国家风险对我国出口贸易效应的实证分析

2008年金融危机导致全球贸易环境恶化,国家风险加大,我国出口贸易规模下降。本文运用回归模型,分析了金融危机前后中国的国别出口规模与其对应进口国的国家风险之间的相关性以及出口市场结构对相关性的影响。论文提出在国家风险评级相对下调的发达市场,中国要缓解出口的下滑,以及在收入水平较低的新兴市场,中国要扩大对其出口规模,及时识别、防范并化解国家风险具有重要意义。论文从出口信用保险的角度为我国化解国家风险、发展对外贸易提出了相关政策性建议。     

An analysis of the literature on systemic financial risk: A survey

This article presents an analysis of the literature on systemic financial risk. To that end, we analyze and classify 266 articles that were published no later than September 2016 in the databases Scopus and Web of Knowledge; these articles were identified using the keywords “systemic risk”, “financial stability”, “financial”, “measure”, “indicator”, and “index”. They were evaluated based on 10 categories, namely, type of study, type of approach, object of study, method, spatial scope, temporal scope, context, focus, type of data used, and results. The analysis and classification of this literature made it possible to identify the remaining gaps in the literature on systemic risk; this contributes to a future research agenda on the topic. Moreover, the most influential articles in this field of research and the articles that compose the mainstream research on systemic financial risk were identified.     

A theoretical analysis of alternative approaches to financial regulation

This paper studies alternative regulatory approaches within the framework of intermediaries' capital requirements, one of the cornerstones of modern financial regulation. The basic assumptions are that the intermediary's capital is valued as a down-and-out call option written on its own assets and that the optimal capital requirement is the one minimizing the total expected social costs. The analysis discusses the total expected costs' function within three alternative regulatory contexts and allows for a comparison of alternative approaches formalized by a set of five fundamental propositions explaining the impact of the regulatory choice on critical aspects such as the intermediary's capital size and riskiness, his/her assets' choice, the competition among either different intermediaries or different functions and, last but not least, the intermediary's operational structure.     

中国信保重新认定全球国家风险

前不久，由中国出口信用保险公司推出的《国家风险分析报告》（2007年版）显示：与2005～2006年相比，我国企业所面临的全球整体风险水平呈现下降趋势，其中新兴市场国家和地区如俄罗斯、中东欧和非洲地区的风险水平整体向好趋势明显。与此同时，部分国家则暴露出新的风险信号。数据显示，全球有近3成国家对我国企业的国家风险水平显著上升，其中以玻利维亚、斯里兰卡、黎巴嫩、伊朗等国的国家风险上升为最，均上升到第8级，步入国家风险水平显著之列。     

现收现付制养老保险风险量化及应对策略

现收现付制养老保险是一种代际转移的制度,其可持续发展的经济学基础为生产力、工资和人口三者的综合增长因素能够维持代际转移,从而保证人们退休后能够维持稳定的工资替代率。这三种因素的波动形成了一定的风险。如何量化和管理这些风险是本文的研究主题。本文将给出代际人口比例和代际工资比例满足的随机微分方程。基于此,考虑在给定缴费比例和工资替代率条件下,养老保险计划出现支付危机的概率分布。进而,为了寻找风险与收益的平衡,研究现收现付制养老保险的VaR。最后,利用中国的实际统计数据,对本文的理论结果给予实证阐述,并提出应对的策略。     

The determinants of secondary market prices for developing country loans: the impact of country risk

With better-defined variables based on Euromoney country risk data as explanatory variables, the determinants of the prices of the debts of less-developed countries (LDCs) in the secondary market are estimated. With the use of cross-sectional data on 27 countries for the years 1992, 1993, and 1994, the regression results indicate that sovereign credit ratings constitute the most important variable influencing prices; other significant variables include the level of external indebtedness and the amount of debt in default. Separate results have been obtained for each of the two categories of countries grouped according to the level of economic development. These results are more meaningful than those of previous studies because the model includes, in addition to debt-servicing capacity, other variables that best explain the prices of LDCs' debt within the context of a risky debt instrument.     

A new country risk index for emerging markets: A stochastic dominance approach

An optimal weighting scheme is proposed to construct economic, political and financial risk indices in emerging markets using an approach that relies on consistent tests for stochastic dominance efficiency. These tests are considered for a given risk index with respect to all possible indices constructed from a set of individual risk factors. The test statistics and the estimators are computed using mixed integer programming methods. We derive an economic, political and financial risk ranking of emerging countries. Finally, an overall risk index is constructed. One main result is that the financial risk is the leading contributor to sovereign risk in emerging markets followed by the economic and political risks.     

A quantitative analysis of unemployment benefit extensions

Extensions of unemployment insurance (UI) benefits have been implemented in response to the Great Recession. This paper measures the effect of these extensions on the unemployment rate using a calibrated structural model featuring job search and consumption-saving decisions, skill depreciation, and UI eligibility. The ongoing UI benefit extensions are found to have raised the unemployment rate by 1.4 percentage points, which is about 30% of the observed increase since 2007. Moreover, the contribution of the UI benefit extensions to the elevated unemployment rate increased during 2009–2011; while the number of vacancies recovered, the successive extensions kept search intensity down.     

Sociological approaches to risk: strong in analysis but weak in policy influence in recent UK developments

Sociological approaches to risk and uncertainty are well‐developed. These approaches have played an important role in analysing the significance of risk and uncertainty in modern social life. However, it is approaches based on rational actor perspectives in New Public Management that have become pre‐eminent in handling social risks in recent UK policies. This paper tackles the puzzle of why sociology is strong in critique but much weaker in policy influence by pointing to the institutional and contextual standing of approaches which offer a natural home to individual rational actor approaches within UK government.

Approaches that understand and analyse risk in statistical terms have been particularly influential in many aspects of modern life. A second stream, that has tended to attract less attention, stresses linkages between these approaches and the growth of particular institutions. The challenges faced by modern states in a post‐industrial and globalised world are widely discussed. An important response, particularly prominent in the UK and especially in social policy‐making, has been New Public Management, associated with an individual rational actor paradigm. Sociological approaches to risk have contributed a number of critiques of this development, however these critiques have failed to gain much purchase on policy‐making. One reason is the extent to which approaches which rest on an individual rational actor paradigm are entrenched within the institutional framework of policy‐making. This paradigm rests on a different approach to agency than that which is most influential in sociology.     

Accurate minimum capital risk requirements: A comparison of several approaches

In this paper we estimate, for several investment horizons, minimum capital risk requirements for short and long positions, using the unconditional distribution of three daily indexes futures returns and a set of short and long memory stochastic volatility and GARCH-type models. We consider the possibility that errors follow a t-Student distribution in order to capture the kurtosis of the returns’ series. The results suggest that accurate modelling of extreme observations obtained for long and short trading investment positions is possible with an autoregressive stochastic volatility model. Moreover, modelling futures returns with a long memory stochastic volatility model produces, in general, excessive volatility persistence, and consequently, leads to large minimum capital risk requirement estimates. Finally, the models’ predictive ability is assessed with the help of out-of-sample conditional tests.     

A comparison of extreme value theory approaches for determining value at risk

This paper compares a number of different extreme value models for determining the value at risk (VaR) of three LIFFE futures contracts. A semi-nonparametric approach is also proposed, where the tail events are modeled using the generalised Pareto distribution, and normal market conditions are captured by the empirical distribution function. The value at risk estimates from this approach are compared with those of standard nonparametric extreme value tail estimation approaches, with a small sample bias-corrected extreme value approach, and with those calculated from bootstrapping the unconditional density and bootstrapping from a GARCH(1,1) model. The results indicate that, for a holdout sample, the proposed semi-nonparametric extreme value approach yields superior results to other methods, but the small sample tail index technique is also accurate.     

Litigation risk,financial reporting and auditing: A survey of the literature

This paper surveys the literature on the determinants and consequences of securities class action lawsuits against firms and auditors from a financial reporting quality perspective. The survey is motivated by the important role that law plays in protecting stakeholders' interests against managerial misdeed. Litigation is, thus, an important topic and numerous studies investigate the determinants and consequences of firm and auditor lawsuits. The underlying premise of these studies is built on the notion that large financial and reputational penalties associated with successful securities class actions can discipline management and deter them from future wrongdoing. The survey documents that poor quality financial reporting as evidenced in earnings restatements has been the primary antecedent for class action lawsuits against the firm and auditors. Lawsuits against auditors affect audit fees, audit planning decisions and client portfolio adjustment decisions. Although significant progress has been made in terms of further understanding the causes and consequences of litigation against auditors, major challenges remain in the area of proper measurement of litigation risk.     

ZETATM analysis A new model to identify bankruptcy risk of corporations

The paper explores the development of a bankruptcy classification model which incorporates comprehensive inputs with respect to discriminant analysis and utilizes a sample of bankrupt firms essentially covering the period 1969–1975. Financial statement data and market related measures are transformed along guidelines suggested by traditional security analysis to promote comparability of companies and to reflect the most recent reporting standards so as to make the model relevant to future analysis. The results of the study are compared with alternative bankruptcy classification strategies via the explicit introduction of prior probabilities of group membership, observed accuracies, and estimates of costs of errors in misclassification. The latter is based on cost estimates derived from commercial bank lending errors. The results of the study indicate potential significant application to credit worthiness assessment, portfolio management, and to external and internal performance analysis.     

A quantitative exploration of the opportunistic approach to disinflation

Under a conventional policy rule, a central bank adjusts its policy rate linearly according to the gap between inflation and its target, and the gap between output and its potential. Under “the opportunistic approach to disinflation” a central bank controls inflation aggressively when inflation is far from its target, but concentrates more on output stabilization when inflation is close to its target, allowing supply shocks and unforeseen fluctuations in aggregate demand to move inflation within a certain band. We use stochastic simulations of a small-scale rational expectations model to contrast the behavior of output and inflation under opportunistic and linear rules.     

A framework for the analysis of firm risk communication

In this paper, we propose a framework for the analysis of risk communication and an index to measure the quality of risk disclosure. Mainstream literature on voluntary disclosure has emphasized that quantity can be used as a sound proxy for quality. We contend that, in the analysis of the disclosure of risks made by public companies, attention has to be paid not only to how much is disclosed but also to what is disclosed and how.We apply the framework to a sample of nonfinancial companies listed in the ordinary market on the Italian Stock Exchange. To verify that the framework and synthetic index are not influenced by the two factors recognized in the literature as the most powerful drivers of disclosure behavior for listed companies, we use an OLS model. The regression shows that the index of disclosure quantity is not influenced either by size or industry. Thus, the synthetic measure can be used to rank the quality of the disclosure of risks.     

寿险公司负债价值计量研究

有效的资产负债管理以寿险公司资产和负债价值的正确计量为基础。寿险负债的长期性和多种嵌入期权的特性使寿险公司资产负债管理更具复杂性。寿险负债价值计量的精算方法注重于它的死亡率风险测定的技术秘诀和期限的长期性,但该方法使期权的效应无从体现,也使在利率和被保险人行为的静态假设不成立的前提下,负债价值被低估的情况发生。因此,必须辅之于财务方法来测量期权在寿险合约中的价值。本文对寿险合约中期权价值的测量及其对ALM的作用也做了探讨。     

Cost-allocation decisions in member controlled country clubs: A case analysis

Boca Vista Golf and Country Club (BVGCC), which operates as a not-for-profit organization, is a member-owned country club in South Florida. Since no mark-up for profit is included in member-owned clubs, total budgeted revenues (including member dues) must equal total budgeted costs. Accordingly, if net costs are used to determine dues for each membership category, cost-allocation decisions have a direct impact on member dues (product price). BVGCC is also subject to competitive pressures from public and semi-private golf courses. The case provides an overview of these competing forces and requests the service of a consultant to devise equitable and effective cost-allocation schemes for BVGCC.     

Insurance demand and country risks: A nonlinear panel data analysis

This paper investigates the impact of country risks, including political, financial, and economic risks, on the income elasticity of insurance demand. Using the panel smooth transition regression model, we find that there is a significant regime-switching effect concerning the impact of country risks on the income elasticity of insurance demand. A full-sample analysis shows that the income elasticity of insurance demand decreases when country risks diminish. In a subsample analysis based on income level, legal origin, and restriction on banks' participation in insurance activities, we find that the elasticity diminishes in general when economic risk drops. When political risk is lower, the elasticity decreases in countries with high-income, common law origin, and insurance activities permitted by banks, whereas a clear pattern cannot be identified in the case of financial risk.     

Outliers,GARCH-type models and risk measures: A comparison of several approaches

In this paper we focus on the impact of additive outliers (level and volatility) on the calculation of risk measures, such as minimum capital risk requirements. Through simulation and empirical studies, we compare six alternative proposals that are used in the literature to reduce the effects of outliers in the estimation of risk measures when using GARCH-type models. The methods are based on [1] correcting for significant outliers, [2] accommodating outliers using complex (e.g. fat-tail) distributions and [3] accounting for outlier effects by robust estimation. The main conclusions of the simulation study are that the presence of outliers bias these risk measures, being the proposal by Grané and Veiga (2010) that providing the highest bias reduction. From the out-of-sample results for four international stock market indexes we found weak evidence that more complex models (specification and error distribution) perform better in estimating the minimum capital risk requirements during the last global financial crisis.