共查询到20条相似文献,搜索用时 0 毫秒
1.
2.
Matt Maher 《The Financial Review》1997,32(2):357-371
This paper employs a two-factor model of security returns to investigate the intertemporal risk of bank holding company stock returns over the 1976–1989 period. Uniquely, the two-factor model is estimated in separate regressions for each of the fourteen years between 1976 and 1989, thus exposing intertemporal changes in the model coefficients. The results show that bank holding companies have increased in risk over the sample period and also reveal that much of the controversy over the two-index model stems from the transitory nature of the interest rate coefficient through time, making long time series groupings of data misspecified. The above holds for both short-term and long-term interest rates. Interest rates have little impact on bank returns. 相似文献
3.
《The Journal of risk and insurance》2015,82(1):259-259
4.
Henri Loubergé 《The GENEVA Risk and Insurance Review》2015,40(2):97-101
The Geneva Risk and Insurance Review celebrates in 2016 its 40th year of existence. Yes. But it must be recalled that about half of these 40 years occurred under a different name—The Geneva Papers on Risk and Insurance. For a long time, the fate of the journal was very closely linked to the development of “The Geneva Association”. 相似文献
5.
随着金融市场的发展,越来越多的投资者通过机构投资者等金融中介间接参与金融市场投资。投资者和金融中介之间的委托代理问题以及由此产生的风险转嫁倾向使得金融中介的投资决策并不总是以投资者的利益最大化为目标。金融中介的风险转移倾向容易导致风险资产的均衡价格偏离其基础价值,引起资产泡沫的产生。 相似文献
6.
DeForest McDuff 《The Journal of Real Estate Finance and Economics》2012,45(1):212-237
All real estate markets are local, or so the conventional wisdom goes. But just how local is local? I address this question empirically using over 75,000 repeat-sales transactions from a large suburban county of Washington D.C.. I construct and evaluate a variety of local home price indices defined by geography, price, and home type. I also calculate ??house-specific?? indices using locally weighted regressions with maximized kernel bandwidths. On the whole, local indices add a moderate amount of explanatory power relative to metropolitan indices. In my sample, the metropolitan index explains 50?C75% of the variation in home price shocks, and local indices add 3?C7% more. In an index hedging framework, homeowners should be willing to pay 5?C10% to hedge with a local index versus a metropolitan index alone. 相似文献
7.
The profits of many businesses are strongly affected by weather related events, and insurance against weather related risks (acts of God) has been a traditional domain for transfer of (certain) of these risks. Recent innovations in the capital market have now provided financial instruments to transfer and hedge some of these risks. Unlike insurance solutions, however, using these financial derivative instruments creates a situation in which the return to the purchaser of the instrument is no longer perfectly correlated with the loss experienced. Such a mismatch creates new risks which must be examined and evaluated as part of ascertaining cost effective risk management plans. Two newly engendered risks, basis risk (the risk created by the fact that the return from the financial derivative is a function of weather at a prespecified geographical location which may not be identical to the location of the firm) and credit risk (the risk that the counterparty to the derivative contract may not perform), are analyzed in this article. Using custom tailored derivatives from the over the counter market can decrease basis risk, but increases credit risk. Using standardized exchange traded derivatives decreases credit risk but increases basis risk. Here also the effectiveness of using hedging methods involving forwards and futures having linear payoffs (linear hedging) and methods using derivatives having nonlinear payoffs such as those involving options (nonlinear hedging) for the purpose of hedging basis risk are examined jointly with credit risk. 相似文献
8.
Hans-Werner Sinn 《The GENEVA Papers on Risk and Insurance - Theory》2003,28(2):87-100
The paper offers a proof that expected utility maximisation with logarithmic utility is a dominant preference in the biological selection process in the sense that a population following any other preference for decision-making under risk will, with a probability that approaches certainty, disappear relative to the population following this preference as time goes to infinity. The result is contrasted with Weber's and Fechner's Psychophysical Law which implies logarithmic sensation functions for objective physical stimuli. 相似文献
9.
《金融监管研究》2020,(1)
打赢防范化解重大金融风险攻坚战是打好三大攻坚战的重要任务之一。本文在对企业杠杆率、宏观经济景气指数与系统性金融风险关联性进行理论分析的基础上,利用复合系统性压力指数法测度了我国系统性金融风险,并建立了马尔可夫区制状态转换模型,以挖掘企业杠杆率、宏观经济景气指数及系统性金融风险之间的非线性动态关联机制。研究表明,样本期内我国系统性金融风险水平波动明显;企业杠杆率、宏观经济景气指数与系统性金融风险间存在动态关联,且两区制特征明显,高压力时期的关联效应比低压力时期更显著;企业杠杆率对系统性金融风险的直接影响不显著,但会通过影响宏观经济对系统性金融风险产生间接影响;宏观经济景气指数与系统性金融风险相互间存在负向影响。鉴此,现阶段应控制好从结构性去杠杆向稳杠杆转变的节奏,利用双支柱调控熨平局部金融失衡和杠杆结构性问题;同时,密切关注部门间金融风险的交叉传染,提升经济发展质量,进而从根本上防范化解系统性金融风险。 相似文献
10.
股指期货的风险配置、传导与控制 总被引:2,自引:0,他引:2
本文通过探讨股指期货运用减震机制、平衡机制与分摊机制来实现对于整个股票市场的风险配置功能,进而使用股指期货等金融衍生工具以及通过相应的风险传导机制来转移和化解风险,提高整个市场的风险配置效率,优化风险配置结构,同时运用 GARCH 模型验证了信息传导的速度和质量,说明风险传导机制的根本原理,建立股指期货投资者情绪指数,对投资者情绪因素进行有效的量化,并最终采用 TRM 理论及模型对其进行风险控制,从而说明股指期货对于促进股票市场持续、健康、平稳发展,有着重要的现实意义. 相似文献
11.
L. Lee Colquitt David W. Sommer William L. Ferguson 《The Journal of risk and insurance》2009,76(4):933-953
The bibliographies of 17 risk journals were evaluated to determine the relative influence of these risk journals on risk, insurance, and actuarial research published during the years 2001 through 2005. Tables are provided that show the frequency with which each of these journals cites itself and the other sample journals. The journals are ranked, within two groups (risk and insurance group and actuarial group), based on their total influence (total citations including and excluding self-citations) and their per article influence (per article citations including and excluding self-citations). Finally, the most frequently cited articles from each risk journal are reported. 相似文献
12.
打赢防范化解重大金融风险攻坚战是打好"三大攻坚战"的重要任务之一。本文在对企业杠杆率、宏观经济景气指数与系统性金融风险关联性进行理论分析的基础上,利用复合系统性压力指数法测度了我国系统性金融风险,并建立了马尔可夫区制状态转换模型,以挖掘企业杠杆率、宏观经济景气指数及系统性金融风险之间的非线性动态关联机制。研究表明,样本期内我国系统性金融风险水平波动明显;企业杠杆率、宏观经济景气指数与系统性金融风险间存在动态关联,且两区制特征明显,高压力时期的关联效应比低压力时期更显著;企业杠杆率对系统性金融风险的直接影响不显著,但会通过影响宏观经济对系统性金融风险产生间接影响;宏观经济景气指数与系统性金融风险相互间存在负向影响。鉴此,现阶段应控制好从"结构性去杠杆"向"稳杠杆"转变的节奏,利用"双支柱调控"熨平局部金融失衡和杠杆结构性问题;同时,密切关注部门间金融风险的交叉传染,提升经济发展质量,进而从根本上防范化解系统性金融风险。 相似文献
13.
14.
It is widely recognized that options and futures markets for housing can reduce and manage the risks inherent in consumers’
large investments in housing equity. The integrity of such markets depends, however, upon the use of transparent and replicable
benchmarks for house prices and settlement values. In the USA, a series of state and metropolitan indexes have been produced
by a government agency (the US Office of Housing Enterprise Oversight, OFHEO), and they have been widely disseminated for
over a decade. By construction, the entire historical path of each of these indexes is, in principle, subject to revision
quarterly, that is, every time the index is recalculated and data are published. This paper provides the first analysis of
the magnitude and bias of these revisions, and it analyzes their systematic effects on the settlement prices in housing options
markets. The paper considers the implications of these magnitudes for the development of risk-reducing futures markets.
相似文献
John M. QuigleyEmail: |
15.
16.
17.
股指期货交易中的风险与管理 总被引:1,自引:0,他引:1
股指期货既具有金融衍生产品的一般性风险,又具有自身的特殊风险。它决定了股指期货交易中的不同主体,必须在对风险进行有效识别的基础上,制订符合自身风险承受能力的风险管理策略,以达到风险可控条件下的收益最大化。 相似文献
18.
本文从金融监测指标数据管理的视角,采取实证分析的方法,验证相关信息指标对金融风险指标的影响程度,并为防范和化解金融风险提出合理化建议. 相似文献
19.