Correlation, Models, and Risk Management in Challenging Times

This paper considers correlation, models, and risk managementin light of recent financial market events. It begins with areview of key contributing factors, then considers the roleof liquidity in measuring default risk, and highlights somelessons learned from the experience as events continue to unfold.It concludes by discussing some key ways in which regulatorsare moving forward to address the current situation, mitigatefuture risk, and strengthen the resiliency of the global financialsystem.     

新书推荐:邵平博士《商业银行合规风险管理》评介

2008年,一场次贷危机让全世界见证了由金融创新编织的海市蜃楼走向幻灭。危机爆发后,对外部监管和银行业自身合规风险管理的诟病和疑虑不绝于耳。在各种纷杂的声音中,越来越多的商业银行认识到,风险在更大程度上是由自身的风险管理失控所致,外部合规监管不应该,事实上也不能替代商业银行的合规     

新时期我国财政审计:方向、目标、重点和对策

全面认识、正确把握、积极推动十二五期间乃至更长一段时间我国财政审计的科学发展,必须立足把握公共财政体系改革的大方向,找准目标和重点,采取有效对策,真正实现财政审计的规范性和科学性。本文在全面思考财政审计发展方向的基础上,以促进公共财政体制改革与国家宏观调控政策落实为总目标,探索建立多元化财政审计目标组合,并从公共财政、公共服务、风险防控、可持续发展、经济转型、统筹发展等六个方面阐述了财政审计大格局趋势下的审计重点,提出了加强和改进财政审计的对策建议。     

Net Settlement and Counterparty Risk: Evidence from the Formation of the New York Stock Exchange Clearing House in 1892

The securities settlement literature indicates that centralized settlement can reduce monitoring incentives and lead to excessive risk‐taking and inefficient risk‐sharing. This paper examines broker‐failure rates and counterparty losses surrounding the transition from bilateral to multilateral settlement facilitated by the NYSE. Study results provide evidence that net settlement reduced failures without diminishing risk constraining incentives. The study constructs a controlled comparison of broker failures through data collected from the NYSE and the Consolidated Stock Exchange, which traded identical securities settled under different systems. The results suggest that multilateral settlement is advantageous when financial markets are highly stressed.