足性监管和市场约束。本文仅就新巴塞尔协议最低资本要求问题分析我国国有银行业的不足以及应该采取的措施 ,从而确保我国 2 0 0 7年顺利实施新巴塞尔协议。     

Basel regulations and banks’ efficiency: The case of the Philippines

Using stochastic frontier analysis, this paper has examined the impact of Basel II on the cost efficiency of Philippine commercial banks from 2001 to 2011. The overall mean cost efficiency estimate is 0.75, indicating substantial inefficiencies in the banks averaging to 25% of total costs. Findings show that higher capital requirement tends to improve the cost efficiency but more powerful supervisors can adversely affect the efficiency of the banks. The other potential correlates that may help explain the efficiency of the banks are risk and asset quality and bank-specific variables. From a policy perspective, this study is informative to policymakers on the general direction in which to proceed with reforms (i.e., maintain higher capital requirements, curtail powerful supervisors, and enhance private monitoring) and in identifying factors that could contribute to banks’ efficiency especially in light of the newly implemented Basel III in the country. In effect, this paper also assesses the readiness of the banks toward the implementation of Basel III.     

Why We Should Change Our Attitude Towards Distressed Firms

This article surveys ‘creditor‐friendly’ and ‘enterprise‐friendly’ bankruptcy regimes with a focus on the methodology underlying the filter test in distress, as reflected both in its academic treatment and in legal practice. I find that the test exhibits pro‐liquidation bias in designating liquidation of a firm with recovery potential as the Type II error, and in underplaying the benefits of a possible turnaround. Further influences militating against continuation include the power conferred on creditors through the balance sheet criterion and the undervaluation of intangible assets. I make the case for reversing such biases to establish a presumption in favour of continuation.     

Why is credit-to-GDP a good measure for setting countercyclical capital buffers?

We examine banks’ loan losses in Europe in 1982–2012 using a nonlinear three-factor model that takes into account output growth, real interest rate, and the ratio of private credit to GDP relative to its trend (i.e., “excessive indebtedness”). We find that a drop in output has an intensified impact on loan losses if the private sector is excessively indebted. Because increased bank credit risk should be matched with higher bank capital, the result motivates the Basel III's countercyclical capital buffers as a function of private indebtedness relative to its trend. The result also helps to explain differences in the amount of loan losses in different recessions across time and across countries. The model also indicates that low interest rates during the recent recession have clearly mitigated loan losses.