Multivariate risk aversion and uninsurable risks: Theory and applications

The objective of this paper is to develop conditions for global multivariate comparative risk aversion in the presence of uninsurable, or background, risks, and thus generalize Kihlstrom and Mirman [1974] and Karni [1979,1989]. We analyze von Neumann-Morgenstern (VNM) utility functionsas well as smooth preference functionals which are nonlinear in distribution but locally linear in probabilities. In each case we provide an economic application which illustrates how our theorems can be used. We analyze a risk sharing, a portfolio choice, and a labor supply problem for VNM utility functions, and the optimal allocation of effort to risky technologies in the presence of a random supply (or quality) of a public good for nonlinear preference functionals. We consider thecase where the random variables are mean-independent as well as the case where they are independent. In the labor supply application for VNM utility functions, we show that if the two risks are independent, the comparative statics effect of greater risk aversion on labor supply in the presence of a background non-wage income risk is determined by a monotonic relationship between labor supply and the wage rate under certainty. That is, we extend the applicability of the Diamond-Stiglitz [1974]-Kihlstrom-Mirman [1974]single-crossing property to the case where an independent background risk is present.     

Saving under uncertainty: A bivariate non-expected utility approach

We adopt the multivariate non-expected utility approach proposed by Yaari [1986] to provide a characterization of the comparative statics effects of greater risk aversion and of mean-preserving increases in risk on saving and borrowing in the presence of income and interest rate risk.We show that in Yaari's model, it is possible to extend the applicability of the Diamond and Stiglitz [1974] and Kihlstrom and Mirman [1974] (DSKM) single-crossing property to establish a relationship between greater risk aversion and saving (or borrowing) on the basis of the individual's ordinal preferences as long as the two risks are independent. We also demonstrate that the comparative statics effects of a joint mean-preserving increase in random income and interest rate on saving and borrowing can be determined by an extension of the DSKM single-crossing property.     

浅谈信用证结汇方式下风险的规避(英文)

信用证曾是国际贸易中最安全的结算方式,由于其在实际操作中风险防范的难度,导致许多商人不愿再用。传统的信用证正在越来越多地被更安全更方便的信用证变形形式所取代。     

社会变迁、风险规避与股权溢价之谜——来自晚清、民国与当代中国股票市场的经验证据

本文在收集和整理近百年中国股市、居民消费、人均GDP、物价指数和利率的数据的基础上,利用近代和现代中国的数据检验中国是否存在“股权溢价之谜”。研究发现:1888-1938年的近代股市投资者的风险规避系数在较为合理的范围之内。而中国当代股市和1939-1947年近代股市投资者的风险规避系数均大于一般合理的水平,即都存在“股权溢价之谜”,而且1939-1947年股市投资者的风险规避程度要大大高于当代股市投资者。本文分析认为,以全国战争和恶性通货膨胀为主要表现的社会动荡加大了近代股票投资的“背景风险”,从而使得这一时段投资者的风险规避程度和股权溢价都大幅增加。     

CEO Risk Preference and Investing in R&D

This study aims at: (1) developing an index to measure CEO risk tolerance using publicly available data, and (2) examining the association between this index and investment in risky projects. Using relative pay‐at‐risk as a proxy for risk preference (tolerance) is a new proposition and is supported by having significant association with CEOs' socio‐demographic variables—the variables often studied in connection with risk aversion. Furthermore, this risk preference indicator has a positive association with risk‐taking behaviour as proxied by R&D expenditures. The in‐sample estimation and out‐of‐sample predictions support (a) using relative pay‐at‐risk as a valid proxy for risk tolerance, and (b) finding statistically significant positive association between this measure and R&D expenditures. The association has different degrees of strength for nine out of 11 industries.     

Discretion in bank loan loss allowance,risk taking and earnings management

We study whether banks use the allowance for loan losses (ALL) for efficiency or for opportunistic reasons. We find that banks that had higher abnormal ALL during the period prior to the 2007–2009 crisis engaged in less risk taking during the pre‐crisis period and had a lower probability of failure during the crisis period. In testing earnings management to meet or beat earnings benchmarks, we find that abnormal ALL is unrelated to next period's loss avoidance and just meeting or beating the prior year's earnings. Our results suggest that banks use ALL for efficiency and not for opportunistic purposes.     

Competition,concentration and risk taking in Banking sector of MENA countries

This paper tests the relationship between competition and bank stability for 356 banks operating in the Middle East North Africa (MENA) countries during the period 2005–2012. Our results show that for the overall sample, a U-shaped relationship between competition and banks’ risk taking for MENA banks. The negative linear relationship between Z-Score and H-statistics in Gulf countries shows that an increase in competition leads to a reduction in the level of financial stability. In the case of other non-Gulf countries, the increase of competition in uncompetitive markets can lead to an increase in stability. The results confirm the importance of the market structure as an explanatory factor for financial stability, but also indicate that concentration is not associated with uncompetitive markets.     

Insurance and Incentive Effects of Transfers among Regions: Equity and Efficiency

When productivity shocks across regions are less-than-perfectlycorrelated, there are gains from federation, even if the regionsare identical ex ante. For the federation to provide insurancefor these productivity shocks, it must introduce some sort ofequalizing transfer programme among regions. But any suchtransfer programme induces a form of moral hazard as well, ifregions still have some control over their own policies. Oneof the implications of this moral hazard is that the progressivityof the overall (regional together with federal) tax system willbe increased when the federal transfer programme is expanded.     

中国股权溢价之谜的检验--Hansen-Jagannathan方法的应用

通过对中国证券市场的实证研究,估计的中国投资者的相对风险回避系数远远大于10,即远大于Mehra和Prescott(1985)所认可的最高水平,证实了中国股市存在股权溢价之谜,并指出了解释中国股权溢价之谜的潜在研究路径.     

基于风险选择与投资收益的外汇储备币种结构研究

随着外汇储备规模的不断增加,国家外汇储备投资的风险偏好亦会发生相应的变化。借鉴 J. H.Makin(1971)的方法,构建外汇储备币种结构配置理论模型,讨论在效用最大化的情况下,储备资产投资如何在安全性、流动性和盈利性三原则间进行权衡。假设外汇储备仅投资于美元和欧元两种币种资产,选取2000年初~2014年第三季度的10年期美国国债和欧元区公债季度数据,运用协整分析、格兰杰检验等方法进行的实证研究发现：储备货币在外汇储备中的比重与储备货币收益率及其三阶矩显著正相关,国家外汇储备投资总体而言是风险规避型的。     

对居民储蓄高增长的深层思考

近年来我国国内居民储蓄的高增长现象引起了人们的强烈关注。乐观的态度认为10万亿元的居民储蓄表明了人民生活水平的普遍提高，并且将成为中国经济走向繁荣的有力保证；悲观则认为在储蓄高增长的背后其实隐藏着巨大的危机，认为畸形的储蓄高增长恰好暴露出经济结构的失衡。本分析了导致我国国内居民储蓄高增长的深层原因以及由此可能产生的系列问题，并试图寻找解决问题的途径。     

Risk reporting: A study of risk disclosures in the annual reports of UK companies

The concepts of risk and risk management have received considerable attention lately, but this has yet to be reflected in empirical research examining firms’ risk reporting practices. This study seeks to address this gap in the literature and explores risk disclosures within a sample of 79 UK company annual reports using content analysis. A significant association is found between the number of risk disclosures and company size. Similarly a significant association is found between the number of risk disclosures and level of environmental risk as measured by Innovest EcoValue`21™ Ratings. However, no association is found between the number of risk disclosures and five other measures of risk: gearing ratio, asset cover, quiscore, book to market value of equity and beta factor. The paper also discusses the nature of the risk disclosures made by the sample companies specifically examining their time orientation, whether they are monetarily quantified and if good or bad risk news is disclosed. It was uncommon to find monetary assessments of risk information, but companies did exhibit a willingness to disclose forward-looking risk information. Overall the dominance of statements of general risk management policy and a lack of coherence in the risk narratives implies that a risk information gap exists and consequently stakeholders are unable to adequately assess the risk profile of a company.     

证券风险转嫁为银行风险的形成路径与防范策略

近年来,由于证券市场的风险骤增以及银行的违规操作,导致证券风险向银行风险转化或转嫁,成为银行传统风险之外的主要风险.银行盲目过度垒上市公司以及对券商的违规操作是证券风险转化为银行风险的主要形成路径,强化银行对证券业融资的风险理念、规范信贷融资行为、构筑风险预警机制等,才能有效防范证券风险转化为银行风险.     

流量覆盖风险——网络小额信贷风险控制新思路

本文总结网络金融在促进小微金融机理方面的作用,提出一种新的风险控制原则和盈利模式——流量覆盖风险:网络金融以大数据和技术帮助更好实现“大数法则”,网络贷款应恪守小额、产品简单、贷款分散的原则,以较少的风险控制指标和精简的信贷流程提升客户贷款体验,以低风险、低成本金融服务普惠更广人群。商业银行的小额贷款数据提示网络金融从业者去抵押担保化、把握好借款人、低杠杆率、本地化开展个人贷款,有助于在降低小额贷款的风险前提下,加快业务健康发展。     

地方政府债券的风险及其防范机制构建*--基于广东省政府自行发债的经验分析

地方政府债券既是金融市场的投资产品,又是地方政府的融资工具,具有金融领域和财政领域的双重风险。本文在考察广东省政府自行发债的风险现状和法制障碍的基础上,提出构建和完善相关风险防范机制的建议。     

浅议风险分析在商业银行内部审计中的运用

银行内部审计工作中对风险的认识应与组织的全面风险管理理念保持一致,对风险的分析贯穿于审计工作始终。本文重点从审计计划阶段、具体项目准备阶段和项目实施阶段等三个阶段来探讨如何对风险进行识别、评估以及如何利用风险分析评估结果确定审计重点、控制审计质量,从而防范审计风险,提高审计工作效率和效果。     

全面风险管理视角下的企业风险预警机制研究

从全面风险管理的视角探讨企业的风险预警机制,建立了全面风险辨识、风险预警模型、风险预警评估、风险预警报告、应对策略选择的风险预警理论框架,并根据该理论框架提出了数据收集与整合、数据处理与风险分析、风险决策与反馈的运行体系.     

公立医院财务风险研究

伴随我国医疗卫生体制改革的不断推进深化,公立医院作为改革主体,无论内部经营环境还是外部社会环境均发生了深刻的变化.环境的变化必然引发各种风险的产生,公立医院的生存发展正接受着前所未有的挑战和考验.医院要想在激烈的竞争中利于不败之地,必须建立健全并行之有效的财务风险识别、控制机制,加强医院的财务管理,完善医院的财务管理系统,最终达到防范医院财务风险的目的.只有准确识别面临的风险,才能有效地防范控制风险,保障医院正常运营以取得可持续性发展.     

我国金融机构系统性金融风险度量与跨部门风险溢出效应研究

本文采用VaR、MES、CoVaR以及ΔCoVaR四类风险测度方法,对我国A股56家上市金融机构和房地产公司的系统性金融风险展开研究,并结合前沿的风险溢出网络方法,从静态与动态两个研究角度考察了我国金融风险的跨部门传染。研究结果表明,四种风险测度指标均能准确识别出我国金融部门风险集聚的尾部事件,而且金融体系整体上存在较为明显的跨部门风险传染效应。此外,本文研究发现,我国系统性风险溢出水平逐年攀升,且传染中心在“银行钱荒”、“股市熔断机制”等事件中发生了相应改变,其中,在“钱荒事件”中,银行部门等成为了风险传染的发源地;而在“熔断机制”事件中,房地产与证券部门则成为风险传染的网络中心。在此基础上,我们提出了完善我国金融风险防范体系与监管机制的若干建议,使得本文研究对于“防范跨市场、跨产品、跨机构的风险传染”具有重要的学术价值与现实意义。