我国金融业深度变革中金融市场业务的发展

近年来,金融市场化改革的深入、互联网金融大潮以及传统金融业务的缓增长等因素,都从内外两方面迫使着我国传统的商业性金融做出变革,金融市场业务则是应对当下变革的重要推动器。面临国际国内金融深度变革形势,我国商业性金融需要借鉴国际先进同业的经验,紧密依附自身特点,在合法的监管框架之下,有序开展金融市场业务创新,逐步形成各具特色的金融市场产品供给体系和风险防控体系。     

GMS:开拓金融市场业务新利器

正2012年,招商银行投产金融市场业务管理系统(英文简称"GMS"),该系统实现了代客理财产品管理和资产管理、结构化存款管理、债券承分销等金融市场业务以及与之相应的后台会计处理、风险监控管理等功能;实现了销售渠道、前台交易、中台风控以及后台会计部门间的全流程直通处理;提供实时查询账务报表数据,实现交易实时监控的功能,大幅提升了招商银行资产管理和金融市场业务运营管理与风险管理的能力,成为推动招商银行战略转型的一大利器。     

商业银行金融市场业务发展思考

商业银行金融市场业务近年来得到了迅速发展。商业银行开展金融市场业务既是适应金融市场竞争格局的客观要求,同时也是满足客户多样化需求的必然选择。本文从金融市场业务的概念、起源和发展、特征、意义等方面对金融市场业务进行了全面的思考和探讨。     

金融市场发展中的国债问题

国债不仅是一个财政问题,更重要的是一个金融问题国债是国家对公众的一种负债,原是国家在入不敷出时向公众借款。在近代,它演变成国家在特定条件下调节经济的方式之一。中国经济改革开始后,那种“一无内债,二无外债”的思想被积极的借债所代替,从20世纪80年代初起,国家开始发行国债。但直到1994年,国债每年的发行量都没有超过400亿元。90年代中期,国家为防止经济过热而进行经济调整,货币政策转向紧缩,但为了保持一定的经济增长,财政政策表现出了更多的灵活性以拉动经济发展。经济调整过程中,尽管经济增长速度不低,但增长率持续七年下降。在…     

关于商业银行金融市场业务发展的思考——国际金融中心建设视角

2009年3月,国务院审议并原则通过关于上海建设国际金融中心和国际航运中心的意见,提出到2020年将上海基本建成与中国经济实力和人民币国际地位相适应的国际金融中心。国际金融中心的建设,给在沪商业银行特别是上海本地法人银行金融市场业务发展带来了难得的历史机遇,当然也带来了新的挑战。     

工行实现对金融市场交易业务事前风险控制

中国工商银行于近日依托其主研发的金融市场交易管理平台,率先实现了对金融市场交易业务的事前风险硬控制,探索出了一条通过事前系统硬控制防范金融市场交易业务“黑天鹅”事件的风险防控创新之路。据工行相关负责人介绍,     

应对复杂形势,推进金融市场业务稳健发展——记“中国银行业‘十二五’金融市场业务高峰论坛”

2011年是"十二五"规划的开局之年,面对"加快发展债券市场,提高直接融资比重"、"国内流动性收紧、信贷增长放慢、利率市场化提速"和"国际油价不断走高,全球通胀不断升温"的复杂形势,刚刚经历近几年高速发展的中国银行业金融市场业务面临的发展不确定性更加突出,如何积极应对随之而来的一系列新的挑战和机遇,成为"十二五"期间中国银行业稳健发展的重大课题。在此背景下,2011年4月26日至27日,《银行家》杂志与负责全行金融市场业务,业已形成涵盖代客理财、直接债务融资、债券、外汇、贵金属及相应衍生品投资等金融市场业务交易平台的中国民生银行金融市场部,在杭州共同举办了"中国银行业‘十二五’金融市场业务高峰论坛"。邀请国内金融市场业务的著名专家学者、监管机构负责人和股份制银行、城商行、农信社、村镇银行、外资银行、证券公司、信托公司等条线同仁500余人,围绕"理财、外汇与贵金属"、"债券承销发行与投资"等主题,就未来金融市场业务发展面临的形势、难点、创新机理和监管变动等进行了深入探讨与交流,以期为促进银行业金融市场业务在"十二五"期间的快速、稳健发展提供参考借鉴。本文选取其中的精彩发言与观点(按论坛流程和嘉宾发言顺序),呈现其文,以飨读者。     

商业银行金融市场业务发展浅探

随着金融体制改革的步伐加快,利率市场化和人民币国际化的稳步推进,我国商业银行生存和发展的内外部环境都将发生深刻的变化。商业银行必须正视并顺应形势变化,及时调整发展战略,加快发展金融市场业务,进一步增强竞争力。一、发展金融市场业务的必然性(一)商业银行面临的资金流产生转     

立足自主创新,建设金融市场业务和风险管理平台

以满足巴塞尔新资本协议等国际最新监管要求为契机,工商银行于2009年全面启动了全球金融市场交易及风险管理平台自主研发创新工程（以下简称该工程）。该工程建设在金融市场多个业务领域和技术领域都取得了一系列突破创新。     

我国衍生金融市场金融业务发展研究

近年来,随着全球衍生金融市场的快速发展,我国衍生金融市场金融业务业也粗具雏形。本文从我国衍生金融市场金融业务现状出发,分析其特点与存在问题,最终提出我国衍生金融市场金融业务发展的建议对策。     

Portfolio Selection and Asset Pricing Models

Finance theory can be used to form informative prior beliefs in financial decision making. This paper approaches portfolio selection in a Bayesian framework that incorporates a prior degree of belief in an asset pricing model. Sample evidence on home bias and value and size effects is evaluated from an asset-allocation perspective. U.S. investors' belief in the domestic CAPM must be very strong to justify the home bias observed in their equity holdings. The same strong prior belief results in large and stable optimal positions in the Fama–French book-to-market portfolio in combination with the market since the 1940s.     

Robust Portfolio Rules and Asset Pricing

I present a new approach to the dynamic portfolio and consumptionproblem of an investor who worries about model uncertainty (inaddition to market risk) and seeks robust decisions along thelines of Anderson, Hansen, and Sargent (2002). In accordancewith max-min expected utility, a robust investor insures againstsome endogenous worst case. I first show that robustness dramaticallydecreases the demand for equities and is observationally equivalentto recursive preferences when removing wealth effects. Unlikestandard recursive preferences, however, robustness leads toenvironment-specific "effective" risk aversion. As an extension,I present a closed-form solution for the portfolio problem ofa robust Duffie-Epstein-Zin investor. Finally, robustness increasesthe equilibrium equity premium and lowers the risk-free rate.Reasonable parameters generate a 4% to 6% equity premium.     

Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation

Members of defined contribution (DC) pension plans must take on additional responsibilities for their investments, compared to participants in defined benefit (DB) pension plans. The transition from DB to DC plans means that more employees are faced with these responsibilities. We explore the extent to which DC plan members can follow financial strategies that have a high chance of resulting in a retirement scenario that is fairly close to that provided by DB plans. Retirees in DC plans typically must fund spending from accumulated savings. This leads to the risk of depleting these savings, that is, portfolio depletion risk. We analyze the management of this risk through life cycle optimal dynamic asset allocation, including the accumulation and decumulation phases. We pose the asset allocation strategy as an optimal stochastic control problem. Several objective functions are tested and compared. We focus on the risk of portfolio depletion at the terminal date, using such measures as conditional value at risk (CVAR) and probability of ruin. A secondary consideration is the median terminal portfolio value. The control problem is solved using a Hamilton-Jacobi-Bellman formulation, based on a parametric model of the financial market. Monte Carlo simulations that use the optimal controls are presented to evaluate the performance metrics. These simulations are based on both the parametric model and bootstrap resampling of 91 years of historical data. The resampling tests suggest that target-based approaches that seek to establish a safety margin of wealth at the end of the decumulation period appear to be superior to strategies that directly attempt to minimize risk measures such as the probability of portfolio depletion or CVAR. The target-based approaches result in a reasonably close approximation to the retirement spending available in a DB plan. There is a small risk of depleting the retiree’s funds, but there is also a good chance of accumulating a buffer that can be used to manage unplanned longevity risk or left as a bequest.     

International Asset Pricing and Portfolio Diversification with Time-Varying Risk

We test the conditional capital asset pricing model (CAPM) for the world's eight largest equity markets using a parsimonious generalized autoregressive conditional heteroskedasticity (GARCH) parameterization. Our methodology can be applied simultaneously to many assets and, at the same time, accommodate general dynamics of the conditional moments. The evidence supports most of the pricing restrictions of the model, but some of the variation in risk-adjusted excess returns remains predictable during periods of high interest rates. Our estimates indicate that, although severe market declines are contagious, the expected gains from international diversification for a U.S. investor average 2.11 percent per year and have not significantly declined over the last two decades.     

Dynamic Portfolio Selection by Augmenting the Asset Space

We present a novel approach to dynamic portfolio selection that is as easy to implement as the static Markowitz paradigm. We expand the set of assets to include mechanically managed portfolios and optimize statically in this extended asset space. We consider “conditional” portfolios, which invest in each asset an amount proportional to conditioning variables, and “timing” portfolios, which invest in each asset for a single period and in the risk‐free asset for all other periods. The static choice of these managed portfolios represents a dynamic strategy that closely approximates the optimal dynamic strategy for horizons up to 5 years.     

Portfolio Construction for Tests of Asset Pricing Models

Portfolios are commonly used in finance literature to study asset‐pricing models. In business practice portfolios are used to detect abnormal performance in certain asset groups or to construct reference assets. However, analyses on practical issues related to portfolio construction are surprisingly few. This paper presents and discusses issues related to portfolio return calculation from theoretical and practical perspectives. Special attention is given both to smaller and emerging stock markets. These stock markets often share common features like low liquidity, multiple stock series, and changes in foreign ownership restrictions that greatly affect portfolio construction.     

资产规模、资本状况与商业银行资产组合行为——基于中国银行业面板数据的实证分析

本文立足于我国转型期内的经济金融特征,构造了一个银行资产组合行为的局部均衡模型。在对中国银行业按照资产规模和资本状况进行分类的基础上,本文的实证分析证明了模型的基本含义:由于银行间的异质性,紧缩性货币政策之后商业银行的资产组合行为体现出了截面效应。基于此,本文提出了确立以银行资产组合行为为基础的货币政策决策体系,加强货币政策与监管政策之间的协调等政策建议,以提高货币政策的有效性。     

The Impact of Large Portfolio Insurers on Asset Prices

We develop a simple model in which the presence of portfolio insurers in a market of risk-averse traders leads to multiple equilibria for the pricing of financial assets and can cause an increase in volatility, including insurance-induced price drops. We demonstrate, however, that centralized portfolio insurance firms may actually reduce, not increase, volatility, even if the existence of these firms increases the total amount of funds under insurance.     

Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk

Using cross-sectional data from the SCF and Tax Model, we show that entrepreneurial income risk has a significant influence on portfolio choice and asset prices. We find that households with high and variable business income hold less wealth in stocks than other similarly wealthy households, although they constitute a significant fraction of the stockholding population. Similarly for nonentrepreneurs, holding stock in the firm where one works reduces the portfolio share of other common stocks. Finally, we show that adding proprietary income to a linear asset pricing model improves its performance over a similar model that includes only wage income.     

风险值度量与基金资产组合的风险分析

近二十年来,随着金融市场风险的加剧,以及金融数量分析技术、计算机技术的发展,金融经济学界和金融应用界都在发展和使用更新、更有效的风险管理工具和方法,以对付日益复杂化的金融风险.在风险管理革新的最前沿,发展最为迅猛、影响最广泛的一项新技术无疑是"风险值"(Value at Risk)方法.风险值有很简单的定义:"在某个置信度下以及在某个时间段内某个资产组合可能发生的损失的最大值".但是,它能够把整个机构的多种风险总结在一个数值中,而且对高级管理者来说,它归纳出了风险问题的焦点所在:"机构当前所持资产在未来可能发生的损失的最大值是多少",所以,风险值方法在金融业中得到了广泛的认同和应用.本文使用指数加权法(IGARCH),构造适应中国股票市场的资产组合风险值度量方法,在此基础上,我们计算基金资产组合的风险,并对各家基金资产组合的风险进行分析和评估.