The Effect of a Rating Downgrade on Outstanding Commercial Paper

Diamond (1991) argues that a firm's reputation determines whether it borrows directly or through an intermediary. We test the Diamond model by examining the quantity response of commercial paper issued by bank holding companies to a rating downgrade. From 1986 to 1991, cumulative abnormal declines averaged 6.69 percent in the first two weeks after the downgrade and 11.05 percent in the subsequent 12 weeks. In contrast to commercial paper issued by bank holding companies, large CDs issued by affiliated banks did not change significantly in the period around a downgrade, suggesting that deposit insurance may have removed market discipline from the CD market.     

Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends

Abstract

In this paper asset and liability values are modeled by geometric Brownian motions. In the first part of the paper we consider a pension plan sponsor with the funding objective that the pension asset value is to be within a band that is proportional to the pension liability value. Whenever the asset value is about to fall below the lower barrier or boundary of the band, the sponsor will provide sufficient funds to prevent this from happening. If, on the other hand, the asset value is about to exceed the upper barrier of the band, the assets are reduced by the potential overflow and returned to the sponsor. This paper calculates the expected present value of the payments to be made by the sponsor as well as that of the refunds to the sponsor. In particular we are interested in situations where these two expected values are equal. In the second part of the paper the refunds at the upper barrier are interpreted as the dividends paid to the shareholders of a company according to a barrier strategy. However, if the (modified) asset value ever falls to the liability value, which is the lower barrier, “ruin” takes place, and no more dividends can be paid. We derive an explicit expression for the expected discounted dividends before ruin. From this we find an explicit expression for the proportionality constant of the upper barrier that maximizes the expected discounted dividends. If the initial asset value is the optimal upper barrier, there is a particularly simple and intriguing expression for the expected discounted dividends, which can be interpreted as the present value of a deterministic perpetuity with exponentially growing payments.     

浅谈注册会计师法律责任的成因及其防范

注册会计师法律责任的成因及判断标准近年来,随着注册会计师审计业务的不断增长,注册会计师被起诉的情况也呈递增趋势。究其原因,主要有两种:被审计单位方面的责任和注册会计师方面的责任。注册会计师在实施审计时,只要根据独立审计准则的要求,保持职业上应有的认真和谨慎态度,充分考虑审计风险,通过实施必要和适当的审计程序,就会将会计报表中的重大错误与舞弊揭示出来,这是注册会计师应尽的责     

Modeling Spatial and Temporal House Price Patterns: A Comparison of Four Models

This research reports results from a competition on modeling spatial and temporal components of house prices. A large, well-documented database was prepared and made available to anyone wishing to join the competition. To prevent data snooping, out-of-sample observations were withheld; they were deposited with one individual who did not enter the competition, but had the responsibility of calculating out-of-sample statistics for results submitted by the others. The competition turned into a cooperative effort, resulting in enhancements to previous methods including: a localized version of Dubins kriging model, a kriging version of Clapps local regression model, and a local application of Cases earlier work on dividing a geographic housing market into districts. The results indicate the importance of nearest neighbor transactions for out-of-sample predictions: spatial trend analysis and census tract variables do not perform nearly as well as neighboring residuals.     

Four types of ignorance: Discussion

This is a comment on Hansen and Sargent (2015). Using a generalized one-period setup, I provide some intuition and perspective.     

保兑行丢失单据有关责任的案例分析

2002年5月10日某客户向C行提交信用证项下出口单据一套,金额为USD20886.40,该信用证(LC322022IMP)为贝宁某银行所开立,由法国某银行加具保兑.……     

外汇主体监管框架及实现途径探讨

本文以提高外汇管理效率为切入点,结合人民银行渭南市中心支行辖区外汇管理工作实践,探索建立主体监管工作框架,积极寻求实施主体监管工作的主要途径及突破口,以期对外汇管理改革提供参考建议。     

The 'New' Deferred Tax: a Comment on AARF Discussion Paper No. 22 'Accounting for Income Tax'

Discussion Paper No. 22 Accounting for Income Tax (DP 22), issued by the Australian Accounting Research Foundation, represents significant change through its advocacy of a "balance sheet" rather than the currently prescribed "income statement" approach for the recognition of deferred tax assets and liabilities. This paper clarifies the differences between the two methods and illustrates their effects on financial statements. It evaluates DP 22's arguments in favour of the balance-sheet approach and provides some guidance on the "usefulness" of deferred tax numbers. The paper concludes that the logical inconsistencies in DP 22, coupled with the available evidence on income-tax allocation, suggest that we should be cautious in making changes to current reporting requirements.     

会计实务问题(二)——负债和权益的核算

一、住房公积金的会计处理2000年9月6日财政部印发了《关于企业住房制度改革中有关财务处理问题的通知》(财企［2000］295号)。文件规定，取消住房周转金管理制度后，企业现有住房周转金余额作调整2000年度报表期初未分配利润处理。由此造成期初未分配利润负数，年终经过注册会计师审计后，报经主管财政机关批准，依次用以下资金弥补：公益金、盈余公积金、资本公积金以及以后年度实现的净利润。这一规定从2000年9月起执行。2001年1月7日财政部又印发了《企业住房制度改革中有关会计处理问题的规定》(财会［2001］5号)，要求企业从2001年开…     

信用风险模型在美国大银行的实践

20世纪90年代以来,美国的大银行纷纷将信用风险模型引入风险管理过程,尤其是运用在对大中型客户的风险度量当中,并以模型结果设计自己的经济资本配置体系.     

债权价值评估中因保证责任产生的或有负债的处理

债权价值评估因其复杂性和开拓性尚未形成统一规范.本文在假设强制清算法的框架下,以案例分析的形式探讨债务人因保证责任产生的或有负债在债权价值评估时的处理方法.     

The Usefulness of the Wind-Up Measure of Pension Liabilities: A Labor Market Perspective

Financial economists have long favored the use of a wind-up measure of the firm's pension liabilities. Yet the pension liabilities of the firm also represent the pension wealth of its workers. It is reasonable to presume that workers and shareholders have a common view of the pension contract. If the wind-up measure depicts the true pension liabilities of the firm, then the wage concession granted by its workers must reflect the fact that the firm may choose to terminate the plan at any time. Data on the wage-service characteristics of the membership of a sample of final earnings plans in Canada suggest, contrary to the implications of the wind-up measure, that workers' wages do not internalize accruing pension benefits on a year-to-year basis. Instead, the data suggest that pension plans may be a vehicle through which a significant portion of the total compensation of individual employees is deferred until their later work years, and that the wind-up measure may well understate the pension liabilities of an on-going firm.     

资产评估对象的法律权属与评估师的相关过错法律责任

资产评估对象的法律权属及其相关责任的承担问题一直使评估界感到扰,近年来,评估界出现的多起评估师涉诉案件大多与评估对象的权属问题相关联.评估师对评估对象的法律权属是否应当承担责任,在什么情况评估师应当承担过错责任而受到法律追究,是评估界应当明确的问题.2003年,中注协发布了《注册资产评估师关注评估对象法律权属指导意见》(以下简称《指导意见》),使评估界在这个问题有了统一的操作规范,对社会公众和司法界正确认识评估师的责任和评估的作用产生了有利的影响.     

注册会计师执业损害赔偿责任研究

所谓注册会计师(以下简称会计师)的执业损害赔偿责任,是指会计师在执业过程中因过错给委托人或第三人造成损失时,由该会计师或其所在的会计师事务所承担的赔偿责任。我国现行立法对该责任的规定主要体现在《会计师法》、《证券法》以及最高法院有关司法解释。与其他国家相比,这些规定尚存在着一定的缺陷,有关会计师责任认定中的一些重要问题,如归责原则、执业过错、责任范围、责任主体等尚未能得到明确的规定,甚至法律条文之间还存在着互相矛盾之处。笔者拟对上述问题进行探讨,以期对该制度的完善有所裨益。一、关于注册会计师执业损害赔偿…     

宏观调控下我国商业银行资产负债管理应对策略

通过对2005-2007年四家大型国有商业银行资产负债管理绩效的考察,发现我国银行业资产负债管理水平已有提高。在新的经济形势下,国家密集出台了从紧的货币政策,这对商业银行资产负债管理提出了更高的要求。为使银行在保持一定流动性的前提下,进一步提高盈利性和安全性,必须继续提升我国商业银行资产负债管理水平。