Stressing correlations and volatilities — A consistent modeling approach

We propose a new approach to the definition of stress scenarios for volatilities and correlations. Correlations and volatilities depend on a common market factor, which is the key to stressing them in a consistent and intuitive way. Our approach is based on a new asset price model where correlations and volatilities depend on the current state of the market, which captures market-wide movements in equity-prices. For sample portfolios we compare correlations and volatilities in a normal market and under stress and explore consequences for value-at-risk.We compare our modeling approach with multivariate GARCH models. For all data analyzed our model performs well in capturing the dynamics of volatilities and correlations under stress.     

Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach

In this study, we use a factor model in order to decompose sovereign Credit Default Swaps (CDS) spreads into default, liquidity, systematic liquidity and correlation components. By calibrating the model to sovereign CDSs and bonds we are able to present a better decomposition and a more accurate measure of spread components. Our analysis reveals that sovereign CDS spreads are highly driven by liquidity (55.6% of default risk and 44.32% of liquidity) and that sovereign bond spreads are less subject to liquidity frictions and therefore could represent a better proxy for sovereign default risk (73% of default risk and 26.86% of liquidity). Furthermore, our model enables us to directly study the effect of systematic liquidity and flight-to-liquidity risks on bond and CDS spreads through the factor sensitivity matrix. We find that these risks do have an influence on the default intensity and they contribute significantly to spread movements. Finally, our empirical results advance the idea that the increase in the CDS spreads observed during the crisis period was mainly due to a surge in liquidity rather than to an increase in the default intensity.     

A melting pot — Gold price forecasts under model and parameter uncertainty

Gold is special as it is influenced by a wide range of factors such as commodity prices, interest rates, inflation expectations, exchange rate changes and stock market volatility. Hence, forecasting the price of gold is a difficult task and the main problem a researcher faces is to select the relevant regressors at each point in time. This model uncertainty in combination with parameter uncertainty is explicitly accounted for by Dynamic Model Averaging (DMA) which allows both the forecasting model and the coefficients to change over time. Based on this framework, we systematically evaluate a large set of possible gold price determinants and find that DMA (1) improves forecasts compared to other frameworks, (2) yields strong time-variation of gold price predictors and (3) favors parsimonious models. The results also show that typical in-sample features of gold such as its hedge property are weaker in an out-of-sample context.     

Measuring informational efficiency of the European carbon market — A quantitative evaluation of higher order dependence

This paper introduces a new method for measuring nonlinear predictability in financial price changes: the so-called intermittency coefficient, a parameter of the multifractal random walk model by Bacry et al. (2001). As the intermittency coefficient can quantify the degree of nonlinear deviation from a random walk, we employ its estimates from financial data as a proxy for the loss of financial market efficiency. In addition, we propose a new statistical test of the random walk hypothesis. In an empirical application using data from the largest currently existing market for tradable pollution permits, the European Union Emissions Trading Scheme (EU ETS), we show that the degree of efficiency of this market remains largely unchanged over the period of observation 2008–2019. This suggests that the market has reached a mature state: informational efficiency in Phase III remains at a level comparable to Phase II. What is more, the EU ETS is found to be more efficient than the US stock market. This result, surprising as such, is largely attributable to the lower exposure to global economic shocks of the EU ETS.     

New evidence on the monetary approach of exchange rate determination in Mexico 1994–2007: A cointegrated SVAR model

We provide empirical evidence supporting the validity of both short and long run versions of the Monetary Approach of Exchange Rate determination for the Mexican peso–U.S. dollar exchange rate from 1994 to 2007 using a cointegrated SVAR model. We estimate not only the long-run relationship, between the variables of the monetary model for the exchange rate, but also the very short run effects which have been often ignored in previous empirical work. We show that there are robust short and long-run relationships between the Mexican monetary aggregates and the exchange rate, which ultimately responds to what Bilson's variant of MAER predicts.     

Corporate governance—A multi-theoretical approach to recognizing the wider influencing forces impacting on organizations

It has been argued by researchers that agency theory has limitations as the underpinning theory for governance given its inability to recognize the wider environmental influencing forces impacting on organizations. This paper provides a case for incorporating a number of management-based theories to augment agency theory in recognizing these wider environmental influencing forces and the consequent extended governance paradigm it creates. Through a theory building approach that reviews and critically analyses the extant literature, a case is built to integrate four existing theories that complement each other to recognize these wider influencing forces. The paper argues that the proposed approach will narrow the theoretical practical gap in governance and will consequently have policy implications on governance guidelines. Further research is suggested to validate the approach with a wide range of real life organizational settings.     

New development: Managing the Covid-19 pandemic—from a hospital-centred model of care to a community co-production approach

ABSTRACT

Covid-19 is not only a crisis of intensive care but a social and humanitarian crisis. Until mass vaccination is undertaken, control of contagion will rely on responsible behaviour by citizens. Strategies for fighting Covid-19 in different regions of Italy have shown that an area-specific approach, not just hospital-focused, pays off. This article proposes a community co-production approach, in the light of discussions with politicians and key health decision-makers and actors.     

黔轮胎A(000589) 产品价格有望上涨

■公司2月1日公告定向增发计划落空■股价近期快速上涨后迅速回落■轮胎产品价格有上涨预期■当前股价:10.38元目标股价:13元■今日投资个股安全诊断星级:★★★     

Can Loan Valuation Adjustment (LVA) approach immunize collateralized debt from defaults?

This study focuses on structuring tangible asset backed loans to inhibit their endemic option to default. We adapt the pragmatic approach of a margin loan in the configuring of collateralized debt to yield a quasi‐default‐free facility. We link our practical method to the current Basel III (2017) regulatory framework. Our new concept of the Loan Valuation Adjustment (LVA) and novel method to minimize the LVA converts the risky loan into a quasi risk‐free loan and achieves value maximization for the lending financial institution. As a result, entrepreneurial activities are promoted and economic growth invigorated. Information asymmetry, costly bailouts and resulting financial fragility are reduced while depositors are endowed with a safety net equivalent to deposit insurance but without the associated moral hazard between risk‐averse lenders and borrowers.     

Does the Holland model of occupational choice (HMOC) perpetuate the Beancounter-Bookkeeper (BB) stereotype of accountants?

This article investigates the Holland model of occupational choice's (HMOC) development, influence, and validity in relation to its classification of bookkeepers, accountants, and business professionals. Study 1 reanalyzes published data and provides evidence that the Beancounter-Bookkeeper (BB) stereotype, which is promoted in the HMOC, is partially predictive of the personality characteristics of individuals who choose to enter professional accountancy. Study 2 investigates the influence of HMOC training, and exposure to accounting education, on perceptions of the personality type needed for accounting work; results indicate that: (1) HMOC training is associated with perceptions that accounting work requires a BB personality, and (2) the importance of investigative skills to accounting work increase with accounting education. Following this, we review evidence that suggests low validity in the HMOC's claims of greater job success and satisfaction among BB accountants. Finally, we consider three possible processes that may explain Holland and colleagues’ conjoining of accountants with bookkeepers. Together, the analysis promotes skepticism regarding whether the HMOC's claim that professional accounting success demands a passive, compliant, subservient, i.e., BB, personality supports the public interest obligations of professional accountants.     

甘肃金融动态(2022.9.16—2022.10.15)

9月16日,中国工商银行金昌科技支行揭牌仪式在金昌市行政中心举行。新设立的工行金昌科技支行将推动金融服务科技创新方面实现特色化服务,满足科创群体的金融需求,助推“强科技”行动深入实施。(许青/供稿)9月16日,中国华融资产管理甘肃省分公司成功竞得浦发银行兰州分行2022年第三季度不良资产包,实现年内不良资产收购零的突破。此次浦发银行兰州分行推出23户、5.9亿元本金的资产包清单后,该公司对核心资产开展了现场尽调。     

Can both Bitcoin and gold serve as safe-haven assets? — A comparative analysis based on the NARDL model

This paper uses the nonlinear autoregressive distributed lag (NARDL) model to analyze the different performances of Bitcoin and gold under the impacts of three different uncertainties, namely global economic policy uncertainty (GEPU), US stock market volatility index (VIX) and the CBOE crude oil ETF volatility index (OVX). The results indicate that faced with shocks of different uncertainties, Bitcoin is unable to serve as a safe-haven, while gold can hedge against uncertainties to varying degrees. Moreover, the three types of uncertainties have asymmetric impacts on the prices of Bitcoin and gold respectively. The decrease of uncertainties has a greater impact on Bitcoin price than the increase, while the increase of uncertainties has a greater impact on gold price than the decrease. It suggests that investors are cautious and optimistic about Bitcoin, and gold remains unanimously recognized as the traditional safe-haven.     

世态百象5——昆明掠影(小幽默)

<正>谁去?蛇、蚂蚁、蜘蛛、蜈蚣在家里搓麻将。8圈之后,烟抽完了。大家商量让谁去买烟。蛇说:"我没脚,我不去,让蚂蚁去"。蚂蚁说:"蜘蛛八只脚,比我的多,让蜘蛛去"。蜘蛛说:"我的脚再多也比不过蜈蚣大哥呀,让蜈蚣去吧"。蜈蚣无奈,只好出门去买烟……谁去?一个多钟头了,不见蜈蚣回来,两个钟头后,还不见蜈蚣买烟回来。于是大家让蜘蛛出去看看,     

中央财经大学学报(2004年1——11期目录)

·财政税收·农村公共产品供给与农民收入问题研究王国华 (1)…………………………………………………………………………………………………对我国政府间转移支付的几点思考李兰英 (1)………………………………………………………………………………………………………逃税规模的衡量张德勇 (1)……………………………………………………………………………………………………………………………公债的利率期限结构与成本管理宋永明　王玲 (1)…………………………………………………………………………………………………出口退税 :彻底退…     

European Mortgage Securitisation: A Valuer''''s Guide (Continued)

II. European MBS-Market Tracking issuances, the volume of the residential MBS market segment in the European Union may be esti- mated at 150 bn Euro, which represents approximately 3.5% of the total residential mortgage loan outstanding in the EU (end of 2001). In some European countries, outstanding RMBS are much more significant than the European average. RMBS volume ranges from 3.6% (UK), 7 and 8% (Spain and the Netherlands respectively) up to even 10% (Ireland) of the respective…     

你好,中国A股第一县(市)

长江之尾,东海之头,座落着一座美丽的城市,她的名字叫江阴.在市场经济的大潮中,江阴乘风破浪,挺立潮头,引起了世人瞩目:在这里,有一批处于全国同行业龙头老大的企业,有10家上市公司(因而被称为"华厦A股第一县"),有在全国县市中名列第一的国家级企业集团,还有8个全国最大的行业生产基地,总之,她用占全国万分之一的土地、千分之一的人口,创造出了超过全国三百分之一的生产总值.     

采购—付款舞弊风险预防(上)

由于市场竞争日益激烈导致大量产品从卖方市场向买方市场转变、市场上的产品质量差异巨大、多种不同性质的经济体并存以及社会诚信体制的不健全等等原因,导致企业采购-付款业务变成了舞弊风险的高发区。笔者将分上下两期介绍采购-付款业务中的企业实践中常用的预防舞弊风险的方法。