The CBD Mortality Indexes: Modeling and Applications

Most extrapolative stochastic mortality models are constructed in a similar manner. Specifically, when they are fitted to historical data, one or more series of time-varying parameters are identified. By extrapolating these parameters to the future, we can obtain a forecast of death probabilities and consequently cash flows arising from life contingent liabilities. In this article, we first argue that, among various time-varying model parameters, those encompassed in the Cairns-Blake-Dowd (CBD) model (also known as Model M5) are most suitably used as indexes to indicate levels of longevity risk at different time points. We then investigate how these indexes can be jointly modeled with a more general class of multivariate time-series models, instead of a simple random walk that takes no account of cross-correlations. Finally, we study the joint prediction region for the mortality indexes. Such a region, as we demonstrate, can serve as a graphical longevity risk metric, allowing practitioners to compare the longevity risk exposures of different portfolios readily.     

Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II

Recently Cairns et al. introduced a general framework for modeling the dynamics of mortality rates of two related populations simultaneously. Their method ensures that the resulting forecasts do not diverge over the long run by modeling the difference in the stochastic factors between the two populations with a mean-reverting autoregressive process. In this article, we investigate how the modeling of the stochastic factors may be improved by using a vector error correction model. This extension is highly intuitive, allowing us to visualize the cross-correlations and the long-term equilibrium relation between the two populations. Another key benefit is that this extension does not require the user to assume which one of the two populations is dominant. This benefit is important because, as we demonstrate, it is not always easy to identify the dominant population, even if one population is much larger than the other. We illustrate our proposed extension with data from a pair of populations and apply it to the calculation of Solvency II risk capital.     

On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England

In any country, mortality rates and indices such as life expectancy usually differ across subpopulations, for example, defined by gender, geographic area, or socioeconomic variables (e.g., occupation, level of education, or income). These differentials, and in particular those related to socioeconomic circumstances, pose important challenges for the design of public policies for tackling social inequalities, as well as for the design of pension systems and the management of longevity risk in pension funds and annuity portfolios. We discuss the suitability for the modeling and forecasting of socioeconomic differences in mortality of several multiple population extensions of the Lee-Carter model, including a newly introduced relative model based on the modeling of the mortality in socioeconomic subpopulations alongside the mortality of a reference population. Using England mortality data for socioeconomic subpopulations defined using a deprivation index, we show that this new relative model exhibits the best results in terms of goodness of fit and ex post forecasting performance. We then use this model to derive projections of deprivation specific mortality rates and life expectancies at pensioner ages and analyze the impact of socioeconomic differences in mortality on the valuation of annuities.     

Redistribution and Insurance: Mandatory Annuitization With Mortality Heterogeneity

This article examines the distributional implications of mandatory longevity insurance when mortality heterogeneity exists in the population. Previous research has demonstrated the significant financial redistribution that occurs under alternative annuity programs in the presence of differential mortality across groups. This article embeds that analysis into a life‐cycle framework that allows for an examination of distributional effects on a utility‐adjusted basis. It finds that the degree of redistribution that occurs from the introduction of a mandatory annuity program is substantially lower on a utility‐adjusted basis than when evaluated on a purely financial basis. In a simple life‐cycle model with no bequests, complete annuitization is welfare enhancing even for those with higher‐than‐average expected mortality rates, so long as administrative costs are sufficiently low. These findings have implications for policy toward annuitization, particularly as part of a reformed Social Security system.     

Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee-Carter Framework

Longevity risk is a major issue for insurers and pension funds, especially in the selling of annuity products. In that respect, securitization of this risk could offer great opportunities for hedging. This article proposes to design survivor bonds which could be issued directly by insurers. In order to guaranty some transparency in the product, the survivor bond is based on a public mortality index. The classical Lee‐Carter model for mortality forecasting is used to price a risky coupon survivor bond based on this index.     

住房抵押贷款证券化运作的难点及对策

目前在我国，尚不具备完善的住房抵押贷款证券化运作环境，这就使住房抵押款证券化运作面临许多难点。诸如，住房抵押贷款标准化的问题、证券化特设机构的设置问题、政府能否提供信用担保或保险的问题等。本拟在对这些难点进行研究的基础上，提出相应的对策建议，以推动我国住房抵押贷款证券化的发展。     

Excess Mortality In Asia Associated With Cigarette Smoking

Abstract

Cigarette smoking has reached epidemic proportions in many Asian countries, and epidemiologists predict massive increases in the number of smoking-related deaths in future decades. This information is of great interest to insurers who would like to sell coverage in these markets with smoker/nonsmoker-distinct pricing. This review examines excess mortality due to cigarette smoking in Asia as determined by a second-quarter 1998 Internet search of the world’s English-language medical literature for references published during the preceding five years. Studies to date which observed fairly low relative risks of mortality in smokers compared with nonsmokers in Asia despite a high prevalence of smoking can be explained by the fact that health outcome data represent early experience. Given similar associations between smoking and mortality in Asian and Western studies, it is likely that mortality patterns of smokers in Asia eventually will mirror those seen in the U.S. and the United Kingdom.     

证券化：化解不良资产的有效途径

证券化已成为化解不良资产的重要途径。在我国，不良资产证券化已具备了基本条件。在具体操作中，信用升级、品种设计、二级市场建设是存在的重要问题。     

难解的中关村"哥德巴赫猜想"

北京的中关村是高科技中小企业聚集地,也是创业人才云集的地方,但是长期以来,融资难成为一道难解的“哥德巴赫猜想”     

住房抵押贷款证券化：问题与政策建议

住房抵押贷款证券化作为一项重要的金融创新,其实质是为发放住房抵押贷款的金融机构提供了一种新的融资方式。当前,我国推行住房抵押贷款证券化任重而道远,还不具备大规模开展住房抵押贷款证券化的条件,虽然住房抵押贷款证券化在我国具有其特殊的现实意义,但由于外 部条件还不完全具备,必须为住房抵押贷款证券化创造各种市场条件和制度条件。     

Modeling Operational Risk With Bayesian Networks

Bayesian networks is an emerging tool for a wide range of risk management applications, one of which is the modeling of operational risk. This comes at a time when changes in the supervision of financial institutions have resulted in increased scrutiny on the risk management of banks and insurance companies, thus giving the industry an impetus to measure and manage operational risk. The more established methods for risk quantification are linear models such as time series models, econometric models, empirical actuarial models, and extreme value theory. Due to data limitations and complex interaction between operational risk variables, various nonlinear methods have been proposed, one of which is the focus of this article: Bayesian networks. Using an idealized example of a fictitious on line business, we construct a Bayesian network that models various risk factors and their combination into an overall loss distribution. Using this model, we show how established Bayesian network methodology can be applied to: (1) form posterior marginal distributions of variables based on evidence, (2) simulate scenarios, (3) update the parameters of the model using data, and (4) quantify in real‐time how well the model predictions compare to actual data. A specific example of Bayesian networks application to operational risk in an insurance setting is then suggested.     

“技术控”看资产证券化重启

停滞3年的资产证券化悄然重启。此次重启试点将有两大方向:一是扩大试点银行范围;二是扩大试点资产的范围。停滞3年的资产证券化悄然重启。2月16日,多位银行业人士透露,目前央行和银监会就资产证券化具体实施方案已达成初步共识,包括国家开发银行     

Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets

In this paper, we study the extreme dependence between the markets in Hong Kong, Shanghai, Shenzhen, Taiwan and Singapore. The tail dependence coefficient (TDC), which measures how likely financial returns move together in extreme market conditions, is modeled dynamically using the Multivariate Generalized Autoregressive Conditional Heteroscedasticity model with the time-varying correlation matrix of Tse and Tsui (Journal of Business & Economic Statistics, 20(3):351–363, 2002). The time paths of the TDC indicate that Hong Kong stocks had the highest extreme dependence during the Asian financial crisis and their TDCs have followed an increasing trend since 2006. The results in this paper also show that the TDC pattern of Singapore with the other markets is very similar to the TDC pattern of Hong Kong with the other markets. An increasing trend in the extreme dependence between Shanghai A Share Index and Shanghai B Share Index and between the Hang Seng Index and the Hong Kong China Enterprise Index is observed from 2002 to 2007. A substantial rise in the TDC between Shenzhen A Share Index and Shenzhen B Share Index was recorded after the China market reforms in 2005. Our TDC modeling with Asian market data provides evidence that Asian markets are becoming integrated and their extreme co-movements during financial turmoil are becoming stronger.     

我国推行资产证券化的障碍分析

一、何谓资产证券化资产证券化(Asset Backed Securitization,ABS)是指将缺乏流动性,但能够产生稳定、可预见的现金流收入的资产,转换成在金融市场可以出售和流通的证券的行为.适宜进行证券化的不良资产至少必须具备如下条件:(1)资产缺乏流动性但能够在未来产生可预测的稳定的现金流量;(2)本息偿还能够分摊于整个资产的存续期;(3)资产的抵押物具有较高的变现价值或其对债务人的效用很高;(4)资产具有标准化和高质量的合同条款.     

证券化：国际经验与国内实践

国外证券化发展
　　证券化是将资产的未来现金流作为担保品并以此为基础发行标准化证券的过程,兴起于20世纪70年代的美国。最初推动这项创新技术的不是商业化运作的金融机构,而是政府。在20世纪70年代前,多数住房抵押贷款因缺乏流动性只能“停留”在贷款机构的资产负债表中,抑制了贷款机构发放贷款的积极性。“市场”存在的意义是为了让商品的流通更加自由、活跃,商品交易的活跃反过来又会促进“市场”的繁荣。美国政府意识到了活跃“住房抵押贷款流通市场”的重要性,于是,有政府信用支撑的3家机构--房地美、房利美和吉利美开始不仅从贷款机构手中购买贷款,还将这些资产打包后以标准化证券的形式出售给遍及全球的投资者。随着长期限的住房抵押贷款市场活跃度的提高,其他流动性欠佳的资产,如信用卡应收账款、学生贷款、商业地产贷款等,也逐渐加入到了证券化的行列,证券化的参与者也从“政府机构”逐渐扩展到商业化机构,证券化产品的结构设计从简单的“单一层级”发展为“多层级”,证券化的目的从活跃市场进而发展为资本管理、流动性管理、风险管理、套利,甚至投机。     

贸易融资资产的证券化分析

资产证券化是我国金融市场发展的重要方向之一,而贸易融资资产是商业银行的重要资产之一。在贸易额逐年增加的背景下,促进贸易融资资产的证券化不仅是商业银行进行风险管理的重要方式,也是推进我国资产证券化进程的有效途径。由于供应链融资思想的引入,目前的贸易融资过程与传统的贸易融资相比有了较大的变化。在我国资产证券化市场刚刚出现的背景之下,贸易融资资产的证券化需要解决原始资产的风险管理、证券化模式的选择、中介机构制度的创立、信用评级与增级和机构监管等一系列的制度问题。     

Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis

The objective of this paper is to examine the possible linkage between the intraday stock price crashes and jumps and public information by using data from the Chinese stock market and Baidu Index. We divided public information into two kinds of information: supply through online media and information demand across inquiries by individual investors. Using a large sample from Chinese listed firms from 2013 to 2019, our evidence clearly indicates that online information supply and demand both have a positive impact on the intraday crashes and jumps; this is, the firm with higher information supply and demand more likely to experience intraday crashes and jumps. The results are robust to an alternative measure of crash risk. Moreover, we further examine whether the market conditions have an impact on the relationship between information flow and intraday crashes and jumps, and find that the marginal effect of information supply on intraday price crashes and jumps is smaller in the bull market phase. Moreover, the bull market phase enhances the effect of information demand on intraday price crashes and jumps.

     

探析不良资产证券化重启的时机与途径

证券化是国际上处置不良资产的一条有效途径.我国商业银行不良资产规模庞大、成因复杂,处置手段受到多重因素的约束,开展银行不良资产证券化必要且可行,但在我国的实践中仍面临着诸多问题和挑战,亟待突破.未来,随着相关法律法规的完善,以及资产证券化技术的成熟,证券化方式必将成为我国批量处置银行业不良资产的有效手段.同时,谨防不良资产证券化进程中可能发生的系统性风险.