Risky bank lending and countercyclical capital buffers

We study the properties of a monetary economy with an essential role for risky bank lending. Banks issue deposits and lend to entrepreneurs. Because banks׳ lending rate cannot be made contingent on aggregate shocks, and because banks face capital adequacy regulations, they require a capital buffer against loan losses. Capital adequacy regulations are modeled on the Basel-III rules, including a minimum capital adequacy ratio, an endogenous capital conservation buffer, and a countercyclical capital buffer. We find that a countercyclical capital buffer leads to a significant increase in welfare. It also reduces the need for countercyclical adjustments in policy interest rates.     

客户信用管理理论在天然气营销中的应用

探讨了客户信用评价及管理的相关方法和理论，结合国内天然气市场的现状，提出了一种新的客户信用评价和管理的模式，并在实践中付诸应用，取得了良好的效果。客户信用管理体系的建立和应用，可为燃气市场的投资者、参与者、监管者提供一个有效的风险规避工具。     

Empirical analysis of the integration of environmental risks into the credit risk management process of European banks

About 15 years ago, banks started to integrate environmental risks into their credit risk management procedures. In this article, a survey of the European banking sector focusing on the analysis of the integration of environmental risks into all phases of the credit risk management, rating, costing, pricing, monitoring and work‐out, is presented. The integration of environmental risks into the whole credit risk management process is important because only then is an adequate risk management guaranteed. The results show that banks integrate environmental risks especially into the rating phase, but not in all phases of the credit management process, though this is recommendable because these risks influence all phases of the credit management process. Furthermore, significant differences in integrating environmental risks between banks that are signatories of the UNEP statement by banks on the environment and sustainable development and banks that had not signed this agreement so far could be found. Copyright © 2006 John Wiley & Sons, Ltd and ERP Environment.     

浅析经济资本在商业银行授信审批中的应用

本文结合当前商业银行授信审批中暴露出的问题,分析了在授信审批阶段科学应用经济资本管理工具的重要意义,提出了在授信审批环节应用经济资本的思路及建议。     

Product diversification and attitudes toward risk in agricultural production

In this article we analyze the relationship between risk-avoidance behavior and economic jointness in a multi-output agricultural technology. We focus on farmer specific heterogeneity in attitudes towards risk-taking, while treating production uncertainty as unobserved stochastic error that is common to all region specific farms. We furthermore utilize a new flexible functional form, the Constant Elasticity of Transformation, Constant Elasticity of Substitution, Generalized Leontief (Behrman, Lovell, Pollak, and Sickles, [1992]) which has the appealing property of relative flexibility while ensuring proper curvature properties of the estimated multi-output technology over a larger sample region of the price/quantity space than a flexible form such as the Generalized Leontief [Diewert, 1971].Our empirical study deals with small-scale agriculture in the Indian Semi-Arid Tropics (SAT), partly because of the importance of yield-related risk in this region, but also because we have measures of farmer specific risk attitudes in the SAT data. Our modeling approach allows for the calculation of the shadow cost of farmer specific risk attitudes in terms of foregone profits, while at the same time controlliing for the technical factors that give rise to multi-output production in the absence of risk. We are thus able to estimate these opportunity costs while modeling a multiple output technology in which cost complementarities can lead to diversified production and in which joint production is not always undertaken.     

风险评价在企业中的发展及应用研究

风险评价是风险管理的重要内容之一,也是完善管理体制和降低生产事故的有效手段。文章分别探讨了企业的风险分析、风险评价体系的建立以及实施的方法与其作用等问题,这对于风险管理的实施具有重要的理论与现实意义。     

Market perception of sovereign credit risk in the euro area during the financial crisis

We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as perceived by financial markets. In our empirical results the estimated LGDs perceived by financial markets stay comfortably below 40% in most of the samples. Global financial indicators are positively and strongly correlated with the market perception of sovereign credit risk; whilst macroeconomic and institutional developments were at best only weakly correlated with the market perception of sovereign credit risk.     

Spatial risk assessment in case of multiple nuclear release scenarios

This paper presents an approach aimed at assessing multiple criteria spatial risk, where several methods are used for decision aiding purposes, with an application on marine nuclear releases. The case study simulates a post-accident analysis evaluating the impact upon the bay of Toulon of an accidental nuclear release. The problem is characterized by the presence of spatial features, multiple criteria describing the involved assets and uncertainties represented through multiple release scenarios and their corresponding probabilities.