住房抵押贷款支持证券定价模型的发展与启示

住房抵押贷款证券化发行的住房抵押贷款支持证券包含提前偿还风险和违约风险两个期权,这使得其定价要比一般债券的定价复杂得多。而我国的住房抵押贷款证券化又有着不同证券化发达国家的特点,因此研究国外定价模型的适用情景和发展对我国的实践是非常必要的。本文旨在沿着住房抵押贷款支持证券定价理论结构化和简约化模型两条主要线索的发展,对该领域的最新研究成果进行介绍和评价,并得出和我国住房抵押贷款证券化实践相关的启示。     

我国银行业不良资产证券化的定价研究

针对不良资产证券化中的关键问题——证券的定价,利用无套利分析的方法对不良资产证券的发行利率进行了推导,建立了我国不良资产证券的定价模型。通过实证分析得出我国银行业的部分不良资产实施证券化是可行的。另外,设计的不良资产证券同我国目前已经发行的资产支持证券相比,各指标基本是一致的,设计也是合理的。     

供应链金融资产证券化的产品信用风险研究--基于QYSJ-ABS和RXZL-ABS的案例分析

以“QYSJ知识产权供应链金融资产支持专项计划”和“RXZL2017年一期资产支持专项计划”为例,研究供应链金融资产证券化产品信用风险控制问题。首先通过分析交易结构和产品设计,对比两案例的风险分散和控制情况;其次基于证券化前后的财务数据,通过Z值变动判断资产证券化对公司信用风险的影响,分析专项计划的实施效果。研究发现:合理选择基础资产、使用信用增级措施和采用供应链这种交易结构均能够对证券化项目的信用风险防范起到一定促进作用。同时,借鉴QYSJ-ABS的成功经验,从证券化项目交易结构的设计、证券化项目基础资产的选择和信用增级举措的选择三方面总结了版权证券化的风险管理流程。最后,从风险管理体系建设方面入手,对未来拟进行供应链金融资产证券化的企业提出发展建议。     

国内首单新经济企业供应链金融ABS获批

<正>近日,小米公司供应链金融资产支持证券100亿元储架发行取得上海证券交易所无异议函,成为国内首单支持新经济企业供应链金融的资产支持证券。点评:对于新经济企业来说,股权融资、信用融资以及资产融资都有着不可忽视的重要意义。相比于传统的信用融资,资产证券化更依赖于资产的质量和企业自身造血能力,与新经济企业有着较强的契合性。     

住房抵押贷款支持证券的定价方法研究

住房抵押贷款支持证券是创新型的房地产衍生金融产品,能有效化解房地产市场的金融风险和扩大房地产融资渠道。对住房抵押贷款支持证券的定价展开研究,分析了基于无套利理论的市场价值定价法,并总结了市场价值定价法在我国现阶段的应用所存在的困难。     

全球化背景下中国资产证券化之路

一 国际金融市场对中国资产证券化的影响 发端于美国的资产证券化金融产品在全球范围内发展迅速．对国际金融产生了极其深刻的影响。相对发达国家而言,我国对资产证券化研究还比较薄弱,目前尚属起步阶段,而完整意义上的资产证券化实践也相当欠缺。银行间市场也仅有短短的两年发展历史,即2005年,为了发展国内资本市场和推动直接融资水平的提高,经国务院批准．国家开发银行和建设银行资产证券化试点工作正式启动．两家银行分别于2005年12月和2006年4月发行了总额130亿元的信贷资产支持证券,并在银行间债券市场交易流通。     

我国汽车贷款证券化研究

综合考虑我国国情和国外同业发展历程,适时发行汽车贷款支持证券,将有助于我国商业银行和汽车金融公司优化资产负债结构、降低流动性风险、扩大业务种类、提高资本收益率,因而将成为其重要的融资方式.本文以我国目前的证券化法律环境及汽车贷款证券化发起人的融资动因为基础,结合汽车产业发展趋势和国外经验,对汽车贷款支持证券在产品选择、资产池构造、信用增级、评级等方面进行了发展路径及模式的分析设计.     

浅析国内商业银行资产证券化业务现状

资产证券化（Asset Securitization）是指将缺乏流动性。但能够产生可预见现金流收入的金融资产转换成在金融市场上可以出售和流通的证券的行为。其核心在于对金融资产中风险与收益要素的分离与重组,使其定价和重额配置更为有效,从而使参与各方均受益。资产证券化可以增加银行贷款,提高银行资本充足率,分散和转移信用风险,提高银行资产的流动性,为贵宾客户和投资者提供更多的投资工具和更好的理财手段,因此,实行资产证券化对于我国银行业的稳健经营和发展资本市场具有非常大的现实意义。本文拟从我国资产证券化的现状出发,探讨证券化发展缓慢的原因,从而研究对加快发展我国资产证券化的对策。     

欧洲按揭贷款证券化（上）——写给评估师

一、引言上世纪六十年代,美国政府为了扩大住房按揭贷款融资采取了一项公共政策,即资产证券化。而资产证券化进入欧洲是在上世纪九十年代初,发行量和交易量直到1997/98年才有显著增加,但与资产证券化国际市场7万亿美元的交易量相比,欧洲资产证券化市场规模仍属于中等水平。计算过去五年的总发行量,欧洲资产证券化市场总额约为5500亿欧元,占不到全球市场10%的份额。资产证券化可以这样定义:将贷款、应收账款以及其他金融资产组合起来,并用它们所产生的现金流或经济价值去支持相关证券的支付。发行商发行“有资产担保的证券”(A B S),出售给…     

用显著性检验方法判断信用评级对 企业债券市场定价的影响力

采用显著性检验方法,选取2008年、2009年和2010年发行的企业债券为研究样本,实证分析信用评级信息对我国企业债券市场定价的影响力,结果表明:信用评级信息已经成为我国企业债券市场投资者制定投资决策的主要依据,市场投资者对信用评级信息有很强的依赖性；信用评级信息在资本市场上对我国企业债券的市场定价具有显著的影响力；我...     

Almanac of anticipations: The age of affluence—of anticipation—of anxiety—of automation—of discontinuity—of longing—of overkill—of space exploration

With this survey of developments in the futures field since 1945, I.F. Clarke completes his present series for Futures. He makes two major points: that forecasting techniques have become essential tools in the management of change; and that nuclear weapons and ecological problems have added a moral dimension to the study of the future. In the next issue of Futures he will start a new series on the range of future-thinking in the USA, from the expectations of the first settlers to the Star Wars programme.     

社会主义所有制形式的改革、完善与共产党执政能力的提高

在中国,所有制形式的调整、改革与完善,先进生产力的发展,党的执政能力建设,是社会主义建设过程中密切结合在一起的三个不同层面的发展关系.应在相互促进和共同提高中促进社会的和谐发展,保证社会主义现代化建设战略目标的顺利实现.     

基金公司经营融资融券业务的问题审视

融资融券业务正式运营已经开展,为证券市场带来了革命性的改革,作为证券市场的一大主体,基金公司面对融资融券也迎来了新的发展方向和挑战,本文从融资融券业务的运行机制入手,分析了基金公司融资融券的新契机,并对其即将面临的问题进行审视和剖析,进而提出策略建议.     

对基层人民银行科技工作的几点建议

银监会分设后,人民银行将专司货币政策、金融稳定、金融服务三大职能。作为人民银行的分支机构,基层人民银行的工作重心也将从金融监管调整到这三大职能上来。人民银行的科技部门,就要积极运用科技手段,为人民银行履行新的职能发挥“服务、支持、促进、发展”的作用。一、围绕三大职能搭建五大平台经过“六五打基础、七五作准备、八五大发展”几个阶段后,人民银行相继实现了核算电算化、清算网络化和办公信息化。特别是近一两年来,陆续开通了大额支付系统、信贷登记咨询系统、会计四集中系统、金融信息服务网站等系统,人民银行信息化水平又…     

Properties of time-series estimates of degree of leverage measures

Empirical studies suggest that time-series regression estimates of the degrees of operating and financial leverage have a tendency to produce measures less than one. According to ex ante theory, these measures should be greater than one for firms operating above the breakeven point. There have also been suggestions that the biases in these estimates may be attributable to an underlying increase in unit sales. This work presents evidence that these counter-intuitive measures are produced by changes in the firm's operating parameters (unit price, variable cost, fixed cost and interest payments). It further suggests that attempts to control for the underlying change in unit sales substantially increase the volatility of predicted estimates.     

浅议金融机构的举证责任

金融纠纷案件是当事人以存单或进账单、对账单、存款合同、保险单、票据、证券等凭证为主要证据向人民法院提出诉讼的案件,对于不同种类金融纠纷的当事人的举证责任,我国现行的金融法律、法规及司法解释有不同的规定。由于金融机构的特殊法律地位,发生金融纠纷时存在有关当事人将最后偿付风险转移给金融机构承担的主观故意,在客观上会使金融机构难以提供相应的证据来对抗不法债权人的诉讼请求,而导致金融机构败诉。为此,对金融诉讼案件中金融机构的举证责任加以研究具有重要的实践意义。     

Summary of Results of Survey of Seminar Attendees

Abstract

The Society of Actuaries undertook a three-phase research project on mortality improvement in the three NAFTA countries: Canada, Mexico, and the U.S. Phase 1 consisted of a literature review of papers on projecting mortality levels in the future and a study of the trend in mortality improvement during this century. Phase 2 consisted of a discussion of different facets of modeling mortality rates at a seminar attended by 79 experts (actuaries, demographers, economists, and medical researchers) representing different countries. The last session of the seminar consisted of the completion of a survey by the attendees to obtain input for Phase 3, which would analyze the impact of mortality improvement on the social security system of each country. This paper summarizes the results of the survey.

The survey results illustrate the difficulty in forecasting mortality levels, because the effects of many factors that could have significant impact on mortality rates are unknown. This suggests the need for dynamic forecasting, which allows for the possibility of random shocks. A majority of the survey respondents believe that stochastic forecasting models, despite their complexity, have significant potential to add value. Respondents also believe that both historical data and cause-specific mortality forecasts are useful as input and also in validating forecasts of the aggregate levels of mortality. The challenge is to develop more sophisticated forecasting models to produce results that are relatively easy to interpret and to communicate these results to the desired audiences, including the public and policymakers.

The survey results suggest that the aggregate effect of lifestyle changes, medical advances, diseases, catastrophe, and physical environmental changes is an increase in life span. However, there is much uncertainty about the future. Respondents expect that beyond the year 2020 the mean annual rate of reduction in mortality for males age 65 and over will average about 0.58% for Canada, 0.76% for Mexico, and 0.67% for the U.S. The results for the female age 65 and over population are 0.64%, 0.83%, and 0.70%, respectively. The age 65 and over population is expected to see larger percentage reductions in mortality than the 0–14 and 15–64 populations. The reductions in male and female mortality will be ultimately the same, and the mortality levels in the three countries will ultimately converge, although differences may persist for decades.     

The Usefulness of Measures of Consistency of Discretionary Components of Accruals in the Detection of Earnings Management

Abstract:  Prior research has shown the prevalence of measurement error in models used to estimate aggregate discretionary accruals. In these models, the incremental information content of the various components of accruals is ignored. Limited prior research and data gathered from firms under Securities and Exchange Commission (SEC) litigation indicate that managers use either one or more than one component of accruals simultaneously, in a consistent way to manipulate bottom-line earnings in a given direction. I propose two measures that capture the consistency between the discretionary components of accruals and test their significance in earnings management (EM) detection in firms that have artificially added accrual manipulation and firms that were targeted by the SEC for accrual manipulation. There is evidence that this information is incrementally useful in detecting EM. This finding paves the way for improvements in the discretionary accruals measure by including consistency information from the components of aggregate accruals.     

银行软件项目外包管理分析

一、引言随着国民经济的不断发展,银行业务与外部企业的联系越来越密切。银行正逐步成为现代经济活动的中心,作为数据处理核心的银行业务应用也越来越大型化、越来越复杂化,因此许多银行也把软件项目逐步由原来的自主开发转变为与公司合作的方式,或直接外包开发的方式,银行本身的技术人员也逐步由开发转向项目管理。二、项目外包的分类银行项目的外包有以下几种情况:①部分子系统外包,有时由于银行的软件项目太大,单靠银行自身的开发力量基本无法在预定的时间内完成项目,只好把相对独立的部分外包;②直接购买软件公司的成熟产品,有些金融软…