在卢森堡与会计师打交道

编者按:作者于1992年至1997年在中国银行卢森堡分行主持工作期间,与外部会计师打交道成为一项重要的工作内容.这种全新的经历经常让这位在国内银行从业三十多年的"老银行"产生特别的体会.本文是作者海外工作经历的系列文章之一.     

不良贷款迷局

追本溯源,我们在处理不良贷款的问题还是走着从前“头痛医头、脚痛医脚”的治理经济问题的老路。     

Dealing with Fuzziness in Cost-Volume-Profit Analysis

A major limitation of the traditional cost-volume-profit (CVP) analysis is its inability to account for uncertainty and risk. This deficiency has been resolved by the development of probabilistic and stochastic CVP models which require precise numerical assessment of uncertainties in sales demand. There remains, however, imprecision in the expert's assessment of the sales demand distribution. Sub-optimal decisions may result because such fuzziness is being ignored in the analysis. In this paper, the application of Fuzzy Set Theory to handle imprecision is presented, and it is suggested that the methodology is appropriate for accounting applications, especially those involving human judgement.     

Hedging with small uncertainty aversion

We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equally seriously, we penalise less plausible ones based on their “distance” to a reference local volatility model. In the limit for small uncertainty aversion, this leads to explicit formulas for prices and hedging strategies in terms of the security’s cash gamma.     

问题银行的识别及处理

问题银行是一个全球现象,监管部门需要做好准备及时对其进行处理。在总结各国实践经验的基础上,巴塞尔委员会于2002年发布了《应对问题银行的监管指引》。2007年至2009年的金融危机后,全球金融市场和监管格局发生了重大变化,巴塞尔委员会于2013年成立工作组对该指引进行修订。2015年7月,巴塞尔委员会发布《问题银行的识别及处理指引》,新的指引包括问题识别、纠正措施、处置技术、退出策略等内容,为监管部门识别及处理问题银行提供了一套较为完整的工具。     

Dealing with consumer default: Bankruptcy vs garnishment

What are the positive and normative implications of eliminating bankruptcy protection for indebted individuals? Without bankruptcy protection, creditors can collect on defaulted debt to the extent permitted by wage garnishment laws. The elimination lowers the default premium on unsecured debt and permits low-net-worth individuals suffering bad earnings shocks to smooth consumption by borrowing. There is a large increase in consumer debt financed essentially by super-wealthy individuals, a modest drop in capital per worker, and a higher frequency of consumer default. Average welfare rises by 1% of consumption in perpetuity, with about 90% of households favoring the change.     

全球金融危机处置中的中国策略

全球金融危机是美国国内经济的失衡和特里芬困境作用的必然结果,反映了全球化对国际统一货币的需求与主权国家货币行使世界货币职能矛盾的不可调和性.因此,金融危机是美元滥发与美国国内经济承受力之间矛盾被迫调整的结果,因而危机爆发具有必然性.然而美国继续使用透支信用,发行国债,向市场注入流动性来治理危机,这无疑是饮鸠止渴.从这个角度看,国际金融体系的重构将不以美国意志为转移,中国必须要利用这场金融危机所造成的国际金融与经济秩序调整的契机,提高自身在国际金融中的地位及话语权.     

巧用AWK处理二进制数据文件

AWK是Unix下的一款功能强大的文本格式化和抽取工具。利用这个工具，可以对复杂的文本文件进行整理，提取其中的全部或者部分数据，按照需要的格式予以显示。需要说明的是，AWK的强大功能只针对纯文本文件，对于带有很多不可显示字符的二进制数据文件，单凭AWK就无能为力了，这     

Auctions with ex post uncertainty

Uncertainty about ex post realized values is an inherent component in many auction environments. In this article, we develop a structural framework to analyze auction data subject to ex post uncertainty as a pure risk. We consider a low‐price sealed‐bid auction model with heterogeneous bidders' preferences and ex post uncertainty. The uncertainty can be common to all bidders or idiosyncratic. We derive the model restrictions and study nonparametric and semiparametric identification of the model primitives under exogenous and endogenous participation. We then develop multistep nonparametric and semiparametric estimation procedures in both cases.     

Investment with network externality under uncertainty

The purpose of this paper is to develop a real option model with a stochastic network size to simultaneously consider firm’s investment and household’s consumption behaviors in an equilibrium framework. First, the consumer’s waiting-to-buy effect is crucial in determining trigger network size of firm’s investment. Second, increasing network externality has an ambiguous effect on trigger network size of firm’s investment. Third, using NPV rule not only underestimates trigger network size but, also possibly results in the misleading relationship between network externality and trigger network size.     

Discounting expected values with parameter uncertainty

In valuing future cash flows, the standard practice is to take the current cash flow and then extrapolate at an expected growth rate, which can vary at different points in time. This practice stems from the standard way of dealing with time value of money problems under certainty. However, with uncertain cash flows, this practice underestimates the expected cash flows when the growth rates are serially correlated. As a result, both value and the equity cost, calculated as an internal rate of return, are biased low. Given the prevalence of serial correlation in the economy, this paper demonstrates how to incorporate the effects of serial correlation in a simple way and demonstrates by way of a simulation that the effects can be significant. As a result, it casts doubt on the usefulness of several standard valuation approaches and results.     

金融不良资产处置评估实务中的若干问题

自《金融不良资产评估指导意见》发布以来,根据执业中存在的种种疑惑与争议,笔者进行了一定范围的归纳和分析,作为引玉之砖,试图对进一步完善《金融不良资产评估指导意见》,以及对执行金融不良资产评估的业务操作等有所启发和提示。     

政府在应对巨灾风险中的角色定位

当今世界,巨灾事故频发,各国政府为应对巨灾风险相继建立了巨灾风险保障制度,但是这些制度在运营过程中出现了一些问题,使得政府的投入与预想的效果相差甚远.本文重点分析了政府在参与应对巨灾风险组建巨灾保障制度的过程中,常用手段的利弊及遭遇的问题,以此来探讨政府在对应巨灾风险中应确立的合适角色定位.     

Hedging decisions with price and output uncertainty

We generally show that the introduction of output uncertainty does not affect the hedging position of the firm.     

政府在应对全球金融危机中的作用

从美国爆发的这次全球金融危机宣布了所谓“华盛顿共识”的破产，也宣布了新自由主义命运的终结．历史再次证明。“无为之手”不是对政府职能的正确诠释，当面临危机时，政府更应该有所作为，发挥“扶持之手”的作用。在应对金融危机方面政府应该从加强监管入手，重在防范金融危机的发生。     

对中资银行以合作应对竞争的思考

开展全面金融合作是应对金融竞争的需要，本详尽阐述了国内银行必须加强与同业及非银行金融机构的业务交流与合作，实现资源共享、优势互补，增强我国民族金融业的竞争实力。     

正确处理我国现金流通中的几个关系

本文运用科学发展观的基本观点,分析了我国当前现金流通中总量与结构、投放与回笼、纸币与硬币、真币与假币、流通与处理、服务与管理、成本与收费、城市与农村等八大关系,揭示了现金流通中存在的问题,并提出了相关建议。     

对注册会计师行业投诉举报处理工作的几点探讨

目前,注册会计师协会经常会收到大量的投诉、举报,协会如何结合自身的特点,更好地为投诉举报人服务,已成为行业内广泛关注的问题.对注册会计师协会的投诉、举报处理工作加以规范,对解决注册会计师协会在处理投诉、举报工作中遇到的问题,提高工作效率可起到重要的作用.本文就此谈几点个人看法.     

汇丰银行应对金融危机的经验与启示——汇丰银行总部考察报告

在金融风暴云谲波诡之际,汇丰银行(HSBC)能"独善其身"吗?在全球经济唱衰悲鸣之时,英伦三岛能"鹤立鸡群"吗?于是,正值全球金融危机蔓延恶化之机,带着这些困惑和疑问,我于近期奔赴伦敦,展开了为期一个月的学习考察之旅.