论农业巨灾风险管理工具创新

针对近几年来农业巨灾频繁发生、损失影响较大的问题,本文在分析农业保险等传统巨灾风险管理工具使用现状及劣势的基础上,提出我国应积极发展农业保险再保险、农业巨灾风险基金、农业巨灾证券和指数保险等新型农业巨灾风险管理工具,以进一步有效分散农业生产过程中面临的巨灾风险.     

农业巨灾保险体系研究：关于建立我国农业巨灾保险体系的思考

目前我国的农业巨灾保险体系尚未建立,保险在臣灾风险管理中的作用还没有得到充分发挥,巨灾损失只能由政府和社会来承担。推动农业巨灾保险制度建设、增强我国应对巨灾风险的能力,已成为一个亟待解决的问题。本文对我国农业巨灾保险体系的发展、以及其他国家的先进经验进行了介绍与分析,并对我国建立农业巨灾保险体系的制度模式进行了详细探讨。     

关于建立我国农业巨灾保险体系的思考

目前我国的农业巨灾保险体系尚未建立,保险在巨灾风险管理中的作用还没有得到充分发挥,巨灾损失只能由政府和社会来承担。推动农业巨灾保险制度建设、增强我国应对巨灾风险的能力,已成为一个亟待解决的问题。本文对我国农业巨灾保险体系的发展、以及其他国家的先进经验进行了介绍与分析,并对我国建立农业巨灾保险体系的制度模式进行了详细探讨。     

我国农业巨灾风险管理的现状及模式选择

近年来,我国面临日益严峻的农业巨灾风险威胁,国家开始高度重视农业保险及农业巨灾风险问题。如何发挥政府和商业保险公司的作用,探索符合我国国情的农业巨灾风险管理模式,是摆在我国政府、保险实业界和学术界面前的一个非常紧迫的课题。本文首先描述了我国农业巨灾造成损失的现状及政府参与农业巨灾保险的必要性;其次分析了我国农业巨灾风险管理的现状;再次选取与中国农业生产等条件相似的日本、菲律宾、印度等国家进行比较分析;最后阐述了我国农业巨灾风险管理模式的选择。     

天气指数保险:我国农业巨灾风险管理工具创新

针对我国近几年来,农业巨灾频繁发生、损失影响较大的问题,本文在分析农业保险等传统巨灾风险管理工具使用现状及劣势的基础上,提出我国应积极发展天气指数保险这种新型农业巨灾风险管理工具,进一步有效分散农业生产过程中面临的巨灾风险。     

我国巨灾风险损失的保险补偿机制问题研究

2008年汶川地震,损失巨大,而我国的保险行业并未承担起足够的帮助国家和人民分先灾害损失的责任,这主要是由我国巨灾风险损失的保险补偿机制还不完善,因此建立我国的巨灾保险机制已经刻不容缓。首先介绍巨灾损失的多维补偿机制,然后归纳总结发达国家巨灾风险损失的保险补偿机制,最后构建我国巨灾风险损失的保险补偿机制,完善我国保险补偿机制。     

我国巨灾风险管理模式的设计及其运作

商业化、事前补偿的巨灾保险是巨灾风险管理发展的趋势。我国应该逐步构建以政府为主导,涵盖政府、保险公司、再保险公司、资本市场和潜在受灾者五个主体的巨灾风险管理模式。在实际运作中,要考虑巨灾保险承保、保险公司巨灾风险转移和区分潜在客户等。     

我国巨灾风险管理模式的设计及其运作

商业化、事前补偿的巨灾保险是巨灾风险管理发展的趋势.我国应该逐步构建以政府为主导,涵盖政府、保险公司、再保险公司、资本市场和潜在受灾者五个主体的巨灾风险管理模式.在实际运作中,要考虑巨灾保险承保、保险公司巨灾风险转移和区分潜在客户等.     

中国巨灾保险现状及发展对策探析

相对巨灾带来的高昂损失,政府补贴、社会救济等单纯的救济手段显得势单力薄,巨灾风险分散能力明显不足。故而,妥善建立好巨灾保险制度具有重要意义。本文从农业保险、地震保险、洪水保险三方面对我国巨灾保险的发展现状进行阐述,分析我国巨灾保险发展进程中的问题。结合有关巨灾种类,基于我国经济迈入高质量发展新阶段的背景下,提出建设带有国家标签的巨灾保险体制的对策建议。     

中国巨灾风险管理研究——基于与世界银行合作的视角

世界银行在国际巨灾风险管理与巨灾保险融资领域扮演着十分重要的角色.本文从世界银行的职能介绍出发,对世界银行参与巨灾风险管理的三个流程加以分析,并对当前世界银行的主要巨灾保险融资项目进行研究.在此基础上,本文指出中国可以从建立国家综合防灾减灾计划、建立灾害损失数据库、建立巨灾保险基金,以及完善巨灾风险融资等四个方面加强与世界银行的合作,进而促进中国巨灾风险管理事业的发展.     

Multidimensional risk and risk dependence

Evaluating multiple sources of risk is an important problem with many applications in finance and economics. In practice this evaluation remains challenging. We propose a simple non-parametric framework with several economic and statistical applications. In an empirical study, we illustrate the flexibility of our technique by applying it to the evaluation of multidimensional density forecasts, multidimensional Value at Risk and dependence in risk.     

Model risk of risk models

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with market uncertainty. During calm periods, the underlying risk forecast models produce similar risk readings; hence, model risk is typically negligible. However, the disagreement between the various candidate models increases significantly during market distress, further frustrating the reliability of risk readings. Finally, particular conclusions on the underlying reasons for the high model risk and the implications for practitioners and policy makers are discussed.     

Crisis risk and risk management

We assess the state of knowledge about crisis risk and its implications for risk management. Data that became available after the global financial crisis show that some types of crises are predictable when accounting for interactions between risks. However, other types of crises do not seem predictable. There is no evidence that the frequency of economic and financial crises is increasing. While data show that an economic crisis is more likely following a political crisis, there is no comparable evidence for climate events. Strategies that increase firm operational and financial flexibility reduce the adverse impact of crises on firms.     

Termination risk and managerial risk taking

We test the hypothesis that managers who face a high termination risk make less risky investments than the managers who face a low termination risk. A 10% increase in our measure of termination risk is associated with a 5%–23% decline in stock returns volatility for the median firm in our sample. We also find that for CEOs who are more likely to be fired in the event of investment failure, the inhibiting effect of termination risk appears to offset the positive effect of convexity of managerial compensation on managerial risk taking. These results are robust to alternative definitions of forced turnover and various measures of firm performances.     

Any regulation of risk increases risk

We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken by those financial entities than would otherwise be the case. Furthermore, the risks taken by the regulated financial entities are far more systemically concentrated than they would have been otherwise, making the entire financial system more fragile. This result leaves three options for the future of financial regulation: (1) continue regulating by enforcing risk measurement algorithms at the cost of occasional severe crises, (2) regulate more severely and subjectively by fully nationalizing all financial entities, or (3) abolish all central banking regulations, including deposit insurance, thus allowing risk to be determined by the entities themselves and, ultimately, by their depositors through voluntary market transactions, rather than by the taxpayers through enforced government participation.     

Labor unemployment risk and firm risk

This paper examines the effect of labor unemployment risk on firm risk. Using unemployment insurance benefits as a proxy for unemployment risk, we find an economically significant positive relation between unemployment risk and firm risk. This positive relation is more pronounced for firms that are more labor-intensive, have a higher layoff propensity and are more financially constrained. While existing literature that employs corporate policy measures such as debt and cash holdings suggests an opposite relationship, our paper presents evidence that the effects stemming from earnings management, earnings quality and reporting quality appear to dominate.     

From counting risk to making risk count: Boundary-work in risk management

For two decades, risk management has been gaining ground in banking. In light of the recent financial crisis, several commentators concluded that the continuing expansion of risk measurement is dysfunctional (Power, 2009, Taleb, 2007). This paper asks whether the expansion of measurement-based risk management in banking is as inevitable and as dangerous as Power and others speculate. Based on two detailed case studies and 53 additional interviews with risk-management staff at five other major banks over 2001–2010, this paper shows that relentless risk measurement is contingent on what I call the “calculative culture” (Mikes, 2009a). While the risk functions of some organizations have a culture of quantitative enthusiasm and are dedicated to risk measurement, others, with a culture of quantitative scepticism, take a different path, focusing instead on risk envisionment, aiming to provide top management with alternative future scenarios and with expert opinions on emerging risk issues. In order to explain the dynamics of these alternative plots, I show that risk experts engage in various kinds of boundary-work (Gieryn, 1983, 1999), sometimes to expand and sometimes to limit areas of activity, legitimacy, authority, and responsibility.     

Five caveats for risk–risk analysis

Risk analysis should be symmetrical in the sense that when evaluating an option for decision-making, we assess the risks that it may increase in the same way as those that it may decrease. However, implementing such symmetry is not always easy. In this contribution, five complications that have to be dealt with are introduced and briefly discussed: (1) We need to take all types of advantages and disadvantages into account, not only the risks. (2) There is more than one way to weigh risks against each other. (3) Decision-makers may legitimately put more weight on the direct effects of their decisions than on more indirect and uncertain effects, in particular, if the latter fall outside of their area of responsibility. (4) When a trade-off between risks is unsatisfactory, we should search for innovative solutions that make the trade-off unnecessary. (5) An exclusive focus on risks does not solve the incommensurability problem.     

Bond risk premia and realized jump risk

We find that augmenting a regression of excess bond returns on the term structure of forward rates with an estimate of the mean realized jump size almost doubles the R² of the forecasting regression. The return predictability from augmenting with the jump mean easily dominates that offered by augmenting with options-implied volatility and realized volatility from high-frequency data. In out-of-sample forecasting exercises, inclusion of the jump mean can reduce the root mean square prediction error by up to 40%. The incremental return predictability captured by the realized jump mean largely accounts for the countercyclical movements in bond risk premia. This result is consistent with the setting of an incomplete market in which the conditional distribution of excess bond returns is affected by a jump risk factor that does not lie in the span of the term structure of yields.     

Communication of risk assessment information to risk managers

This article describes the results of a two-phase study of risk communication between risk assessors and risk managers (including policy makers). The first phase consisted of telephone interviews with 30 air quality risk managers from all levels (18 from local, state, and regional offices, and 12 from national offices). The second phase involved a focus group with 11 senior EPA risk managers representing a broad range of EPA national offices and programmes. The two-hour focus group elicited responses from the risk managers to specific examples of videotaped risk information created by agency risk assessors. The risk managers indicated their interests in hearing both qualitative and quantitative information about risk and emphasized the importance of discussing other information about the decision context. Similar responses to the videotaped risk information were elicited from a class of students at the Harvard School of Public Health. This exploratory work suggests that to better inform risk managers, risk assessors must also appreciate and present the broader context of the decision, and they must convey how uncertainties and weaknesses in the assessment may influence stakeholder perceptions of risk and the effectiveness of different risk management options. Further research on how to communicate risk information to risk managers is recommended.