德意志银行风险管理的借鉴与启示

该文总结学习了德意志银行的全球风险管理框架、稳健的发展战略、国家风险管理以及科学的银行风险管理技术;认为我国商业银行应尽快构建完整独立的全面风险管理框架,完善商业银行全面风险的管理模式。     

Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach

In this paper, we propose an arbitrage-free international macro-finance model that links the exchange rate dynamics to macroeconomic fundamentals. Jointly using data on exchange rates, yields of zero-coupon bonds, and macroeconomic variables of the US and the Euro area, we find a close link between macroeconomic fundamentals and the exchange rate dynamics. The model-implied monthly exchange rate changes can explain about 57% variation of the observed data. The macroeconomic innovations can help capture large variation of exchange rate changes. Robustness checks show that the results also hold for other major exchange rates.     

Default times, no-arbitrage conditions and changes of probability measures

In this paper, we give a financial justification, based on no-arbitrage conditions, of the (H)-hypothesis in default time modeling. We also show how the (H)-hypothesis is affected by an equivalent change of probability measure. The main technique used here is the theory of progressive enlargements of filtrations.     

Pricing,no-arbitrage bounds and robust hedging of instalment options

An instalment option is a European option in which the premium, instead of being paid up-front, is paid in a series of instalments. If all instalments are paid the holder receives the exercise value, but the holder has the right to terminate payments on any payment date, in which case the option lapses with no further payments on either side. We discuss pricing and risk management for these options, in particular the use of static hedges, and also study a continuous-time limit in which premium is paid at a certain rate per unit time.     

Asset pricing models: implications for expected returns and portfolio selection

When a risk factor is missing from an asset pricing model, theresulting mispricing is embedded within the residual covariancematrix. Exploiting this phenomenon leads to expected returnestimates that are more stable and precise than estimates deliveredby standard methods. Portfolio selection can also be improved.At an extreme, optimal portfolio weights are proportional toexpected returns when no factors are observable. We find thatsuch portfolios perform well in simulations and in out-of-samplecomparisons.     

The no-arbitrage condition and financial markets with transaction costs and heterogeneous information: The bid-ask spread

This paper investigates the implications of the no-arbitrage (NA) condition in markets with transaction costs and heterogeneous information. Dermody and Prisman (1993) showed that, in financial markets with increasing marginal transaction costs, the NA condition is equivalent to the existence of a valuation operator. They explore the exact dependence of this operator on the structure of transaction costs. They show that equilibrium prices in the “corresponding” perfect markets plus a certain factor determine the valuation operator in markets with increasing marginal transaction costs. This paper emphasizes that their result is applicable to financial markets with decreasing marginal transaction costs. Furthermore, this paper shows that, in financial markets with transaction costs and heterogeneous information, the NA condition imposes a constraint on the bid-ask spread.     

Consistent risk management: Three models outlined

This article introduces three models on how to understand the demand for consistent risk management. The first model, which accords with traditional risk analysis, is called the Standard Model. In this model, the decisive criterion of whether or not to accept a risk is if the total benefit exceeds the total cost. Since this model cannot protect the individual from unfair risk exposure two more models are outlined. The arguments in the Model of Inviolable Rights and in the Model of Procedural Justice evolve around the separateness of individuals, rights and fair risk taking. It is argued that risk management needs to acknowledge a variety of morally salient factors to avoid exposing people unfairly to risks.     

宏观经济波动与信用风险:结构模型

信用风险与宏观经济周期性波动之间的关系大致上可归纳为两种典型情况.但实践中无论是商业银行还是监管者都没有走向这两种极端情形.通过将宏观经济周期性波动考虑到模型中去,可以对结构模型计量影响信用风险的这种周期性因素做出评价.     

Risk management and governance:: a post-normal science approach

In this essay we consider the problems of risks and governance in the light of three well-known examples: the ‘Seveso' accident involving dioxin; the BSE epidemic; and the licensing of genetically modified maize. These form a natural progression, from hazards that are ‘classical', manageable mainly by ‘applied science', to those that are totally post-normal. The new hazards typified by genetically modified maize, but including many others such as untested toxic chemicals, pose serious challenges to governance. The erosion of trust in the established institutions could lead to paralysis of innovation and also of government.     

Risk management committees and readability of risk management disclosure

This paper examines whether the presence of risk management committees is associated with the readability of risk management disclosure. Specifically, we consider the presence and the effectiveness of risk management committees. We measure the readability of risk management disclosure using six different readability indices, namely: Bog index; Flesch Reading Ease score; Coleman–Liau index; Flesch–Kincaid Grade level; Simple Measure of Gobbledygook; and Automated Reading index. We find that the presence and the effectiveness of risk management committees are associated with the higher readability of risk management disclosure. We adopt various methods, including an instrumental variable approach, the entropy balancing method and the dynamic generalised method of moments, to address endogeneity concerns. Taken together, our results highlight the important role of the risk management committee in communicating risk management information.     

风险管理:企业发展的利器

过去20年来,收益良好的公司瞬间瓦解的状况使得风险管理成为一种最热门的管理学说.财务风险作为一种信号,也是企业各种风险的引爆点.当前,我国的国有企业正在步入财务风险高发阶段,中国中航油事件的爆发,再一次引起了人们对企业风险的关注.企业财务风险具有"牵一发而动全身"的效应.财务管理已备受社会各界高度重视,防范和化解财务风险成为企业亟待解决的重要课题.     

Risk management and market conditions

In this paper, we investigate the relation between hedging activity by commercial/merchant/producers to commodity prices and commodity market volatility using Commitments of Traders reports from commodity futures markets exchanges. Qualifying the body of literature which attributes hedging activity to departures from Modigliani-Miller theory, market imperfections and transactions cost, we address the paradoxes of hedging which is not value creating and the absence of hedging when firms might benefit, arguing that it may be related to the market conditions and risk appetite. We discover that prices and volatility are generally statistically significant contributors to hedging activity by commercial/merchant/producers’ users but with marked differences in their elasticities. For some commodities, price levels alone and not volatility are significant. We demonstrate that analysis of hedging in commodity markets should take cognisance of conditions and the degree of risk aversion, otherwise the implicit assumption is that hedging is invariant to such matters. Through considering both market conditions and the degree of risk aversion, understanding the motivation for hedging may be enhanced.     

Risk management and calculative cultures

Enterprise risk management (ERM) has recently emerged as a widespread practice in financial institutions. It has been increasingly codified and encrypted into regulatory, corporate governance and organizational management blueprints. A burgeoning literature of regulatory and practitioner texts is indicative of the apparent diversity of ambitions, objectives and techniques that constitute the ERM agenda. Making sense of these developments is a challenge. This paper presents field-based evidence from two large banking organizations suggesting that systematic variations in ERM practices exist in the financial services industry. The cases illustrate four risk management ideal types and show how they form the ‘risk management mix’ in a given organization. Further, drawing on the literature of the roles and uses of management control systems (MCS), the paper explores how ERM achieved organizational significance in the studied settings. The findings are indicative of the current co-existence of alternative models of ERM. In particular, two types of ERM models are postulated: one driven by a strong shareholder value imperative (ERM by the numbers), the other corresponding to the demands of the risk-based internal control imperative (holistic ERM). This paper explains the differences in the two risk management mixes pointing towards alternative logics of calculation [Power, M.K., 2007. Organized Uncertainty—Designing a World of Risk Management. Oxford University Press, Oxford], which I conceptualise and describe as different calculative cultures. The study suggests that calculative cultures, which in these cases shaped managerial predilections towards ERM practices, are relevant, albeit so far neglected, constituents of the fit between MCS and organizational contexts.     

Changing management roles in the Scottish NHS: implications for management learning and development

The UK government's austerity means that public service providers, such as the National Health Service (NHS), are looking for efficiencies from service integration and collaborative working. This paper highlights how NHS (Scotland) management is coping with these changes and how the role of the manager and the nature of management development is being transformed. New forms and processes of management learning and development are needed for collaborative partnership working in multi-agency public service environments.     

The role of no-arbitrage on forecasting: Lessons from a parametric term structure model

Parametric term structure models have been successfully applied to numerous problems in fixed income markets, including pricing, hedging, managing risk, as well as to the study of monetary policy implications. In turn, dynamic term structure models, equipped with stronger economic structure, have been mainly adopted to price derivatives and explain empirical stylized facts. In this paper, we combine flavors of those two classes of models to test whether no-arbitrage affects forecasting. We construct cross-sectional (allowing arbitrages) and arbitrage-free versions of a parametric polynomial model to analyze how well they predict out-of-sample interest rates. Based on US Treasury yield data, we find that no-arbitrage restrictions significantly improve forecasts. Arbitrage-free versions achieve overall smaller biases and root mean square errors for most maturities and forecasting horizons. Furthermore, a decomposition of forecasts into forward-rates and holding return premia indicates that the superior performance of no-arbitrage versions is due to a better identification of bond risk premium.     

风险依赖、一致性风险度量与投资组合——基于Mean-Copula-CVaR的投资组合研究

本文把风险依赖、一致性风险度量与投资组合纳入到一个分析框架中,结合Coupla-CVaR模型和Mean-var投资组合理论构建Mean-Copula-CVaR的投资组合模型,能有效同时解决风险度量中的一致性和依赖性关系。采用券商指数、银行指数和保险指数实证分析线性依赖和复杂依赖(Copula依赖)情况下金融机构资产配置的差异性和风险度量的充分性,研究结果表明,纳入Copula函数能够更为稳健和准确地预测投资组合的CVaR。然而,本文没有检验出不同形式Copula之间的差异具有显著性。本文的政策含义在于,忽视复杂风险依赖结构可能会造成风险低估,从而影响资产配置的有效性。     

Risk and risk management in management accounting and control

Recent world events, most notably the global financial crisis, have refocused and intensified interest on risk and the nature of systems that operate to manage risk. One area that has received relatively little attention is the interrelation between risk, risk management and management accounting and control practices. This editorial provides an introduction to the special issue of the journal on “Risk and Risk Management in Management Accounting and Control”. It argues that risk and the way it is managed has become a feature of organizational life in both the public and private sectors. By changing organizational practices risk management can facilitate and legitimise certain ways of organizing. It has the potential to change lines of responsibility and accountability in organizations, representing a particular way of governing individuals and activities. The argument is further made that risk management has moved away from being an issue of narrow concern to finance (value at risk, derivatives, etc.) or accountants (financial statement disclosure, etc.) to an issue about management control and therefore a key area in which management accountants need to engage. This editorial also highlights the potential side-effects of risk management, including issues around trust and accountability, but also the focus on secondary or defensive risk management and the rise of reputation risk.     

Risk perception of mobile communication: a mental models approach

Some lay people confronted with a new base station project fear serious health consequences from the high‐frequency radiation, while experts consider exposure under the current international standards as unproblematic. These conflictive estimations may be attributed to the different mental models of lay people and experts. Less is known about lay people’s knowledge in regard to mobile communication and their intuitive understanding of the associated health risks. An adaptation of the ‘Mental Models Approach’ was used to reveal lay people’s beliefs about mobile communication and to learn more about lay people’s information requirements, potential knowledge gaps, and misconceptions. Through the means of open interviews with Swiss experts (N = 16), lay people (N = 16), and base station opponents (N = 15), different mental models were constructed and evaluated. Comparisons between the expert and the lay groups showed several qualitative differences in all identified knowledge domains. Knowledge gaps in regard to changing exposure magnitudes due to the interaction patterns of cell phones and base stations as well as misconceptions about regulation issues and scientific processes were found in both lay groups. In addition, lack of trust in responsible actors and disaffection with base station location processes were mentioned. The reported qualitative insights may be useful for the improvement of further risk communication tools.