金融科技对商业银行风险承担的影响：竞争效应还是创新效应？

从行业竞争和技术创新两个方面,剖析金融科技对商业银行风险承担的影响机理和效果。选取2010—2018年中国199家商业银行的数据,将金融科技分为金融科技总指数、金融核心功能指数和底层技术支持指数,用系统GMM和中介效应模型实证检验发现：第一,金融科技的金融核心功能,导致商业银行客户存款分流、行业竞争加剧,推高了商业银行风险承担。第二,金融科技的底层技术支持,促进商业银行频繁的金融产品创新和业务领域拓展,推高了商业银行风险承担。第三,相比行业竞争,商业银行积极开展技术创新导致的风险更加剧烈。第四,基于存款结构、净利差水平和技术创新的中介效应检验表明,业务竞争和技术创新在金融科技和风险承担之间起到部分中介作用。第五,金融科技对不同类型商业银行风险承担的影响具有差异性,对中小银行造成的冲击更加强烈。     

金融科技发展的商业银行风险承担演化效应

采取文本挖掘法编制金融科技指数,以国有大型商业银行、股份制商业银行、城商银行和农商银行为口径,基于CSMAR数据库2011—2019年样本数据,运用系统GMM估计方法,实证检验金融科技发展带来的商业银行机构风险承担演化效应。研究发现,金融科技发展整体上提升了商业银行风险承担水平,该效应经由金融科技的自构金融业态与赋能商业银行业态转型两条途径效应的消长演化得以实现,且在不同禀赋的商业银行机构之间存在明显差异。有鉴于此,商业银行等金融机构要立足自身特质,吸纳融合创新金融科技,合理安排风险承担水平。     

金融科技发展与商业银行风险承担：影响机理及实证检验

金融科技的快速发展既推动了商业银行的转型升级,也加剧了市场竞争,使金融风险更加复杂。本文基于数量、质量和环境三个维度构建我国金融科技发展水平指数,并在此基础上以我国174家商业银行2013—2020年面板数据为样本,实证分析金融科技发展对商业银行风险承担的影响及其内在机理。研究结果表明：第一,金融科技发展对商业银行风险承担的影响呈先升后降的倒U型趋势;第二,金融科技发展对不同规模商业银行风险承担的影响具有异质性,对大型商业银行的影响更为显著;第三,金融科技发展通过加剧竞争、压缩净息差渠道提高了银行风险承担,通过提升银行信息搜寻能力和管理效率降低了银行风险承担。在金融与科技深度融合的背景下,商业银行应主动将先进科技运用于传统的金融业务,提升管理效率,降低管理成本;加强业务风险防范能力,构建动态风险评价体系,缓解金融科技带来的风险冲击;中小银行应积极应对金融科技带来的竞争压力,创新产品和服务,与大型银行开展差异化竞争。     

金融科技对银行风险承担的异质性影响研究

采用“文本挖掘方法”构建金融科技指数,选取2010-2021数据研究金融科技对商业银行风险承担的异质性影响。实证结果表明：金融科技会显著增加大型商业银行信用风险,然而对地方商业银行信用风险关系不显著;不论大型商业银行还是地方商业银行,金融科技都会显著降低商业银行流动性风险。金融科技对地方商业银行流动性风险的降低作用更显著。政策上应该既发展金融科技,但也要注意其中蕴含的风险,加强对金融科技的风险管理。     

银行数字化转型、外源性金融科技与信用风险治理——基于文本挖掘和机器学习的实证检验

本文以2013―2020年中国122家中小银行为研究对象,基于文本挖掘和机器学习方法,创新性地构建了银行数字化转型指数和外源性金融科技发展指数,检验了银行数字化转型对信用风险的治理效应以及外源性金融科技的调节效应。研究发现,银行内部的数字化转型通过优化贷款结构、提高盈利能力来抑制信用风险,外源性金融科技能够强化这两条影响渠道,进而增强数字化转型的治理效果。门槛效应和异质性分析表明,在治理过程中,规模较小的银行和信用风险压力较高的银行对外源性金融科技更加依赖,城市商业银行比农村商业银行更擅长吸收外源性金融科技创新。本研究对政府引导金融科技发展、推动银行数字化转型、提高国家金融风险治理能力具有重要的启示作用。     

金融科技与影子银行业务——基于商业银行理财产品的实证检验

本文基于2010-2020年中国上市商业银行的微观数据,以非保本理财产品作为影子银行业务的代理变量分析金融科技发展对影子银行业务的影响。研究发现,金融科技的发展与影子银行业务具有正相关性;异质性分析发现,金融科技对不同规模银行影子银行业务的影响程度存在差异,对大型银行影响不明显,对其他银行作用明显;银行金融科技水平的提高虽然一定程度上通过影子银行业务使得表内信息的风险评价指标得到改善,却也可能增加了银行整体风险承担水平。     

金融科技发展水平对商业银行风险承担的影响

本文区分商业银行外部与内部的金融科技,基于存、贷、汇业务进行综合分析,根据不同的影响渠道,探讨了金融科技的发展如何降低商业银行风险承担,并以2011—2020年商业银行相关数据为样本进行了实证分析。研究发现,金融科技发展降低了商业银行风险承担。异质性分析表明,商业银行规模对于金融科技影响其风险承担的效果具有调节效应,银行规模越大,则金融科技的风险缓释效果越明显;另外,商业银行类型、股权结构同样可以产生异质性影响。进一步在相关机制探讨中,对资产端与中间业务端的影响渠道进行了检验。最后,基于现实背景和研究结论提出了政策建议。     

金融科技对商业银行系统性风险的溢出效应

近年来,金融科技逐渐成为我国银行体系进行风险控制的新工具。以我国A股市场上市商业银行为样本,构建GARCH-EVT-Clayton-Copula-Co Va R模型,测量样本区间内16家商业银行的金融科技发展水平及系统性风险溢出值,对金融科技与商业银行系统性风险之间的关联机制和影响效应进行理论与实证分析。研究发现,商业银行通过金融科技进行风险控制存在增强和减弱两条路径。进一步分析发现,金融科技能降低商业银行系统性风险溢出;商业银行规模、总资产收益率、存款负债比、杠杆率以及非利息收入占比等因素也对商业银行系统性风险溢出有着不同程度的影响。     

金融科技将如何影响商业银行贷款结构？——区分内外部金融科技的对比分析

金融科技发展对商业银行同时带来“竞争效应”和“技术溢出效应”。本文基于2011—2020年中国153家商业银行的面板数据,区分外部金融科技和银行金融科技,从贷款信用结构、贷款对象结构和贷款期限结构三个角度,运用系统广义矩估计（SYSGMM）检验金融科技对商业银行贷款结构的影响。结果表明,外部金融科技对商业银行贷款规模的增长存在显著挤压效应,引起商业银行信用贷款占比和短期贷款占比的缩减、个人贷款占比的扩张;银行金融科技显著促进了商业银行贷款规模的增长,引起其信用贷款占比、个人贷款占比和短期贷款占比的扩张;金融科技对不同规模商业银行的贷款结构的影响体现出显著异质性。研究结论对未来金融科技浪潮下商业银行相关策略制定具有一定参考意义。     

金融科技发展对商业银行风险承担的影响北大核心

金融科技的价值创造方式和经营模式都与传统金融存在差异,其对金融产品、金融机构以及金融生态的影响改变了中国商业银行的传统金融业务发展。本文从资产端和负债端研究了金融科技发展对商业银行风险承担影响的作用途径。本文研究表明:(1)金融科技发展程度越高,商业银行资产端的风险承担意愿就越强;(2)金融科技发展程度越高,商业银行负债端的风险承担意愿就越弱;(3)从动态演进视角来看,金融科技的发展程度对商业银行风险承担的影响呈现“U”型特征;(4)从横向比较来看,相比于中小型银行,大型商业银行对金融科技发展的响应更为敏感。     

Bayesian Premium Rating with Latent Structure

We propose a fully Bayesian approach to non-life risk premium rating, based on hierarchical models with latent variables for both claim frequency and claim size. Inference is based on the joint posterior distribution and is performed by Markov Chain Monte Carlo. Rather than plug-in point estimates of all unknown parameters, we take into account all sources of uncertainty simultaneously when the model is used to predict claims and estimate risk premiums. Several models are fitted to both a simulated dataset and a small portfolio regarding theft from cars. We show that interaction among latent variables can improve predictions significantly. We also investigate when interaction is not necessary. We compare our results with those obtained under a standard generalized linear model and show through numerical simulation that geographically located and spatially interacting latent variables can successfully compensate for missing covariates. However, when applied to the real portfolio data, the proposed models are not better than standard models due to the lack of spatial structure in the data.     

The development of the group accounts disclosure system in Japan

The Japanese disclosure system of consolidated statements was introduced in 1977 and extensively revised in 1997. The role of the bureaucracy has been significant in these developments and seems to be part of Japan's closed culture. However, other explanations could also be applied. In particular, although Japanese firms opposed such disclosures on the basis of preparation costs, the Japanese government had to modernize the disclosure system, including consolidation, in order to develop the securities market regardless of an individual company's interests.     

Moments of Compound Mixed Poisson Distributions

Recursive formulae are derived for the evaluation of the moments and the descending factorial moments about a point n of mixed Poisson and compound mixed Poisson distributions, in the case where the derivative of the logarithm of the mixing density can be written as a ratio of polynomials. As byproduct, we also obtain recursive formulae for the evaluation of the moments about the origin, central moments, descending and ascending factorial moments of these distributions. Examples are also presented for a number of mixing densities.     

The designing of corporate accounting law in Japan after the Second World War

After the Second World War, during the neutralization of the controlled economy of wartime Japan, a design for a Corporate Accounting Law was elaborated by the Investigation Committee on the Business Accounting System. The Investigation Committee tried to establish not only new business accounting standards but also a central and independent administrative organ of corporate accounting regulation on the basis of the Corporate Accounting Law. The Corporate Accounting Law was expected to lay the legal foundation of the new corporate accounting regulation regime in Japan. Nevertheless, even though the original design of the fundamental accounting law was never realized, it should be considered the starting point for our understanding of external accounting history in post-war Japan.     

The deliberation around accounting techniques: accounting for depreciation and foreign exchange in an Indian jute company, 1870-1900

This paper examines the way two accounting techniques, namely depreciation and foreign exchange, were deliberated on, between 1870 and 1900, in an Indian jute company whose shareholders resided in the UK. The arena for these deliberations was the conflictual relationship between controlling and non-controlling shareholders as to how best to account for depreciation and foreign exchange especially when the particular accountings affected distributional issues such as the dividend decision. The purpose of this paper is to analyse and explain the processes by which a company's accounting practices emerge and develop as a contest between different interests. Accounting framed the parameters of the deliberations and provided the language of power and dissent. The paper uses a rich archive that includes narrative and accounting material.     

Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility

We introduce an expected utility approach to price insurance risks in a dynamic financial market setting. The valuation method is based on comparing the maximal expected utility functions with and without incorporating the insurance product, as in the classical principle of equivalent utility. The pricing mechanism relies heavily on risk preferences and yields two reservation prices - one each for the underwriter and buyer of the contract. The framework is rather general and applies to a number of applications that we extensively analyze.     

Guidelines for Manuscripts Submitted to The China Journal of Accounting Research

正The China Journal of Accounting Research"CJAR"(ISSN 1755-3091)publishes quarterly.It contains peer-reviewed articles and commentaries on accounting,auditing and corporate governance issues that relate to the greater China region.We welcome the submission of both theoretical and empirical research papers pertinent to researchers,regulators and practitioners.Authors should note:1 Submissions must be original     

International harmonization of Japanese accounting standards

Historically, Japanese accounting standards have been quite distinct from International Accounting Standards (IASs) which have been perceived as being modelled on British-American accounting standards. However, in the 1990s, after the publication of E32 in 1989 and the IASC-IOSCO Agreement in 1995, the Business Accounting Deliberation Committee (BADC), the standards-setting body in Japan, has pursued a policy of harmonization with IASs. Accounting standards relating to consolidated financial statements of companies that make cross-border offerings of securities or operate worldwide are being revised drastically. This paper focuses on the development of international accounting harmonization and its impact on Japan.     

Commodity financialization and sector ETFs: Evidence from crude oil futures

We investigate the diversification benefits of energy assets in the setting of commodity financialization using data on crude oil futures and Sector ETFs (SPDRs). Correlations between commodities and financial assets increased during the post-Commodity Futures Modernization Act (CFMA)/commodity bull cycle period, resulting in lower benefits of diversification. However, we find that conditional correlations between crude oil futures and sector ETFs meaningfully increased only since the 2008–09 financial crisis. The results therefore suggest that the financial crisis, rather than CFMA regulation, explains changes in the diversification benefits of commodities. Moreover, we find that oil futures returns are less correlated with SPDRs than with the S&P index. Thus, energy futures, and crude oil in particular, offer the potential for diversification benefits in sector-style investing.     

Dutch accounting in Japan 1609-1850: isolation or observation?

The trading station or factory maintained by the Dutch East India Company (VOC) was Japan's sole window on the Western world during most of the Tokugawa period (1600-1868). While many aspects of the factory's role in Dutch/Japanese cultural exchange have been researched little is known in the West of the accounting at the factory. This paper considers the possibility that double-entry bookkeeping employed by the Dutch may have been diffused to the Japanese. The available evidence is synthesized after considering the accounting system in the Dutch factory.