商业银行银行账户利率风险管理面临的挑战

银行账户利率风险是目前商业银行面临的主要市场风险之一。该文基于当前商业银行风险管理实践揭示其银行帐户利率风险管理在计量、运用方面面临的挑战,指出商业银行必须从制度、计量、监测、控制等方面逐步建立相应体系,以强化银行账户利率风险管理,适应监管要求和新资本协议要求。     

要闻回放

银监会发布《商业银行市场风险监管现场检查手册》。为切实加强对商业银行市场风险的监管，11月23日，银监会发布《商业银行市场风险监管现场检查手册》。《手册》是对《商业银行市场风险管理指引》的细化和延续。根据《指引》所定义的商业银行市场风险管理体系的五个基本要素，《手册》分为市场风险管理架构，市场风险管理政策和程序，市场风险的识别、计量、监测和控制，市场风险的资本要求，市场风险管理的内部控制和外部审计等五章，基本涵盖了当前市场风险管理几大主要内容和关键环节。     

商业银行操作风险计量的损失分布法研究

操作风险可以说是商业银行面临的最古老的风险,但目前商业银行对市场风险和信用风险的重视程度远远超过了操作风险,事实上操作风险管理可能是治理结构不善的银行最应关注和最有可能取得成效的领域。而操作风险的计量则是操作风险管理的基础,只有准确地对操作风险进行计量才有可能实施有效的风险管理。     

银监会发布《商业银行市场风险管理指引》

中国银监会2004年12月29日发布《商业银行市场风险管理指引》，要求商业银行加强市场风险管理，充分识别、准确计量、持续检测和适当控制所有交易业务和非交易业务中的市场风险，确保在合理的市场风险水平之上安全、稳健经营，其承担的市场风险水平应当与市场风险管理能力和资本实力相匹配。     

我国商业银行市场风险管理系统的构建

中国银监会在2005年初发布《商业银行市场风险管理指引》(2004年第10　号令)(以下简称《指引》),要求商业银行加强市场风险管理,充分识别、准确计量、持续检测和适当控制所有交易业务和非交易业务中的市场风险,确保在合理的市场风险水平之上安全、稳健经营,其承担的市场风险水平应当与市场风险管理能力和资本实力相匹配。从全球主流商业银行对市场风险的管理来看,能否准确识别、测量和评估市场风险是有效管理市场风险的关键。本文针对识别、测量和评估市场风险的技术要求,提出构建我国商业银行市场风险管理实施系统的目标模式。     

试析《商业银行市场风险管理指引》

中国银行业监督管理委员会近日发布了《商业银行市场风险管理指引》，要求商业银行加强对市场风险的管理，充分识别、准确计量、持续检测和适当控制所有交易业务和非交易业务中的市场风险，确保商业银行在合理的市场风险水平之上安全、稳健经营，并要求其承担的市场风险水平应当与各商业银行的市场风险管理能力和资本实力相匹配。     

浅议风险价值VAR对商业银行风险管理的借鉴作用

银行置身于风险管理行业中,其价值的创造是要通过对风险全面而有效的管理来实现的。国内商业银行在风险管理方面取得了长足进步,但也存在一系列问题。问题的产生在于缺乏对风险的准确计量以及对先进风险管理工具的掌握和应用。风险价值VAR不仅能够衡量风险,而且能够控制风险。商业银行利用VAR实行积极的风险管理,通过风险报告、资本配置、绩效评价和策略性业务决策,可实现整合风险管理的目标,提升风险管理可有效提高商业银行的价值创造能力以及商业银行在同业竞争中的核心竞争能力。     

我国商业银行市场风险计量及波动性研究

本文结合巴塞尔委员会和我国监管当局对市场风险计量的规定,选取上市商业银行为样本,研究了我国上市商业银行风险计量的主要方式和特点,并分析了上市商业银行的市场波动性和系统性风险。分析主要结论为:(1)市场风险计量是市场风险管理的重要环节,风险计量模型的演变是从简单的风险计量发展到综合的风险收益计量的过程;(2)我国商业银行市场风险计量方式正在不断提高,风险价值分析和经济资本配置等方式正在逐步实施;(3)上市商业银行自身市场波动性较小,对于稳定资本市场起到了积极作用。     

银监会发布《商业银行市场风险管理指引》

中国银监会近日发布《商业银行市场风险管理指引》(以下简称《指引》),要求商业银行加强市场风险管理,充分识别、准确计量、持续检测和适当控制所有交易业务和非交易业务中的市场风险。该(《指引》将于2005年3月1日正式实施。     

风险监控：核心是风险计量

根据新巴塞尔协议的要求，以及中国银监会陆续提出的关于银行金融风险管理方面的要求，目前国内商业银行正在积极探讨并组织在风险管理方面的研究和准备工作。由于新巴塞尔协议体现的是全面风险管理的概念，国内商业银行在金融风险方面的研究和应用将不可避免朝这个方向发展，从业务和技术结合的角度，风险计量是风险管理系统的核心。     

Debt and Taxes and Uncertainty

With a graduated personal tax schedule, Miller showed that there could be an equilibrium debt supply for the corporate sector as a whole. In the presence of uncertainty there is also a unique debt/equity ratio for each individual firm, and this ratio is related to the firm's operational risk characteristics. However, if firms merge and spin off in response to tax incentives, the identity of firms is ambiguous and only the corporate sector is a meaningful construct. These arguments are developed in both discrete and continuous models that employ extensions of the arbitrage-free pricing theory.     

教育与资本怎样的前景怎样的现实

来自政府的声音: "动员各种社会资源,发展教育" 此次论坛上财政部长助理张少春的发言是最受关注的发言之一.他的演讲传达出的信息有这样几方面:第一,谈到现实,他认为全社会对教育的巨大需求与我国公共投入不足已成为我国教育事业发展的突出矛盾.近年来,以公共部门投入为主,多渠道筹措教育经费的教育投入机制成为解决这一问题的重要途径,也使得公共部门与私营部门在教育领域的合作日益密切.第二,谈到前景,他认为,1.中国经济持续、快速的增长对高技能人才产生巨大的需求,这为私营部门的参与提供了广阔空间.2.随着公共财政职能的不断完善,财政资金将在各项教育事业中重新进行分配,进一步优化财政支出结构,提高资金的使用效率.在"十一五"期间,我国将把公共支出的重点转移到农村.我们将逐步把全体农村适龄儿童的义务教育全部纳入公共财政体制.     

Director gender and mergers and acquisitions

Does director gender influence CEO empire building? Does it affect the bid premium paid for target firms? Less overconfident female directors less overestimate merger gains. As a result, firms with female directors are less likely to make acquisitions and if they do, pay lower bid premia. Using acquisition bids by S&P 1500 companies during 1997–2009 we find that each additional female director is associated with 7.6% fewer bids, and each additional female director on a bidder board reduces the bid premium paid by 15.4%. Our findings support the notion that female directors help create shareholder value through their influence on acquisition decisions. We also discuss other possible interpretations of our findings.     

Political corruption and mergers and acquisitions

This research examines the relation between political corruption and mergers and acquisitions (M&As). We find that local corruption increases firm acquisitiveness but decreases firm targetiveness. The levels of corruption in acquirer areas relate positively to the bid premiums and negatively to the likelihood of deal completion. Corruption motivates acquiring firms to use excess cash for payment, which mitigates the negative effect of corruption on acquirer shareholder value. The evidence indicates that acquisitions help acquiring firms convert cash into hard-to-extract assets and relocate assets from the high to low corruption areas, thereby shielding their liquid assets from expropriation by local officials.     

Trust and cross-border mergers and acquisitions

A number of studies suggest that social trust matters for investment. Using different measures of trust from World Values Survey, we show that countries where people display higher levels of trust engage in more cross-border M&A activities. When they do, these acquirers pay lower premiums. To the extent that these acquirers also tend to engage in larger acquisitions as well, our findings suggest that a larger selection pool of potential targets and higher value targets enable these acquirers to negotiate for lower premiums. We do not find evidence of the significant effect for target country trust levels. Hence, trust may benefit those acquiring firms in cross-border transactions.     

Tournament-based incentives and mergers and acquisitions

This research examines the relation between tournament-based incentives, which are proxied by the difference between a firm's CEO pay and the median pay of the senior managers, and mergers and acquisitions (M&As). We find that tournament-based incentives are positively related to firm acquisitiveness and acquiring firms' stock and operating performance. Further analysis indicates that positive acquisition performance increases the likelihood of the CEO being promoted from inside the acquiring firm. Our evidence is consistent with the view that tournament-based incentives motivate acquiring firms' managers to make greater efforts and take more risk that result in superior acquisition performance.     

Corporate Innovations and Mergers and Acquisitions

Using a large and unique patent‐merger data set over the period 1984 to 2006, we show that companies with large patent portfolios and low R&D expenses are acquirers, while companies with high R&D expenses and slow growth in patent output are targets. Further, technological overlap between firm pairs has a positive effect on transaction incidence, and this effect is reduced for firm pairs that overlap in product markets. We also show that acquirers with prior technological linkage to their target firms produce more patents afterwards. We conclude that synergies obtained from combining innovation capabilities are important drivers of acquisitions.     

East and west and north and south : A preliminary model

The Brandt report and other proposals for a new North-South world order continue to be the focus of lively debate, yet it is often argued that little concrete has emerged from their recommendations. A major reason for this, the author argues, is that the East-West conflict component is not sufficiently taken into consideration-East-West tensions are a severe constraint on and a determining factor of North-South relations. Using influence diagrams, the author develops a flexible framework for discussion and assessment of N/S-E/W relations.