The Tail Stein's Identity with Applications to Risk Measures

In this article, we examine a generalized version of an identity made famous by Stein, who constructed the so-called Stein's Lemma in the special case of a normal distribution. Other works followed to extend the lemma to the larger class of elliptical distributions. The lemma has had many applications in statistics, finance, insurance, and actuarial science. In an attempt to broaden the application of this generalized identity, we consider the version in the case where we investigate only the tail portion of the distribution of a random variable. Understanding the tails of a distribution is very important in actuarial science and insurance. Our article therefore introduces the concept of the “tail Stein's identity” to the case of any random variable defined on an appropriate probability space with a Lebesgue density function satisfying certain regularity conditions. We also examine this “tail Stein's identity” to the class of discrete distributions. This extended identity allows us to develop recursive formulas for generating tail conditional moments. As examples and illustrations, we consider several classes of distributions including the exponential family, and we apply this result to demonstrate how to generate tail conditional moments. This holds a large promise for applications in risk management.     

风险管理的一般措施(上)

金融业的风险,特别是银行中介的风险,主要源于其自身的高杠杆经营,源于其资产的软约束和负债的硬约束,当然也源于实体经济风险的诱致。由于金融风险及风险的放大效应给实体经济造成巨大的冲击,所以管理金融风险显得尤为重要。当然管理风险的目的不是消除风险,而是将风险控制在可以接受的水平。尽管其他经济体金融运行的基础,如私有制、法制普及水平、经济自由度和微观经济主体的成熟度,与我国都有较大的不同,但在技术层面、理念层面有许多可供借鉴的。基于此,我们把香港金融管理局在2003年4月发布的“风险管理一般措施”刊出。希望起到“它山之石”的作用。     

风险管理的一般措施(下)

4.政策、程序及限额 4.1 政策及程序 4.1.1 认可机构应定有清晰的风险管理政策及程序。有关文件应获董事局或其指定委员会核准。 4.1.2 政策及程序应涵盖与认可机构业务有关的所有重要风险,并应在整个公司或集团的基础上编制。有关的政策及程     

Market Risk of Mortgage-Backed Securities with Consistent Measures

Due to the complex prepayment behavior, mortgage contracts and their derivatives are generally priced using Monte Carlo simulations. The typical approach used by the industry, which involves simulating interest rates under the risk-neutral measure and applying a physically measured prepayment function, is subject to the problem of internal inconsistency. This is the first paper that directly investigates the potential impact of this issue. Following the general equilibrium setting by Cox, Ingersoll and Ross, we incorporate the market risk price parameter to derive the physical interest rate process from an observed yield curve. This allows us to model mortgage values under the consistent physical measures of interest rates and prepayment functions. By analyzing a default-free Ginnie Mae MBS, we find that the mixed measures lead to slower prepayment rate estimates and overpriced mortgage securities by approximately 5%. Further, there can be substantial biases in the duration and convexity measures depending on market condition and the particular security of interest. The internal inconsistency also leads to biased predictions of both expected and stressed returns for different investment horizons. Depending on the particular security, the bias in expected and stressed returns can be either positive or negative. These biases in risk estimates can introduce misallocation of risk-based capital and/or failure in hedging the market risk of a mortgage-related portfolio.

其他综合收益、分析师预测与决策价值

其他综合收益作为“脏盈余”的回收站,是否对信息使用者具有决策价值是困扰准则制定者的重要学术问题,从资本市场最专业的财务报表使用者——证券分析师视角出发,研究其他综合收益对分析师盈余预测的影响,检验分析师是否能够有效识别利用其他综合收益信息.研究结果表明:其他综合收益信息对分析师盈余预测准确性有显著影响,即其他综合收益比重高的企业,分析师盈余误差的分歧越大;其他综合收益强制披露后分析师解读成本减低,盈余预测准确性得以提高.结论支持现阶段其他综合收益信息在分析师利预测中的作用,间接证明其他综合收益的决策价值.     

Multinational Performance Measures and Their Association with Contextual Variables

Demirag (1986, 1987) has shown that UK multinational corporations (MNCs) are ‘local currency oriented’ in evaluating their foreign subsidiary operations and their managers. The purpose of this study is to investigate the relationships between the foreign currency orientation of UK MNCs in their internal performance measures, and a number of contextual variables. The contextual variables examined include: the size of the firm, organisational structure, the locus of decision making, the industry groups and the operating environments of the firms. The results of this study fail to confirm the expectations derived from the literature and prior research.     

基于CVaR-SV-N模型的股指期货风险度量

CVaR-SV-N模型能够更好地刻画股指期货收益率序列尖峰、厚尾和波动集群性的特征。以我国沪深300指数期货合约(IF1012)的日收益率为样本的实证分析表明建立在SV-N模型基础上的CVaR预测收益率涨跌波动与原始收益率的变化趋势比较一致,CVaR准确性检验说明CVaR预测收益的准确性在统计上是显著的,能够较准确地预测风险。     

The Stability of UK Risk Measures and The Problem of Thin Trading

This paper examines the problems of estimating risk measures and their stability in thin markets. It shows analytically that conventional approaches used in previous studies can lead to serious overestimates of the stability of risk measures when shares are subject to thin trading. It then demonstrates, using UK data, that this is, in fact, a serious practical problem, and that the resultant biases are of precisely the form predicted. Finally, the paper presents reliable evidence on the stability of UK risk measures by using an estimation method designed to avoid thin trading bias. Using this approach, risk measures are found to be as stable in the UK as they are in the USA.     

Interval Estimation of Actuarial Risk Measures

Abstract

This article investigates performance of interval estimators of various actuarial risk measures. We consider the following risk measures: proportional hazards transform (PHT), Wang transform (WT), value-at-risk (VaR), and conditional tail expectation (CTE). Confidence intervals for these measures are constructed by applying nonparametric approaches (empirical and bootstrap), the strict parametric approach (based on the maximum likelihood estimators), and robust parametric procedures (based on trimmed means).

Using Monte Carlo simulations, we compare the average lengths and proportions of coverage (of the true measure) of the intervals under two data-generating scenarios: “clean” data and “contaminated” data. In the “clean” case, data sets are generated by the following (similar shape) parametric families: exponential, Pareto, and lognormal. Parameters of these distributions are selected so that all three families are equally risky with respect to a fixed risk measure. In the “contaminated” case, the “clean” data sets from these distributions are mixed with a small fraction of unusual observations (outliers). It is found that approximate knowledge of the underlying distribution combined with a sufficiently robust estimator (designed for that distribution) yields intervals with satisfactory performance under both scenarios.     

Distortion Risk Measures and Economic Capital

Abstract

To provide incentive for active risk management, it is argued that a sound coherent distortion risk measure should preserve some higher degree stop-loss orders, at least the degree-three convex order. Such risk measures are called tail-preserving risk measures. It is shown that, under some common axioms and other plausible conditions, a tail-preserving coherent distortion risk measure identifies necessarily with the Wang right-tail measure or the expected value measure. This main result is applied to derive an optimal economic capital formula.     

创新国库资金风险监督的实践与思考

随着国库业务的创新和国库操作方式的转变,国库风险呈现出日益加大、产生速度快、相对集中、监督难度增大的新特点。本文从如何防范国库风险的角度对现有的国库风险特点进和归纳并提出了预防国库风险的主要措施。     

关于我国商业银行操作风险的若干对策思考

有关操作风险的防范,正日益引起各金融机构的重视,本文从操作风险的定义及其和信用风险、市场风险的特殊性区别出发,揭示出我国商业银行目前在操作风险防范方面存在的问题,认为必须更新理念、健全管理框架、强化管理手段,方能逐步达到新巴塞资本协议的要求。为此,作者提出了商业银行提高全员风险意识,确立风险报告制度,强化风险责任追究机制,加强风险教育,完善员工综合素质等对策措施。     

Time Period and Risk Measures in the General Risk Equation

In an earlier paper, a general risk equation, applicable to all non growth systems, and inclusive of financial systems, was derived. It related expected throughput capacity of any system to both system resources and positive risk of loss of throughput capacity. Two risk measures were required, a new MEL‐risk measure, and the conventional standard‐deviation risk measure.

In this paper we show that the two apparently distinct risk measures are intimately related, and that which one is appropriate depends merely on the time period over which the risk is calculated. We show, ultimately by application of the Central Limit Theorem, that if we merely sufficiently alter the time period, at some point the need for one measure will transition into the need for the other, without any change in the underlying physical system.

This leads to a comprehensive risk measure that defaults to either the MEL‐risk measure, or standard‐deviation measure, depending not on the physical system, but merely on the time period over which the risk is calculated.     

银行信贷中的行业风险测度

中国的商业银行信贷风险测度较多的是针对企业进行,而对企业所属行业的风险考虑不充分。目前针对行业的授信集中度限额并没有统一的规定,而需要基于行业特征因素,在行业授信风险测度的基础上动态地确定,因此有必要研究行业信贷风险的测度。。本文在行业风险测度指标体系设计的基础上,提出了PCA-Logit风险测度模型,并将其应用到制造业中。实证结果显示,根据该模型可以判断各行业违约风险的相对值,正判率达到85.7%。在银行贷款头寸一定的情况下,其相对风险的判断结果可为银行贷款结构的优化调整提供依据。     

Using Nonfinancial Measures to Assess Fraud Risk

This study examines whether auditors can effectively use nonfinancial measures (NFMs) to assess the reasonableness of financial performance and, thereby, help detect financial statement fraud (hereafter, fraud). If auditors or other interested parties (e.g., directors, lenders, investors, or regulators) can identify NFMs (e.g., facilities growth) that are correlated with financial measures (e.g., revenue growth), inconsistent patterns between the NFMs and financial measures can be used to detect firms with high fraud risk. We find that the  difference  between financial and nonfinancial performance is significantly greater for firms that committed fraud than for their nonfraud competitors. We also find that this difference is a significant fraud indicator when included in a model containing variables that have previously been linked to the likelihood of fraud. Overall, our results provide empirical evidence suggesting that NFMs can be effectively used to assess fraud risk.