Handling Weather Related Risks Through the Financial Markets: Considerations of Credit Risk, Basis Risk, and Hedging

The profits of many businesses are strongly affected by weather related events, and insurance against weather related risks (acts of God) has been a traditional domain for transfer of (certain) of these risks. Recent innovations in the capital market have now provided financial instruments to transfer and hedge some of these risks. Unlike insurance solutions, however, using these financial derivative instruments creates a situation in which the return to the purchaser of the instrument is no longer perfectly correlated with the loss experienced. Such a mismatch creates new risks which must be examined and evaluated as part of ascertaining cost effective risk management plans. Two newly engendered risks, basis risk (the risk created by the fact that the return from the financial derivative is a function of weather at a prespecified geographical location which may not be identical to the location of the firm) and credit risk (the risk that the counterparty to the derivative contract may not perform), are analyzed in this article. Using custom tailored derivatives from the over the counter market can decrease basis risk, but increases credit risk. Using standardized exchange traded derivatives decreases credit risk but increases basis risk. Here also the effectiveness of using hedging methods involving forwards and futures having linear payoffs (linear hedging) and methods using derivatives having nonlinear payoffs such as those involving options (nonlinear hedging) for the purpose of hedging basis risk are examined jointly with credit risk.     

Institutional Markets,Financial Marketing,and Financial Innovation

Firms and institutions are monitored and controlled through a complex set of implicit and explicit contractual relations. Because of these agency theoretic relations, institutional behavior in financial markets is not a simple reflection of the preference structures of individuals. Institutional preferences give rise to a demand for new financial instruments and innovations, even when the returns on these instruments are “spanned” in the sense of complete pricing. The innovations can be thought of as solving moral hazard problems. An agency theoretic example serves to illustrate the demand, supply, and financial marketing of stripped securities. In short, institutions matter.     

Financial Intermediaries, Markets, and Growth

We build a model in which financial intermediaries provide insurance to households against idiosyncratic liquidity shocks. Households can invest in financial markets directly if they pay a cost. In equilibrium, the ability of intermediaries to share risk is constrained by the market. From a growth perspective, this can be beneficial because intermediaries invest less in the productive technology when they provide more risk-sharing. Our model predicts that bank-oriented economies can grow more slowly than more market-oriented economies, which is consistent with some recent empirical evidence.     

Trust in Financial Markets

This paper examines contemporaneous and historical evidence on the structure of ownership and control of corporate sectors in developed countries to draw lessons for development of financial markets. It records the critical role that equity markets played in the ownership and financing of corporations at the beginning of the 20th century. It notes that this occurred in the absence of formal systems of regulation and that equity markets functioned on the basis of informal relationships of trust. These were sustained through local stock markets in the UK, banks in Germany, and business coordinators and family firms in Japan. The paper explores the concept of trust that is required to promote the development of financial markets.     

金融市场的复杂性与金融风险调控：基于金融混沌理论

以金融混沌理论为代表的非线性金融理论是金融研究与金融实务领域的一个前沿工具.已有的研究表明金融市场是一个复杂的动力系统,具有显著的混沌效应.本文依据混沌控制的一般原理,提出了金融市场风险调控的原理与方法.这一研究结果将为探索金融市场与风险管理理论提供新的方向.     

Financial Markets,Ageing and Social Welfare

This paper considers some of the economic impacts that demographic change may have in developed economies over the next fifty years. I focus on the role that financial markets might play in economies where the pressure on government-run unfunded pension systems is likely to rise. The role of unfunded schemes is considered in a world where financial markets are incomplete and important types of risk cannot easily be offset by trading. How demographic shifts might affect labour productivity, asset prices and aggregate output is investigated using a simulation model of an economy where population structure is changing. JEL classification: E21, E60, G10, H1.     

FDI、金融市场与经济增长

本文根据不同的金融市场类型,利用全国28个省市自治区1978-2007年的数据,检验了信贷市场、资本市场在FDI促进经济增长过程中所发挥的作用.为保证结果的稳健性,本文还分别对我国东、中、西部地区进行了独立研究.研究的实证结果总体上支持信贷市场在提高FDI溢出效应以促进经济增长方面的作用较资本市场更为有效的观点.     

美国金融制裁的法律分析与风险防范

随着世界经济一体化和金融全球化程度的不断加深,经济制裁已经成为美国实施其霸权主义对外政策的常用工具。其中,金融制裁由于具有成本低、威力大、执行易、规避难等特点,在美国对外经济制裁中占有举足轻重的地位。本文从法律角度对美国金融制裁的管辖权基础、法律依据和执行机制进行了介绍和剖析,并结合案例对美国对伊朗、俄罗斯和乌克兰等国的金融制裁情况进行了适用性分析;最后,本文对我国金融机构在叙做相关业务时应注意的法律风险进行了提示,并给出了应对策略。     

互联网众筹融资及其激励约束与风险管理——基于金融市场分层的视角

本文提出了众筹融资机制革新的理论框架,在分析其运作模式的基础上,以金融市场分层为视角,探讨了众筹融资对股权市场分层的影响,进而借鉴Wojciech(2013)的模型,深入阐述了众筹融资克服信息不对称风险的方法和激励各方积极参与的措施。众筹融资,对于生产者来讲,可以帮助他们获得项目融资、降低资金成本,但也需要他们保持良好的声誉,披露项目信息,真正做出满足市场需求的创新;对于消费者来讲,不仅可以使其投资范围不再受到限制,而且可以让他们根据自己对项目的判断,成为早期股东,但同时也需要他们承担项目失败的机会成本和回报降低的风险;对于平台来讲,不仅可以由此获取项目的成交费用,而且可以根据平台客户的需求,获得提供证实融资过程、监督项目执行、提供融资建议等服务的费用;对于三方来讲,各方都希望能最大限度地提高项目成交比例,因而可以实现激励相容。此外,众筹融资也需要通过声誉、规则、人群的尽职调查和阈值等机制,来规范市场行为。众筹融资虽然具有诸多优点,但在中国仍处于萌芽状态,其发展状况还取决于国内的信用体系、法律制度和大数据分析的发展情况。     

Costless Signalling in Financial Markets

A costless, fully revealing signalling equilibrium is derived from two easily understandable conditions. The outsider-rationality condition states that the outsiders relate the price that they offer to pay for a security inversely to the supply of this security, which they interpret as a quality signal. The no-arbitrage condition requires that the marginal exchange rate for two securities be the same in both primary and secondary markets. These conditions restrict the firm's financing policy and have strong implications for the valuation of securities and of the total firm. A costless signalling equilibrium is obtained.     

金融审判中风险防范的适法困境与选择

金融资管业务往往通过民事合同的安排来达到降低交易成本、规避金融监管的目的。为了防范金融风险,金融监管机构通过《资管新规》等一系列监管政策加强对金融市场的"穿透式"监管。金融商事审判机关在制定法没有明确规定的情况下,如何针对违反监管政策的金融交易合同做出公允的裁判是亟须解决的问题。本文分析了合同法第53条3、4、5款的适用空间为何,以及金融商事审判如何在现行法的框架内防范实现风险防范的目的。     

Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications

This article presents a general framework for identifying andmodeling the joint-tail distribution based on multivariate extremevalue theories. We argue that the multivariate approach is themost efficient and effective way to study extreme events suchas systemic risk and crisis. We show, using returns on fivemajor stock indices, that the use of traditional dependencemeasures could lead to inaccurate portfolio risk assessment.We explain how the framework proposed here could be exploitedin a number of finance applications such as portfolio selection,risk management, Sharpe ratio targeting, hedging, option valuation,and credit risk analysis.     

财务重述、管理层权力与股价崩盘风险：来自中国证券市场的经验证据

股市震荡引发投资者和监管层对股价崩盘风险的关注。从财务重述背后所反映的财务信息质量低下和公司治理失效出发,探讨其对股价崩盘风险的影响,结合管理层权力这一影响组织行为和产出能力的代理人特征,探讨其对财务重述与股价崩盘风险之间关系的影响。研究结果表明：相比未发生财务重述的公司,发生了财务重述的公司的股价崩盘风险明显更高;进一步纳入代理人特征———管理层权力后,发现代理人的这一特征对上述关系有明显的促进作用。     

Legal Restrictions in Personal Loan Markets

This study examines the pricing of personal loans in the form of second mortgages to determine whether state-specific default laws have an effect on the availability and cost of that debt. We examine the pricing of loans to higher risk borrowers and whether borrowers in states that limit lender ability to seek default remedies pay higher credit costs. Our results indicate that, for the most part, lenders rationally price loans to higher risk borrowers. However, when we focus on borrowers with low credit scores, the results indicate that mean actual loan rates are higher than those predicted by our model. The results also indicate that state-specific default laws have an effect on the price of credit. Finally, the results show that there is a greater degree of error in the pricing of second mortgage loans to borrowers with low credit scores than to borrowers with high credit scores.     

Animal Spirits,Financial Markets,and Aggregate Instability

This paper examines whether people's animal spirits were drivers of U.S. business cycle fluctuations. In the context of an estimated macroeconomy with endogenous financial market frictions, allowing for “psychological” or nonfundamental expectational shocks improves the fit of the model and, at the posterior mode, these shocks account for well over one-third of output fluctuations. Exogenous financial frictions are considerably less important. U.S. data favor the indeterminacy model over versions of the economy in which animal spirits cannot play a role.     

建立期货市场规避油价风险

经国务院批准,国家发展改革委决定自今年3月26日起,适当提高成品油价格水平,将汽油和柴油出厂价格每吨分别提高300元和200元,当日,北京市93号汽油涨至4．65元/升。随着我国经济的持续快速发展,国内石油消费对外依存度不断提高。国内成品油价格大幅度低于国际市场价格,与原油价格严重倒挂,发改委认为,这不利于调动炼油企业生产积极性、保障成品油市场供应和促进石油资源的节约,影响经济的平稳运行。     

Informational Black Holes in Financial Markets

We show that information aggregation in primary financial markets fails precisely when investors hold socially useful information for screening projects. Being wary of the Winner's Curse, less optimistic investors refrain from making financing offers, since their offers would be accepted only when a project is unviable. Their information is therefore lost. The Winner's Curse and associated information loss grow with the number of informed market participants, so that larger markets can lead to worse financing decisions and higher cost of capital for firms seeking financing. Precommitment to ration fundraising allocations, collusive club bidding, and shorting markets can mitigate the inefficiency.