我国主要证券市场VaR模型变动性研究

对证券市场风险度量模型的探索,一直是国内外金融风险管理者关注和研究的热点之一。VaR(Value-at-Risk)风险度量模型,目前已成为金融机构、非金融企业、金融监管部门测量和监控市场风险的主流工具。然而VaR模型能否有效正确地度量证券市场风险,不但取决于估计的精度,还取决于选用VaR模型本身的变动性。因此,探索我国主要证券市场VaR模型的变动性,有一定的现实意义。针对我国主要证券市场指数,本文首先通过图形展示了三类(参数、半参数和非参数)VaR估计方法在不同的窗口设定下控制风险的表现;其次在平均相对偏差(MRB)和平方根相对偏差(RMSRB)的双重标准下,对三类VaR估计模型的变动性进行了比较研究,结果表明:在我国主要证券市场上,参数类VaR估计模型本身的变动性和偏离程度较小,半参数类VaR估计模型次之,而非参数类VaR估计模型本身的变动性和偏离程度较大,这在一定程度上符合新兴国家证券市场存在较大投机收益的特点。     

建设项目风险管理问题研究：美国经验及其启示

尽管风险管理在中国已逐渐被认可,但总体来说,我国工程项目风险管理理论研究水平还不是很高,在实际应用中成效并不显著。美国建筑工程市场经过几十年的发展已经建立了一套完整的风险管理体系,有很多经验值得借鉴。针对我国国内工程项目风险管理研究现状,借鉴美国风险管理的优势,结合我国的国情,把项目风险管理提到更高水平。     

有关外贸企业信用风险及其管理的研究

随着我国市场经济的不断发展,外贸企业之间的竞争日益激烈。很多外贸企业为了占据国外市场,会推出优惠的信用条件,以此作为增加客户的手段,但其信用风险也会随之增加。分析了导致外贸企业信用风险增加的原因,并提出对应管理措施。只有不断降低信用风险,以此提高外贸企业的竞争力,才能使企业不断扩大经营规模,促进企业的不断发展。     

浅谈企业现金流量管理

企业发展的内在潜力和动力取决于企业经营活动的现金流,一个有活力的企业必定要有足够的现金支付能力。因此,从企业的现金流量管理有利于企业制定战略决策、有利于企业健康稳定持续发展、能够提高企业市场价值等方面阐述了企业管理的重要意义,并提出了我国企业现金流管理存在的问题以及加强我国企业现金流量管理的建议和措施。     

中国城市成长管理中政府工具选择与应用的现实必要

城市成长管理中的政府工具是城市政府在城市成长管理中所运用的各种技术、手段和方法的总称。在中国城市成长管理中,对政府工具加以科学的选择和应用,有助于确保城市发展的适度规模、确保城市空间紧凑拓展、确保城市文脉有序传承,有助于推进城市与乡村、城市与区域的协同发展。     

Explicating the market dimension in the study of digital innovation: a management framework for digital innovation

Digital innovation is gaining momentum among academics and business practitioners. Featuring increasingly cross-industry and multi-actor innovation processes, digital innovation reveals the inherent technology bias in the dominant perspectives on innovation. This study aims to transfer the focus from technology-centred ideas of digital innovation to a more balanced concept in which digital innovation is conceptualised as a combination of multiple needs and solutions linked to various actors and their behaviours. The study builds on a longitudinal case study. The article contributes by providing a partial response to the explicit calls for strategic frameworks that capture the process of digital innovation. Furthermore, the article explicates the market dimension of digital innovation and extends the analysis of the market dimension from a limited view of customer information and user knowledge to further include needs, actions, and behaviours of market actors directly or indirectly using, complementing, or substituting the digital innovation and innovation process.     

Uncertainty and sustainability in the management of rangelands

We analyze a dynamic and stochastic ecological-economic model of grazing management in semi-arid rangelands. The ecosystem is driven by stochastic precipitation. A risk averse farmer chooses a grazing management strategy under uncertainty such as to maximize expected utility from farming income. Grazing management strategies are rules about which share of the rangeland is given rest depending on the actual rainfall in that year. In a first step we determine a myopic farmer's optimal grazing management strategy and show that a risk averse farmer chooses a strategy such as to obtain insurance from the ecosystem: the optimal strategy reduces income variability, but yields less mean income than possible. In a second step we analyze the long-run ecological and economic impact of different strategies. We conclude that a myopic farmer, if he is sufficiently risk averse, will choose a sustainable grazing management strategy, even if he does not take into account long-term ecological and economic benefits of conservative strategies.     

Designing knowledge chain networks in China — A proposal for a risk management system using linguistic decision making

Designing Knowledge Supply Networks (KSN) with universities and research institutes has become a key source of technological innovations in Mainland China. In order to explore the key design principles, we first present typologies within KSN and explain the factors that can push, guide, or support the innovation process in such a network. Second, we identify and classify the particular risks that prevail when KSN are designed in an emerging region. To assess these risks, we next propose an advanced method that takes into consideration typical problems in group decision-making processes by applying linguistic operators derived from the field of decision theory and fuzzy-sets theory. The risk evaluation method is illustrated with a case study. Fourth, we offer advice on the mitigation of risks in KSN. Finally, we provide insights into the implementation of the risk evaluation method and its automation using Stakeholder Information Systems.     

Modeling the dependence structure between default risk premium,equity return volatility and the jump risk: Evidence from a financial crisis

This paper investigates the dependence structure between default risk premium, equity return volatility and jump risk in the equity market before and during the subprime crisis. Using iTraxx CDS index spreads from Japanese and Australian markets, the paper models the different relationships that can exist in different ranges of behavior. We consider several Archimedean copula models with different tail dependence structures, namely, Gumbel, Clayton, Frank, AMH and Joe copulas. Although the dramatic change in the levels of the iTraxx CDS index, we find strong evidence that the dependence structure between CDS and stock market conditions is asymmetric and orienting toward the upper side. In addition, we find that the Japanese CDS market is more sensitive to the stock return volatility than the jump risk and the magnitude of this sensitivity is related to the market circumstances. However, Australian CDS market is more sensitive to the jump risk than stock return volatility before and during the financial crisis. This result has important implications for both global financial stability and default risk management. Specifically, the heterogeneity of markets, coupled with the diversity in the risk exposures cause the default risk premium and equity markets to exhibit different levels of sensitivity.     

Ethnicity and risk: a field test of the white-male effect

In this article, I analyse the different risk-taking tendencies of students comprising the two major ethnic groups in Israel, Ashkenazi and Mizrahi Jews, in a field setting. I determine ethnicity by students’ last names, and I measure risk by students’ propensity to give up a passing grade on a final exam in order to be able to retake the exam in pursuit of a higher grade, but with the risk of earning a lower grade and possibly not passing the course. Differences in preferences for risk may be part of the explanation for differential labour market outcomes between gender and ethnic groups. I find evidence that Ashkenazi men take more exam risk than both Ashkenazi and Mizrahi women, and Mizrahi men. This finding is consistent with the ‘White-Male Effect’, the notion that white males, or males from the dominant socio-economic group, perceive lower risks than females and non-whites.     

Using patient-reported outcome assessments in clinical practice and their importance in risk management

Abstract

Patient-reported outcome (PRO) instruments are related to risk management programmes in that they are tools to measure the benefits and risks of exposure to pharmaceutical products from the patient's perspective. Clinical measures of improvement of certain conditions may not necessarily correlate with improvements in a patient's ability to perform daily activities. PRO data, when properly administered, collected, analysed and returned to physicians are a very useful source of information. This will ultimately address safety concerns, facilitate the physician–patient relationship and improve patients' compliance to treatment in routine patient care. In this article we stress the importance of PRO in risk management.     

Payoff dominance and risk dominance in the observable delay game: a note

We examine whether the payoff dominant sequential-move (Stackelberg) outcome is realized when timing is endogenized. We adopt the observable delay game formulated by Hamilton and Slutsky [Games Econ Behav 2(1):29–46, 1990]. We find that if one sequential-move outcome is payoff dominant, either (i) the outcome both players prefer is the unique equilibrium; or (ii) two sequential-move outcomes are equilibria and the one both players prefer is risk dominant. In other words, no conflict between payoff dominance and risk dominance in the observable delay game exists, in contrast to other games such as (non pure) coordination games. We also find that even if one of two sequential-move outcomes is the unique equilibrium outcome in the observable delay game, it does not imply that the equilibrium outcome is payoff dominant to the other sequential-move outcome.      

Dynamic risk management in petroleum project investment based on a variable precision rough set model

In this paper, an adaptive algorithm is designed for dynamic risk management in petroleum project investment based on a variable precision rough set (VPRS) model. In risk management, at each stage of decision-making, experts are invited to identify risk indices and support the decision-maker in evaluating the risk exposure (RE) of individual projects. The VPRS model is used to mine risk rules and determine the significance of risk indices from RE decision tables. Considering that there are multiple risks involved in any petroleum project investment, we use multi-objective programming to obtain the optimal selection of projects with minimum RE, where the significance of risk indices is assigned to each of the corresponding multi-objective functions as a weight. Moreover, we develop a risk ranking model to measure the degree of risk for individual projects in a portfolio. Finally, a numerical example based on a Chinese petroleum company's investments in overseas projects is presented to illustrate the proposed approach, and then conclusions are drawn.     

论全面风险管理对保险公司价值的影响

全面风险管理(Enterprise Risk Management,ERM)是一种最新的风险管理框架.它鼓励企业将风险进行整合,利用高度统一的方法来管理企业面临的所有风险.随着各个保险公司的风险意识的增强和监管部门对全面风险管理规定的出台,全面风险管理已经逐渐被保险公司的高层接受,并在公司内部开展不同形式的全面风险管理活动.本文针对目前保险公司开展全面风险管理活动的情况,分析了全面风险管理活动对保险公司价值的潜在影响,发现在全面风险管理选择模型中,企业规模与全面风险管理的使用成正相关.本文使用全面风险管理指示变量和其他一系列变量来考察全面风险管理使用与企业价值之间的内在关联,结果发现两者在统计和经济意义上存在着显著的正向关系     

Nexus between economic risk and political risk in the United Kingdom: Evidence from wavelet coherence and quantile-on-quantile approaches

This study examines the linkage between economic risk and political risk in the United Kingdom. This linkage has attracted the attention of policymakers; however, there is no consequence of the linkage in the existing literature. The study aims to close this gap for the UK case by applying wavelet coherence (WTC) and quantile-on-quantile regression (QQR) approaches and using quarterly data between 1984/Q1 and 2020/Q4. The results of the WTC reveal that there is time–frequency dependency between economic risk and political risk majorly in the medium and low frequencies. Moreover, the direction of the causality changes over time. Furthermore, the outcomes of the WTC show that economic risk leads political risk between 1995 and 2005, whereas political risk leads economic risk from 2006 to 2019. The outcomes of the QQR approach disclose that in the higher tail (0.7–0.95) of political risk and lower and medium tail (0.05–0.60) of economic risk, the effect of political risk on economic risk is positive and strong. On the flip side, at all quantiles (0.05–0.95) of economic risk and lower quantiles (0.10–0.30) of political risk, the effect of political risk on economic risk is positive and strong. The results are also validated by the outcomes of partial wavelet coherence, multiple wavelet coherence, and quantile regression. Hence, the results highlight the importance of political risk (economic risk) for economic risk (political risk) in the UK case.     

Integrating science and local knowledge in environmental risk management: A decision-focused approach

This paper explores how a structured decision process, based on methods from the decision sciences, can contribute to the integration of local and scientific knowledge in environmental decision making. Emphasis is placed on the use of key decision structuring steps and analytical tools to help ensure the systematic treatment of both fact-based and value-based knowledge claims. Practical methods are discussed for communicating and evaluating values and technical information across participants and cultures in ways that are methodologically rigorous and encourage different sources of credible knowledge to be considered on equal footing. Examples are presented from water use planning in British Columbia, Canada, where stakeholder consultations at 22 hydroelectric facilities demonstrate specific techniques that can be used to clarify values, to explore hypotheses, to clarify uncertainties, to identify and evaluate options, to make value-based choices, and to facilitate mutual learning.     

科技型中小企业融资履约保险博弈机制--基于多期支付的研究视角

文章基于保险公司与科技型中小企业之间的风险分担博弈模型,对科技型中小企业同时存在道德风险和逆向选择时,保险公司所要采取的动态激励进行了分析研究。通过博弈论和委托—代理理论,讨论了存在两阶段动态博弈时,保险公司可以通过观察第一年内的违约频率来估计未来承保期可能的损失,并判断科技型中小企业采取的最优努力水平,以决定是否继续发放贷款以及后一阶段的保费。保险公司和银行可以通过监控科技型中小企业的历史经营数据等内部数据以及纳税记录、客户反馈等外部数据,以改善金融机构与科技型中小企业间信息不对称的格局,清晰地甄别出企业的风险状况,为制定差异化保险费率和发放贷款数额提供数据支持。该研究对保险公司制定费率有一定的理论意义。     

More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model

Summary. This paper studies monotone risk aversion, the aversion to monotone, mean-preserving increase in risk (Quiggin [21]), in the Rank Dependent Expected Utility (RDEU) model. This model replaces expected utility by another functional, characterized by two functions, a utility function u in conjunction with a probability-perception function f. Monotone mean-preserving increases in risk are closely related to the notion of comparative dispersion introduced by Bickel and Lehmann [3,4] in Non-parametric Statistics. We present a characterization of the pairs (u,f) of monotone risk averse decision makers, based on an index of greediness G _u of the utility function u and an index of pessimism P _f of the probability perception function f: the decision maker is monotone risk averse if and only if . The index of greediness (non-concavity) of u is the supremum of taken over . The index of pessimism of f is the infimum of taken over 0 < v < 1. Thus, , with G _u = 1 iff u is concave. If then , i.e., f is majorized by the identity function. Since P _f = 1 for Expected Utility maximizers, forces u to be concave in this case; thus, the characterization of risk aversion as is a direct generalization from EU to RDEU. A novel element is that concavity of u is not necessary. In fact, u must be concave only if P _f = 1.Received: 10 April 2001, Revised: 18 November 2003, JEL Classification Numbers: D81. Correspondence to: Michéle CohenAlain Chateauneuf, Michéle Cohen, Isaac Meilijson: We are most grateful to Mark Machina, Peter Wakker and two anonymous referees for very helpful suggestions and comments.     

金融危机对巴塞尔新资本协议和商业银行风险管理的挑战

正在影响着世界的金融危机,在考验商业银行自身的风险管理能力的同时,也挑战了全球银行业赖以为标准的巴塞尔新资本协议。本文旨在从危机爆发的原因出发,封新资本协议关于银行的风险管理方面的规定进行分析,以及在金融全球化的大环境下,中国的银行业应该如何应对危机。     

出版企业存货管理存在的问题及解决策略

出版企业在存货管理方面存在的问题,如果不及时解决最终可能会导致企业的巨额损失。解决存货管理的问题不仅需要健全的管理制度,还应当有人性化的管理,出版企业还应制订周密的采购计划,将库存量降低到最小,减少资金占用。