A Markov switching analysis of contagion in the EMS

This paper applies the multivariate version of the Forbes and Rigobon (2002) contagion test, as proposed by Dungey et al. (2005a), to detect contagion effects in the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS). Crisis and non-crisis observations are determined endogenously via a Markov-switching vector autoregression (MSVAR). We show that the MSVAR is suitable for this purpose, as it does particularly well in identifying the 11 realignments of the ERM. We examine whether Denmark’s rejection of the Maastricht Treaty and Italy’s competitiveness problems affected other EMS participants and find evidence for contagion.     

Contagion effect on bond portfolio risk measures in a hybrid credit risk model

This paper illustrates how modelling the contagion effect among assets of a given bond portfolio changes the risk perception associated to it. This empirical work is developed in a hybrid credit risk framework that incorporates recovery rate risk. Dependence structures among firms and between external shocks affecting firms together are considered. The presence of correlations among firm leverage ratios and the interrelation between default probabilities and recovery rates produces clusters of defaults with low recovery rates. This has a major impact on standard risk measures such as Value-at-Risk and conditional tail expectation. Consequently, an appropriate measurement of the contagion has a tremendous effect on the capital requirement of many financial institutions.     

Modeling contagion in the Eurozone crisis via dynamical systems

We recently (Castellacci and Choi, 2013) formulated a theoretical framework for the modeling of financial instability contagion using the theories of dynamical systems. Here, our main goal is to model the Eurozone financial crisis within that framework. The underlying system comprises many economic agents that belong to several subsystems. In each instantiation of this framework, the hierarchy and nesting of the subsystems is dictated by the nature of the problem at hand. We describe in great detail how a suitable model can be set up for the Eurozone crisis. The dynamical system is defined by the evolution of the wealths of the individual agents and can be estimated by solving a nonlinear programming problem that incorporates features of prospect theory. Contagion is formulated in terms of how the market instability indicators for the different subsystems and the global system behave. We present several scenarios tailored to recent financial developments in the Eurozone and discussed within our model. These all point to the key role played by the elasticity coefficients of the wealth dynamical system. Accordingly, we put forward general recommendations on how regulators or other super-systemic agents may act to prevent and forestall the spreading of financial distress.     

基于信用链接的银行网络风险传染研究述评

对传染性银行风险的研究一直是重要的问题,本文全面介绍了基于信用链接的银行网络中风险传染研究的最新成果。该领域研究主要是从两个方面来展开,一方面是从经济学的角度对银行网络中风险传染进行研究;另一方面是从经济物理的角度,通过对银行网络结构和银行主体建模,并用仿真的方法研究银行网络中的风险传染问题。本文对目前研究现状存在的不足进行了评述,并进一步指出了未来的研究方向。     

The impact of meeting or beating analysts' operating cash flow forecasts on a firm's cost of debt

Extant literature provides conflicting results with respect to the usefulness and accuracy of analysts' operating cash flow forecasts. Our study empirically examines the importance and influence of meeting or beating analysts' operating cash flow forecasts on a firm's cost of debt. Results indicate that firms meeting/beating analysts' cash flow forecasts have higher initial bond ratings as well as lower initial bond yields. Additionally, based upon an analysis of rating changes, firms meeting or beating cash flow forecasts have a higher probability of receiving a debt rating upgrade and a lower probability of a ratings downgrade compared to firms missing cash flow forecasts. A direct comparison of the importance of meeting/beating cash flow versus earnings benchmarks indicates that debt market participants appear to incrementally value both types of forecasts, and contrary to selected equity market findings, neither forecast subsumes the other for debt market participants.     

The role of no-arbitrage on forecasting: Lessons from a parametric term structure model

Parametric term structure models have been successfully applied to numerous problems in fixed income markets, including pricing, hedging, managing risk, as well as to the study of monetary policy implications. In turn, dynamic term structure models, equipped with stronger economic structure, have been mainly adopted to price derivatives and explain empirical stylized facts. In this paper, we combine flavors of those two classes of models to test whether no-arbitrage affects forecasting. We construct cross-sectional (allowing arbitrages) and arbitrage-free versions of a parametric polynomial model to analyze how well they predict out-of-sample interest rates. Based on US Treasury yield data, we find that no-arbitrage restrictions significantly improve forecasts. Arbitrage-free versions achieve overall smaller biases and root mean square errors for most maturities and forecasting horizons. Furthermore, a decomposition of forecasts into forward-rates and holding return premia indicates that the superior performance of no-arbitrage versions is due to a better identification of bond risk premium.     

建立社会稳定风险评估机制探析

随着我国改革开放的进一步深入,经济高速发展,社会进入转型发展的关键时期,保持社会和谐稳定成为实现经济社会全面协调可持续发展的重要保障和必然要求,因此建立社会稳定风险评估机制是促进社会主义和谐社会建设的重要制度和手段。本文首先明确了社会稳定风险内涵,然后阐述了社会稳定风险评估作为独立风险评估制度存在的重要意义,对社会稳定风险评估中的一些重要问题进行了论证,最后提出了进行社会稳定风险评估的一般模型,以期对处于探索阶段的社会稳定风险评估实践提供一定的借鉴和指导。     

Risk assessment of highway bridges under multiple hazards

The aim of this paper is to provide a rational framework for the quantitative risk assessment of highway bridges under multiple hazards. Risk is a crucial indicator to be considered when managing structures of great importance such as highway bridges. It associates the consequences of a structural failure or malfunction with the probability of bridge failure. Time-dependent total risk is computed and the effect of structural redundancy is investigated and implemented. The proposed framework includes the estimation of the effects of multiple common hazards such as abnormal traffic loads, environmental attacks, scour, and earthquakes. The failure probabilities associated with the considered hazards are evaluated separately using different approaches. Time-dependent failure probabilities, hazard functions, and probability density functions of the time-to-failure are also assessed for each hazard. These assessments contribute to the evaluation of risk considering the traffic flow and the local economy at the bridge location. Both epistemic and aleatory uncertainties are considered in this approach. Time-dependent profiles of risk, accounting for direct and indirect consequences, are obtained for an existing highway bridge.     

Risk assessment and risk decision-making process related to hazardous installation in France

The chemical process industry gathers critical infrastructures since chemical plants represent for the society both an instrument to generate activity and benefits (production of goods, employment, services …), and an instrument that can harm people and the environment. This paper describes the risk assessment approach need in France for licensing hazardous installations, in particular those covered by the Seveso II Directive and the implication for land-use planning. The first part explains why the French risk assessment procedure is based on the quantitative evaluation of major accident scenarios with explicit criteria, and only on qualitative analysis of the risk reducing measures without explicit criteria. The second part shows some on-going evolutions in the risk assessment process in particular for the analysis of the safety barriers. In the third part, the authors share some thoughts on the risk decision-making process.     

区域金融生态风险及其评价

本文从深化金融生态研究的角度出发,通过借鉴生态学关于生态风险的评价理论,提出了区域金融生态风险的概念,分析了其与传统金融风险以及金融生态评价的联系和区别,并探讨了区域金融生态风险的评价原则和基本评价方法。为降低风险评价的难度,进一步建立了区域金融生态风险评价的简化框架以及相应的指标体系;并且利用生态学前沿研究成果-能值分析理论,刻画区域金融生态整体发展质量,促进金融生态观念在金融发展实践层面的应用。     

基于复杂网络的再保险市场系统性风险研究

近年来我国保险业快速发展,部分规模较大、复杂度较高的保险机构因与其他保险机构关联度高而居于再保险网络的核心,决定了再保险市场的系统性风险传播机制,对我国金融体系整体稳健性以及服务实体经济的能力具有重要影响,为此,迫切需要对系统重要性保险机构和保险业系统性风险进行识别判断。本文将再保险市场统计意义上的结论运用到风险传染动力学模型的构建中,使校准后的模型更贴近实际,研究了再保险国际化比率、破产阈值、紧急折价抛售系数、保险赔付占保险损失比率等因素对再保险市场稳健性的影响。运用最大熵理论解决了再保险交易对手方的信息不完全问题,寻求再保险转移矩阵和我国保险业发生系统性风险时总赔付额的临界点,研究发现我国的再保险复杂网络中有可能存在再保险旋涡,部分资金规模庞大且偿付能力充足的保险公司广泛进行再保险业务,导致风险集聚,但发生再保险旋涡的概率极其低,再保险复杂网络整体上十分稳健。论文探索了再保险市场的风险传播机制,论证了"联系太紧密而不能倒"的保险机构相比于"太大而不能倒"的保险机构,一旦倒闭对再保险市场稳健性的影响更大,为识别系统重要性保险机构,及早发现并防范保险业系统性风险提供了新的方法和思路。     

模糊聚类分析在金融机构洗钱风险评估中的应用

聚类分析是数理统计中的一种分析方法,是用数学方法定量地确定样本的亲疏关系,从而客观地进行分类。本文主要以模糊聚类分析在金融机构洗钱风险评估中的应用进行实例研究,对聚类的结果进行了分析,并提出了建议措施。     

基于ANN—BP模型的电子商务信用风险形成思路

企业生存风险的识别的本质是确定企业生存风险识别的模式和影响企业生存风险状态的各指标权重,但是众多影响因素间不存在确定的函数关系表达式,并且各指标权重的确定也相当复杂。人工神经网络（ANN）基于并行处理机制从结构上对人类的思维过程进行模拟,从而能实现人类思维的某些功能。人工神经网络可以实现任意形式的映射,这就为企业生存风险识别提供了一种新的思路。基于人工神经网络（ANN）的电子商务信用风险模式识别,能够充分利用样本电子商务信用风险的有关信息,通过高度的非线性映射,揭示感知信用风险与其相关影响因素即主要诱因的内在作用机理,从而从根本上克服了感知信用风险测度或识别中建模及其求解的困难。     

净额支付清算系统中银行危机的传染过程与应对策略

随着各国商业银行通过银行间支付清算系统交易额的迅速增加,银行危机通过支付清算系统进行传染越来越受到世界各国政府的重视。本文研究了少数甚至是单个银行发生危机通过净额结算支付清算系统扩散而引起系统危机的过程和条件,分析了系统所能吸收的由银行危机而导致的最大违约资金量。最后,在本文分析的基础上,提出了我国政府为及时、有效地控制银行危机的传染过程应采取的对策和措施。     

基于COSO风险管理框架的企业财务风险控制评价研究

COSO发布的风险管理框架完全适用于企业财务风险管理,是衡量企业风险管理有效性的一个标准。依据此标准,通过对企业财务风险控制体系的评价在评价的基础上,进行符合性测试,可以确定企业财务风险控制体系的健全程度和得到遵循的程度,进而确定财务风险控制体系是否可以依赖以及可以依赖的程度,以此来发现企业财务风险控制体系的不足。     

房地产信托融资项目风险评估体系的研究

随着房地产信托规模的急剧增长,融资项目风险评估工作的重要性越发突出.在深入分析房地产项目的共性风险和个性风险特征后,采用楔糊练合评价法设计了一种科学、实用的项目风险评估模型;通过实例应用,证明了该风险评估模型可以为房地产融资项目正确决策提供有力的依据.     

Implicit Inflation and Risk Premiums in the Brazilian Fixed Income Market

The breakeven inflation, the differential between nominal and real yields of bonds, is often used as a predictor of future inflation. The model presented here decomposes this interest rate differential into a risk premium and implicit inflation using a parametric formulation based on no-arbitrage conditions using nominal and indexed yield curves in Brazil, via an affine model of the Nelson–Siegel family. The measures of implicit inflation obtained from the model are shown to be unbiased estimators of future inflation for short horizons and carry some information for long horizons, and the model forecasts are superior to market surveys.     

人民币离岸债券信用风险实证评估研究

近年来,人民币离岸债券市场发展迅速,其已成为发展最为成熟的人民币离岸子市场。目前,信用风险是人民币离岸债券面临的主要风险。本文以香港人民币离岸债券市场为例,运用KMV模型对人民币离岸债券信用风险进行了实证评估,观察和比较了不同主体发行的债券信用风险,分析了现阶段人民币离岸债券信用风险程度。     

Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields

We propose a Nelson–Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying uncertainty of the yield curve’s level, slope and curvature. Estimating the model based on US government bond yields applying Markov chain Monte Carlo techniques we find that the factor volatilities follow highly persistent processes. We show that yield factors and factor volatilities are closely related to macroeconomic state variables as well as the conditional variances thereof.     

Regulatory impact assessment: a survey of selected developing and emerging economies

This paper reports on a survey of regulatory impact assessment (RIA) in 16 developing and emerging economies. RIA was playing an increasing role in these countries: eight had introduced RIA in the past 10 years; one had recently redesigned its existing RIA system; another had a long-standing RIA system in place. However, RIA was at an early stage of development in the majority of cases and six countries did not practise RIA.