Start-up investment with scarce venture capital support

Venture capitalists, representing informed capital, screen, monitor and advise start-up entrepreneurs. The paper reports three new results on venture capital (VC) finance and the evolution of the VC industry. First, there is an optimal VC portfolio size with a trade-off between the number of companies and the value of managerial advice. Second, advice tends to be diluted when the industry expands and VC skills remain scarce in the short-run. The delayed entry of experienced VCs eventually restores the quality of advice and leads to more focused company portfolios. Third, as a welfare result, VCs tend to provide too little advisory effort and to invest in too few companies. Testable implications are also discussed.     

Measuring risk in the mining sector with ARCH models with important observations on sample size

This paper uses the GARCH technique to estimate time-varying individual firm risk measures for the mining sector. In general, the mining industry is riskier than the market with estimated betas greater than one. The results also show that the level of risk in the industry is quite volatile and can be divided into three distinct time periods according to the magnitude and variability of the firm's betas. Additionally, the number of observations in a sample has a strong relationship to the detection and estimation of an ARCH effect in the data, which cannot be explained by firm financial size.     

On measuring concentration in banking systems

Assuming a Pareto-type distribution of bank sizes, we investigate the effect of changes in Zipf's exponent () and the sample size on the behavior of different concentration indices, such as the 3-bank concentration ratio, the Herfindahl–Hirschman index and the top 5%-concentration ratio. We derive analytical relations between these concentration indices and investigate the elasticity of these indices to changes in and in the sample size N. We show different regimes under which each index can be used most appropriately. Our results are highly relevant for policymakers who rely on such concentration measures to derive public policy recommendations in banking.     

On measuring credit risks of derivative instruments

This paper critically reviews current practices for measuring credit risks of derivative instruments. It argues that there are two major problems with the standard measurement approach. First, it uses models of the stoachstic behavior of finanacial variables while ignoring both their inherent oversimplification and the uncertainty in their parameters. Second, it ignores the correlations among exposures in derivative intruments and the probabilities of countrypartly default. This paper deomonstrates that these practices can produce large errors in the estimation of distribution of both future credit exposures and future credit losses.     

A value-of-information approach to measuring risk in multi-period economic activity

In this paper, we discuss measures of risk for uncertain outcomes of economic activity, which are based on the notion of the value of full information in stochastic programs. Information is measured in terms of σ-algebras. For multi-period income streams information is represented by filtrations, i.e. sequences of σ-algebras. The basic properties of our risk measures are multi-period coherence (“diversification decreases risk”), compound concavity (“random alternatives increase risk”) and convex monotonicity (“insurance decreases risk”).     

On measuring the nearness of near moneys revisited

In this paper we re-examine the theoretical foundations and empirical estimation of models which incorporate a CES utility function to study the nearness of money substitutes. We show that previous studies using these models have been subject to a number of theoretical and empirical flaws. The result of these flaws has been to overestimate the degree of substitutability between money and near money assets. We show that when these errors are corrected, estimates of substitution elasticities are several times smaller than even those of the most recent studies and therefore are more in line with estimates from more traditional demand for money studies.     

On measuring volatility and the GARCH forecasting performance

We apply a new algorithm based on Fourier analysis to compute the volatility of a diffusion process. By using simulations of the continuous-time GARCH model, we show that our method performs well in computing integrated volatility. We show that linear interpolation of high frequency observations induces a downward bias in estimating integrated volatility. By measuring ex post volatility with our method, we find that the forecasting performance of the GARCH model is improved with respect to what is established when classical methods are employed. These results are confirmed by the analysis of exchange rate high frequency time series.     

On systematic mortality risk and risk-minimization with survivor swaps

A new market for so-called mortality derivatives is now appearing with survivor swaps (also called mortality swaps), longevity bonds and other specialized solutions. The development of these new financial instruments is triggered by the increased focus on the systematic mortality risk inherent in life insurance contracts, and their main focus is thus to allow the life insurance companies to hedge their systematic mortality risk. At the same time, this new class of financial contract is interesting from an investor's point of view, since it increases the possibility for an investor to diversify the investment portfolio. The systematic mortality risk stems from the uncertainty related to the future development of the mortality intensities. Mathematically, this uncertainty is described by modeling the underlying mortality intensities via stochastic processes. We consider two different portfolios of insured lives, where the underlying mortality intensities are correlated, and study the combined financial and mortality risk inherent in a portfolio of general life insurance contracts. In order to hedge this risk, we allow for investments in survivor swaps and derive risk-minimizing strategies in markets where such contracts are available. The strategies are evaluated numerically.     

谈谈注册会计师审计风险及防范

一、注册会计师审计风险产生的原因 (一)审计主体方面的原因 1、审计人员的素质所致.审计人员的素质包括政治素质、道德素质、业务素质等,这是影响审计风险的一个既定因素.     

On Haezendonck risk measures

We study the Haezendonck risk measure (introduced by [Haezendonck, J., Goovaerts, M., 1982. A new premium calculation principle based on Orlicz norms. Insurance: Mathematics and Economics 1, 41–53] and by [Goovaerts, M.J., Kaas, R., Dhaene, J., Tang, Q., 2003. A unified approach to generate risk measures. ASTIN Bulletin 33 (2), 173–191; Goovaerts, M.J., Kaas, R., Dhaene, J., Tang, Q., 2004. Some new classes of consistent risk measures. Insurance: Mathematics and Economics 34 (3), 505–516]) and prove its subadditivity. Since the Haezendonck risk measure is defined as an infimum of Orlicz premia, we investigate when the infimum is actually attained. We determine the corresponding generalized scenarios and show how its construction can be seen as a special case of the operation of inf-convolution of convex functionals.     

论银行法律风险与操作风险的防范

新《巴塞尔协议》将银行的操作风险列为银行经营中的三大风险之一,并首次将法律风险归入操作风险。而在法律风险的防范中,对银行内部规章制度能否予以正确理解成为防范法律风险的首要任务。     

On the risk return relationship

While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have approximately the same size with opposite signs for the daily excess returns of seven major developed markets. For the same data set, we also find that a linear relationship between the expected return and the conditional standard deviation is preferable to polynomial-type nonlinear specifications. Our results have a potential to explain some of the mixed findings documented by previous studies.     

A Bayesian approach to detecting nonlinear risk exposures in hedge fund strategies

This paper proposes a model that allows for nonlinear risk exposures of hedge funds to various risk factors. We introduce a flexible threshold regression model and develop a Bayesian approach for model selection and estimation of the thresholds and their unknown number. In particular, we present a computationally flexible Markov chain Monte Carlo stochastic search algorithm which identifies relevant risk factors and/or threshold values. Our analysis of several hedge fund returns reveals that different strategies exhibit nonlinear relations to different risk factors, and that the proposed threshold regression model improves our ability to evaluate hedge fund performance.     

A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt

Using an integrated model to control for simultaneity, as well as new risk measurement techniques such as Adapted Exposure CoVaR and Marginal Expected Shortfall (MES), we show that the aggregate systemic risk exposure of financial institutions is positively related to sovereign debt yields in European countries in an episodic manner, varying positively with the intensity of the financial crisis facing a particular nation. We find evidence of a simultaneous relation between systemic risk exposure and sovereign debt yields. This suggests that models of sovereign debt yields should also include the systemic risk of a country's financial system in order to avoid potentially important mis-specification errors. We find evidence that systemic risk of a country's financial institutions and the risk of sovereign governments are inter-related and shocks to these domestic linkages are stronger and longer lasting than international risk spillovers. Thus, the channel in which domestic sovereign debt yields can be affected by another nation's sovereign debt is mostly an indirect one in that shocks to a foreign country's government finances are transmitted to that country's financial system which, in turn, can spill over to the domestic financial system and, ultimately, have a destabilizing effect on the domestic sovereign debt market.     

On the probability of ruin in the collective risk theory for insurance enterprises with oly negative risk sums

Abstract

1. The determination of the probability that an insurance company once in the future will be brought to ruin is a problem of great interest in insurance mathematics. If we know this probability, it does not only give us a possibility to estimate the stability of the insurance company, but we may also decide which precautions, in the form of f. ex. reinsurance and loading of the premiums, should be taken in order to make the probability of ruin so small that in practice no ruin is to be feared.     

住房抵押贷款提前还贷风险管理研究

从现代金融和风险管理角度看,住房抵押贷款提前还贷对商业银行是一种期权性风险,对其收取违约金并非国际惯例,也并不是有效的风险补偿方式.商业银行应适应市场竞争需要,接受风险转嫁并提供风险管理服务,运用风险定价技术在按揭交易价格中对提前还贷风险进行补偿.对于已承担的风险,商业银行应构建抵押贷款提前还贷的数据库,通过表内对冲和市场对冲,推出多样化的住房抵押贷款方式,积极推进住房抵押贷款证券化,从而最终增强银行的盈利来源和核心竞争力.     

警惕个人住房贷款业务中的操作风险

信用风险和市场风险早已为人们熟识,操作风险作为一种被忽视的风险类型正日益受到重视.个人住房贷款业务作为当前银行资产业务的新支柱得到了蓬勃发展.这一正在成长的新业务,面临不少新的风险.本文试图对个人住房贷款业务中隐含的操作风险进行剖析,并探讨如何采取有效的措施加以防范.     

On a risk model with dependence between interclaim arrivals and claim sizes

We consider an extension to the classical compound Poisson risk model for which the increments of the aggregate claim amount process are independent. In Albrecher and Teugels (2006 Albrecher, H. and Teugels, J. 2006. Exponential behavior in the presence of dependence in risk theory. Journal of Applied Probability, 43(1): 257–273. [Crossref], [Web of Science ®] , [Google Scholar]), an arbitrary dependence structure among the interclaim time and the subsequent claim size expressed through a copula is considered and they derived asymptotic results for both the finite and infinite-time ruin probabilities. In this paper, we consider a particular dependence structure among the interclaim time and the subsequent claim size and we derive the defective renewal equation satisfied by the expected discounted penalty function. Based on the compound geometric tail representation of the Laplace transform of the time to ruin, we also obtain an explicit expression for this Laplace transform for a large class of claim size distributions. The ruin probability being a special case of the Laplace transform of the time to ruin, explicit expressions are therefore obtained for this particular ruin related quantity. Finally, we measure the impact of the various dependence structures in the risk model on the ruin probability via the comparison of their Lundberg coefficients.