How does issuing contingent convertible bonds improve bank's solvency? A Value-at-Risk and Expected Shortfall approach

This paper examines how issuing an innovative financial instrument called contingent convertible bond (CoCo) may enhance bank's solvency in comparison to issuing a conventional bond. CoCos convert automatically into common equity or have a principal write-down when bank's regulatory capital fails to meet a predetermined level. They have been invented and put into legislation with an objective to absorb losses thus preventing institutions from bankruptcy. From the standpoint of an issuer CoCos bring about two counter effects regarding his solvency: on one hand they recapitalize a bank approaching insolvency on the other hand CoCos pay much higher coupon comparing to conventional bonds. In our model a bank has two funding alternatives: either to issue CoCos or conventional bonds. We measure issuer's default risk using the concept of Value-at-Risk (VaR) and Expected Shortfall (ES). We conclude that CoCos have the potential to strengthen the resilience of the issuer on the condition that the probability of conversion triggering is higher than the VaR's significance level. Our findings can be helpful to the policymakers and banks to better understand the impact of CoCos on issuer's solvency.     

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。     

A semi-parametric approach to estimating the operational risk and Expected Shortfall

In this article, we propose improvements to the peak-over-threshold (POT) method and apply this improved method for modelling US business operational losses and estimating operational risks (ORs). In the widely used traditional POT method, the generalized Pareto distribution (GPD) is fitted to severity losses, while an empirical distribution is fitted to small to medium losses. Then, the Expected Loss and the 99.9% operational value-at-risk (OpVaR) are estimated. Additionally, the Expected Shortfall (ES) – a coherent risk measure – is estimated in this article as an alternative to OpVaR. These risk measures constitute the levels of regulatory and economic capitals to cover risks. With the improved POT method, the risks can be estimated more accurately than with the traditional POT method. The results indicate that the OpVaR are much lower than the ES and that the larger the tail losses the greater the difference between these two risk measures. Our findings imply that the ES would provide higher levels of capitals to cover risks than would the OpVaR, particularly during crises, and they have implications for the efficient OR management and regulators.     

Stability of risk preference parameter estimates within the Becker-DeGroot-Marschak procedure

This paper reports new data from both selling and buying versions of the Becker-DeGroot-Marschak (BDM) procedure. First, when using the selling version of BDM, the cross-sectional mean of CRRA risk preference parameter estimates shifts from a value consistent with “as if” risk-seeking behavior in the early baseline to a value closer to “as if” risk neutrality in the late baseline. Second, when using the buying version of BDM, the cross-sectional mean of CRRA risk preference parameter estimates does not appear to change over time in a statistically significant manner. The cross-sectional mean from the late baseline of the buying version of BDM is closer to “as if” risk neutrality and to the late baseline estimates from the selling version of BDM than it is to either early baseline estimates from the selling version of BDM or typical estimates from the first price auction. Use of dominated offers is correlated with deviations from “as if” risk neutrality; this suggests the possibility that the early deviations from “as if” risk neutrality reflect errors. Electronic Supplementary Material Supplementary material is available in the online version of this article at . JEL Classification D80     

Tail dependence risk exposure and diversification potential of Islamic and conventional banks

This paper undertakes a rolling window comparative analysis of risks for portfolios consisting of GCC Islamic and conventional bank indices. We draw our empirical results by employing canonical, drawable and regular vine copula models, as well as by implementing a portfolio optimization method with a conditional Value-at-Risk constraint. We find evidence of higher riskiness in the group of Islamic banks relative to the group of conventional banks across each of the financial rolling window scenarios under consideration. Specifically, a greater negative (nonlinear) tail asymmetric dependence is observed in the pairs of Islamic banks’ relationships. The results also show that the optimal portfolio model supports a clear preference towards the group of conventional banks in regard to risk minimization and diversification benefits.     

Repetitive risk aversion

We propose a reasonable condition, which we call repetitive risk aversion (RRA), to be imposed on any utility function to account for the observed data on the relationship between the degree of absolute risk aversion and wealth. We deduce this condition from the concept of the fear of ruin (Aumann and Kurz 1977) and show it to be equivalent to the behaviorally meaningful condition that the risk premium is increasing at a non-increasing rate with the size of the bet. We drive mixed risk aversion, which is known to be stronger than standard and thus proper risk aversion, from RRA. We present several economic applications of RRA to demonstrate that it delivers better comparative static results.I am thankful to Jacques Drèze and Louis Eeckhoudt for their comments. I greatly appreciate the comments of an anonymous reviewer of this journal which have resulted in substantial improvement to both the content and presentation of the paper. An earlier version of this paper was presented at seminars at Brown, CORE, Hopkins, HKUST, Yale, and IMS     

承包商不平衡报价策略选择的多案例研究——基于合同状态视角

不平衡报价策略是承包商实现创收的有效手段之一,而如何让承包商在有限的投标条件下高效的寻找不平衡报价机会点,并使其形成一条有规律可循的行为路径是本文研究的关键。以合同状态理论及风险分担作为不平衡报价策略研究的理论基础,并选择某电厂扩建项目、某市综合办公楼工程、某市跨江大桥建设工程为研究对象进行案例研究和分析。研究结果表明可按照预期变更情形的不同将不平衡报价策略分为地质勘查资料与实际情形不符、招标文件缺陷以及项目施工过程中出现的其他可预见状态变化三类,进而形成承包商实现不平衡报价策略的行为路径。     

基于人与组织匹配的员工招募模式研究

人与组织匹配是人力资源管理与组织行为学研究的热点问题。招募并留住适合公司发展的人才将是促使公司维持持续发展和竞争力的优势和根源所在。传统的基于人与职位匹配的招募模式未能考虑组织文化与员工个性特征的匹配,从而导致人力资源管理的一系列问题的出现。基于人与组织匹配的招募模式综合考虑了人与职位匹配、人与组织匹配两个方面。分析了基于人与组织匹配的招募过程,并对潜在的问题提出了应对策略。     

Differentiable von Neumann-Morgenstern utility

Summary. Differentiability is a convenient property of von Neumann-Morgenstern utility functions which is almost always imposed but has not been translated into behavioral terms. In applications, expected utility is usually maximized subject to a constraint, and the maximization is carried out by differentiating the utility function. This paper presents two sets of necessary and sufficient conditions for a risk averse von Neumann-Morgenstern utility function to be differentiable. The first of them is formulated in terms of the equivalent risk premia of small gambles. It says, in brief, that the equivalent risk premium is of a smaller order of magnitude than the risk itself, as measured by the expectation of the absolute value of the risk. The second set of necessary and sufficient conditions is formulated in terms of the probability premium of small lotteries. It says, essentially, that the probability premium for small binary lotteries goes to zero as the size of the lottery goes to zero. Received: May 11, 1997; revised version: May 14, 1998     

个体特征对人才流动风险偏好的影响研究

在研究影响组织人才流动因素的基础上,运用预期效用理论分析人才流动过程中存在的风险,认为个体风险偏好的存在影响人才的流动决策。通过对杭州高新产业集群企业人才流动情况的实证分析,指出了影响人才流动风险偏好的因素,并提出了企业留住人才的对策。     

基于供应链管理的企业供应风险预警系统研究

随着物流业的迅速发展,供应中断事件在企业管理中不断发生,供应风险已成为供应链管理的重点和难点。文章首先阐述了企业供应风险的内涵,分析了供应风险特有的"长鞭效应"、效率悖反性和传递性等特点;其次借助风险识别、风险测定和风险控制等基本模式,构建了基于供应链管理的企业供应风险预警系统,打破了以往只关注小概率事件,而忽视了潜在风险发生的问题;最后对风险预警系统的应用效果进行了实例分析。因此,基于供应链管理的企业供应风险预警系统,不仅便于企业对供应风险进行有效识别、测定及迅速量化,还能为企业及时采取预警措施,应对所有供应风险,形成灵活稳健的供应链网络,为供应风险管理研究提供新的视角。     

工程项目管理模式及激励措施的研究

本文从项目管理模式和组织结构设置入手，以项目管理、激励为理论基础，以规范项目管理和改进薪酬体系为突破口，以全面提高职工积极性为目标，对项目的管理模式以及激励措施进行了探索，以期能对我国工程项目管理的进一步完善，提供一定的参考。     

财政支持农业巨灾风险分散--基于国际经验与现实国情的综合考量

农业巨灾风险分散体系是农业保险可持续发展的保障,财政支持农业巨灾风险分散不可或缺。通过借鉴国际经验和梳理我国“北京模式”、“安徽模式”、“江苏模式”、“浙江模式”的实践经验,揭示出再保险、巨灾风险准备金、风险证券化和政府财政最后支持是其应对农业巨灾风险的共性。进而提出我国财政支持农业巨灾风险分散体系的路径选择,如行政化和市场化相结合,撬动资本市场资金参与;建立与多层次的巨灾分散机制相对应的财政支持体系等,以期为我国财政支持农业巨灾风险分散提供依据和借鉴方法。     

建筑企业财务管理存在的问题、影响因素及管理对策

通过对建筑企业财务管理中存在的问题精心分析,着重对影响财务管理的社会环境因素、企业内部因素进行了探讨。并提出了相应的措施：（1）要全方位更新财务管理观念;（2）推行全面预算标准,完善以财务管理为中心的管理体制;（3）以资金管理为核心;（4）规范财务会计行为,提高建筑企业财务人员的业务水平;（5）加强存货和应收账款的管理。     

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。     

工程项目主体行为风险研究

项目主体行为风险是指由于主体的特定行为而给项目造成损失的可能性.长期以来风险管理比较重视客观事件风险,计算风险发生的概率和可能损失,很少注重主体行为风险的影响作用.而项目工程风险产生的根源往往是由项目主体行为所引起的.同时,项目利益相关人对项目的期望值和价值观很大程度上决定了项目的成败.论文从利益相关人角度,提出了工程项目主体行为风险研究的理论框架和实践意义,对工程项目主体行为风险进行分类、识别和评价,并提出针对性的风险管理响应措施.     

金融危机下全球保险业风险管理策略调整新动向

2007年发端于美国的次贷危机迅速演变为全球性金融危机,各国金融业损失惨重,作为金融业三大支柱之一的保险业也未能幸免。本文分析了金融危机冲击下全球保险业的风险变动和随之引发的保险业风险管理策略新动向,同时这些变革也给我国保险业在未来的改革与发展中,如何防范风险、健康成长带来深刻启示。