在风险管控下跑马圈地

近年来，以信用卡业务为代表的个人银行业务利润日益凸显，并表现出巨大的增长潜力。各家银行此起彼伏的促销策略以及异军突起的信用卡广告大战，已经成为百姓生活中的新风景。信用卡客户争夺战硝烟弥漫。如何在信用卡规模经济和风险控制的矛盾中实现稳步、健康的发展，是对各家银行的考验。这一矛盾能否求解？近日，本刊记将这一难题交给了首航财务管理顾问有限公司资深副总裁黎晓波、刘辉和于江。三位有着多年国际名信用卡公司长期管理操作经验的专家接受了采访。[编按]     

在风险管控下跑马圈地

近年来,以信用卡业务为代表的个人银行业务利润日益凸显,并表现出巨大的增长潜力。各家银行此起彼伏的促销策略以及异军突起的信用卡广告大战,已经成为百姓生活中的新风景。信用卡客户争夺战硝烟弥漫。如何在信用卡规模经济和风险控制的矛盾中实现稳步、健康的发展,是对各家银行的考验。这一矛盾能否求解?近日,本刊记者将这一难题交给了首航财务管理顾问有限公司资深副总裁黎晓波、刘辉和于江。三位有着多年国际著名信用卡公司长期管理操作经验的专家接受了采访。     

物流业上演跑马圈地

“中国将在三年内逐步开放物流业,所以2005年无疑是个分界线,那时候,谁走在了前头,谁就抢占了制高点。”     

外资银行加速跑马圈地

近来,外资银行在内地跑马圈地不断加快脚步,网点从长三角、珠三角开到偏远的中西部,从城市开到农村。一些新进人中国的外资行甚至还没来得及本土化,就急着撒开大网奔向全国各地建立分行。     

外资在粮食产业“跑马圈地”

最近,在河北藁城流传这样一个说法,粮食储备企业制定收购价格,还要与国际粮商协商。     

跑马圈地时代的企业危机

我相信,富士康是有企业文化的,我更相信,比富士康更富士康的企业,同样是有企业文化的。问题是,企业文化除了被灵魂化,还被妖魔化,甚至成为某些企业与某些领导层的遮羞布,如同一张美国西太平洋大学的文凭,表面上看很“海龟”,其实是盗版的“忍者神龟”。     

“东方犹太人”北京跑马圈地

本期《商界人物》,我们就为大家推出在京潮商中的几位领军人物,他们是正大制药的谢炳、国美的黄光裕、国瑞兴城的张章笋和安华城的黄锡昂。     

新形势下农村金融市场谨防“跑马圈地”

十四届七中全会以来,在国家大力开展社会主义新农村建设政策引导下,人民银行加大支持农村金融服务力度,金融监管部门放宽了农村金融市场准入标准,农村金融市场参与者不断增加,竞争格局逐渐形成,有力地促进了社会主义新农村建设。但部分涉农金融机构经营模式单一,信贷资金管理仍停留在粗放式管理上,为了抢占市场和客户,出现了“跑马圈地”现象,这些新问题、新情况值得关注。     

郭华明:跑马新时代“圈地”运动

“在我们的账表上,山西与其说是煤炭与能源的概念,不如说行和列间交织着一列车一列车的钞票。”郭华明极富职业惯性地说。“我肯定会继续在煤炭这一行业努力不懈,山西仅仅是一个起点。”如此“蓬勃野心”他毫不加以掩饰。“或者说,煤炭只是我们万里长征的第一步,电力、石油、天然气等等大能源范围都要划归到我们的领地。在2003年国电、华电、三峡等等国有水电巨头频频挥师西进的时候,我们的“西进计划”也正式起航,并且捷报频传,一方面全面撒开了陕西、宁夏的煤矿开采网络,另一方面更是大笔一挥投资13个亿一举攻下了雅砻江流域中游的水电梯级开发项目。时下,囊括了‘强渡大渡河’、‘巧夺金沙江’及它们中小支流在内的中西部梯级流域水电开发“圈河”运动,也正在我们的计划里声势浩大地浮出。”     

Option market making under inventory risk

We propose a mean-variance framework to analyze the optimal quoting policy of an option market maker. The market maker’s profits come from the bid-ask spreads received over the course of a trading day, while the risk comes from uncertainty in the value of his portfolio, or inventory. Within this framework, we study the impact of liquidity and market incompleteness on the optimal bid and ask prices of the option. First, we consider a market maker in a complete market, where continuous trading in a perfectly liquid underlying stock is allowed. In this setting, the market maker may remove all risk by Delta hedging, and the optimal quotes will depend on the option’s liquidity, but not on the inventory. Second, we model a market maker who may not trade continuously in the underlying stock, but rather sets bid and ask quotes in the option and this illiquid stock. We find that the optimal stock and option quotes depend on the relative liquidity of both instruments as well as on the net Delta of the inventory. Third, we consider an incomplete market with residual risks due to stochastic volatility and large overnight moves in the stock price. In this setting, the optimal quotes depend on the liquidity of the option and on the net Vega and Gamma of the inventory.      

A note on asset management and market risk

The textbook view on risk in asset management companies is summarized by Hull (Risk Management and Financial Institutions, p. 372, 2007): “For an asset manager the greatest risk is operational risk.” Using evidence from various panel regression models, we show that asset management revenues carry substantial market risks, a finding that challenges not only academic risk management literature on the predominance of operative risks, but also the current industry practice of not hedging market risks that are systematically built into the revenue-generation process. For asset management companies to return to an annuity model, these risks need to be managed more actively. Shareholders do not want to be exposed to market beta by investing in asset management companies; they want to participate in these companies’ alpha generation and take advantage of their fund-gathering expertise as financial intermediaries.     

全面风险管理条件下商业银行内部控制体系的构建

内部控制是商业银行为了实现其管理目标而进行的一种制度约束.商业银行的风险管理是一个不断推进、不断深化的过程.基于全面风险管理条件下的内部控制体系的构建和实施是一项庞大的系统工程,需要商业银行各相关部门和全体员工的共同努力、规范执行才能实现.全面风险管理在商业银行的全面运用,会使得现阶段商业银行的内部控制体系与全面风险管理发生一定程度的冲撞.     

Risk and risk management in management accounting and control

Recent world events, most notably the global financial crisis, have refocused and intensified interest on risk and the nature of systems that operate to manage risk. One area that has received relatively little attention is the interrelation between risk, risk management and management accounting and control practices. This editorial provides an introduction to the special issue of the journal on “Risk and Risk Management in Management Accounting and Control”. It argues that risk and the way it is managed has become a feature of organizational life in both the public and private sectors. By changing organizational practices risk management can facilitate and legitimise certain ways of organizing. It has the potential to change lines of responsibility and accountability in organizations, representing a particular way of governing individuals and activities. The argument is further made that risk management has moved away from being an issue of narrow concern to finance (value at risk, derivatives, etc.) or accountants (financial statement disclosure, etc.) to an issue about management control and therefore a key area in which management accountants need to engage. This editorial also highlights the potential side-effects of risk management, including issues around trust and accountability, but also the focus on secondary or defensive risk management and the rise of reputation risk.     

Estimating a covariance matrix for market risk management and the case of credit default swaps

We analyze covariance matrix estimation from the perspective of market risk management, where the goal is to obtain accurate estimates of portfolio risk across essentially all portfolios—even those with small standard deviations. We propose a simple but effective visualisation tool to assess bias across a wide range of portfolios. We employ a portfolio perspective to determine covariance matrix loss functions particularly suitable for market risk management. Proper regularisation of the covariance matrix estimate significantly improves performance. These methods are applied to credit default swaps, for which covariance matrices are used to set portfolio margin requirements for central clearing. Among the methods we test, the graphical lasso estimator performs particularly well. The graphical lasso and a hierarchical clustering estimator also yield economically meaningful representations of market structure through a graphical model and a hierarchy, respectively.     

Corporate risk management and firm value: evidence from the UK market

The paper evaluates the effect of corporate risk management activities on firm value, using a sample of large UK non-financial firms. Following recent changes in financial reporting standards, we are able to collect detailed information on risk management activities from audited financial reports. This enables us to gain a better understanding of risk management practices and to investigate value implications of different types of hedging. Overall 86.88% of the firms in the sample use derivatives to manage at least one type of price risk. The hedging premium is statistically and economically significant for foreign currency derivative users, while we provide weak evidence that interest rate hedging increases firm value. The extent of hedging and the hedging horizon have an impact on the hedging premium, whereas operational risk management activities do not significantly influence the market value of the firm.     

Corporate risk management,product market competition,and disclosure

This paper studies the effects of hedge disclosure requirements on corporate risk management and product market competition. The analysis is based on a model of market entry and shows that to prevent entry incumbent firms engage in risk management when these activities remain unobserved by outsiders. In the resulting equilibrium, financial markets are well informed and entry is efficient. However, potential attempts for more transparency by additional disclosure requirements introduce a commitment device that provides incumbents with incentives to distort risk management activities thereby influencing entrant beliefs. In equilibrium, firms engage in significant risk-taking. This behavior limits entry and adversely affects the nature of competition in industries.     

商业银行转型与市场风险管理面临的挑战

由传统业务模式向现代业务模式转型,是商业银行保持可持续发展的必然要求和趋势,但商业银行在推进业务转型中可能遇到一定的合规与市场风险,值得监管者和风险管理部门关注,文章基于当前商业银行内部业务运作与外部市场环境的现状,以理财业务、债券承销业务与交易全球化为代表具体分析了其中的风险点,并提出相关对策建议。     

Changes in the market structure and risk management of Bitcoin and its forked coins

Inconsistency of consensus results in blockchain forks, which create a new financial risk. After filtering out Bitcoin’s linear, nonlinear, and lag impacts on forked coins, this study employs a bottom-up hierarchical clustering algorithm to examine the logarithmic return series for Bitcoin and its 14 forked coins from 2018 to 2021. The results indicate that the market for forked coins can be divided into three clusters: SegWit-supported forked coins, mature forked coins, and the latest forked coins. Bitcoin and the mature forked coins form a cluster, and its performance is superior to others. Although Bitcoin’s return significantly affects that of its forked coins, it does not affect the market structure. Furthermore, this study provides references for risk aversion among investors in forked coins and presents macro-level information for cryptocurrency market authorities.