Rollover Risk and Credit Risk

Our model shows that deterioration in debt market liquidity leads to an increase in not only the liquidity premium of corporate bonds but also credit risk. The latter effect originates from firms' debt rollover. When liquidity deterioration causes a firm to suffer losses in rolling over its maturing debt, equity holders bear the losses while maturing debt holders are paid in full. This conflict leads the firm to default at a higher fundamental threshold. Our model demonstrates an intricate interaction between the liquidity premium and default premium and highlights the role of short‐term debt in exacerbating rollover risk.     

基于风险预测的风险管理模式创新-个人住房按揭贷款视角

利用银行内部和外部的有效数据及时而较为准确地预测借款人的信用风险,进行差别化管理是大数据时代银行风险管理的崭新课题。以信用风险预测的结果为基础,展开授信审批、监控、贷后管理、准备金计提、监管资本计算和经济资本配置等一系列内部管理活动是现代银行风险管理的核心内容,也是巴塞尔新资本协议积极倡导的信用风险管理模式。在监管机构持续不懈地推动下,经过多年努力,我国部分领先的商业银行已经初步具备了信用风险预测能力,基于信用风险预测的结果,进行风险管理模式创新也正在不断尝试之中。本文以个人住房按揭贷款为例,阐释信用风险预测为基础的风险管理模式的七个维度。     

BNPP银行的风险控制与风险分散

BNPP银行完善的风险防范体系、成熟的风险控制和风险分散技术是保证其资产质量的根本.其做法:制定全行统一的风险管理政策;从组织架构上建立全方位、立体化的风险控制体系;IT系统对风险控制的支持;专家直接参与风险管理;信贷风险分析技术的国际化;保险公司对信贷风险的分散;对有问题客户集中处理和不良贷款集中管理.     

会计核算风险的风险矩阵计量分析及其运用

风险计量是开展风险监督管理的基础,是确认风险状态的重要依据,其准确性直接影响风险监督管理的水平.本文结合人民银行事后监督工作实际,在分析监督检查中积累的会计核算差错数据基础上,构建核算风险矩阵,对风险影响等级、风险发生概率进行综合评估,并利用风险等级量化和Borda序值方法给出风险排序、对风险点进行计量得出风险值,从而为人民银行加强风险监督工作提供依据.     

风险映射与商业银行操作风险控制

风险映射与操作风险的识别 操作风险的识别过程实际上就是对金融机构业务活动的各个阶段进行风险映射(risk mapping),从而识别操作过程中的关键风险因素.风险映射作为操作风险管理的基础,它与市场风险和信用风险不同,它无法针对具体的产品.     

内部控制、风险控制与风险管理——基于组织目标的概念解说与思想演进

COSO报告(2004)认为内部控制是风险管理的组成部分。但是,内部控制与风险管理在功能和内涵上究竟是什么关系,这方面的研究并不充分。本文从组织目标出发,对内部控制、风险控制以及风险管理三者之间的关系进行了基本的概念解说,并从历史变迁的角度,研究了内部控制、风险控制和风险管理三者的思想内涵及其演进过程。     

避免再犯同类错误

全球金融危机爆发一年之后,金融服务业和其他行业似乎已经触底,然而,随着经济复苏再次给人们带来新的希望,如何避免重复导致这次危机的主要风险行为,将是监管机构和企业面临的重要挑战。     

Incomplete Consumption Risk Sharing and Currency Risk Premiums

This article studies the impact of imperfect consumption risksharing across countries on the formation of time-varying riskpremiums in the foreign exchange market and on their cross-sectionaldifferences. These issues are addressed within the frameworkof the Constantinides and Duffie (1996) model applied to a multicountryworld. The article shows that the cross-country variance ofconsumption growth rates is counter-cyclical and that this featureof consumption data is mildly helpful for currency pricing.In particular, unlike the standard CCAPM, the new model is ableto generate currency risk premiums at lower values of risk aversionand provide certain explanatory power for cross-sectional differencesin currency returns.     

Characteristics of Risk and Return in Risk Arbitrage

This paper analyzes 4,750 mergers from 1963 to 1998 to characterize the risk and return in risk arbitrage. Results indicate that risk arbitrage returns are positively correlated with market returns in severely depreciating markets but uncorrelated with market returns in flat and appreciating markets. This suggests that returns to risk arbitrage are similar to those obtained from selling uncovered index put options. Using a contingent claims analysis that controls for the nonlinear relationship with market returns, and after controlling for transaction costs, we find that risk arbitrage generates excess returns of four percent per year.     

A Value at Risk Approach to Background Risk

This paper studies the effects of an uninsurable background risk (BR) on the demand for insurance (proportional and with deductible). We study both the case of BR uncorrelated with the insurable one and the perfectly correlated one, in a Gaussian world. In order to perform our study, we exploit the new risk measure known as Value at Risk (VaR) and consider insurance contracts which are Mean-VaR efficient. We obtain results which depend on the parameters (moments) of both risks and on the magnitude of loadings charged by the insurance company, instead of depending on the risk attitudes of the insured, such as risk aversion and prudence.We demonstrate that, if loadings are not too high, the demand for insurance increases with positively correlated BR; it decreases with BR negatively correlated if the latter is less risky than the insurable one (in this case it can even go to zero, if loadings are too high); it goes to zero with BR which is negatively correlated and more risky than the insurable one.     

Currency Risk and Country Risk in International Banking

This paper focuses on the conditions under which banks are subject to currency and country risks on their dollar-denominated loans to foreign firms and governments. We conclude that currency risk is a function of the rates of domestic and foreign inflation, deviations from purchasing power parity, and the effect of these deviations on the firm's and the nation's dollar-equivalent cash flows. Country risk is largely determined by the variability of the nation's terms of trade and the government's willingness to allow the national economy to adjust rapidly to changing economic fortunes.     

证券公司风险来源与业务风险点

十多年来,随着我国证券市场的发展,我国的证券公司也得到了迅速地发展,但由于受到各方面的影响和制约,证券公司在经营和管理上难免存在一些问题,这些问题决定了现阶段我国证券公司的审计属于一项高风险的审计.     

Risk assessment

Many countries are experiencing a period in which traditional values are being questioned; plans for further technological development are being met by a variety of demands for a closer examination of the benefits and risks of large-scale technologies. The authors outline a conceptual framework for risk-assessment studies which includes, in addition to the consideration of physical risks, the perception of risk situations and the resulting psychological and sociological levels of risk. The programme of the Joint IAEA/IIASA Research Project is presented in the Appendix and some preliminary results of this work are summarised.     

Redenomination Risk

Euro redenomination risk is the risk that a euro asset is redenominated into a devalued legacy currency. We propose a time‐varying, country‐specific intra‐euro area redenomination risk measure, defined as the quanto credit default swaps (CDS) of a member country relative to the quanto CDS of a benchmark member country. Focusing on Italy, Spain, and France and using Germany as benchmark, we show that the redenomination risk shocks significantly affect sovereign yield spreads, with Italy and Spain being most adversely affected. Finally, foreign redenomination risk shocks spill over and above local redenomination risk shocks, suggesting that this risk is systemic.     

Downside Risk

Economists have long recognized that investors care differentlyabout downside losses versus upside gains. Agents who placegreater weight on downside risk demand additional compensationfor holding stocks with high sensitivities to downside marketmovements. We show that the cross section of stock returns reflectsa downside risk premium of approximately 6% per annum. Stocksthat covary strongly with the market during market declineshave high average returns. The reward for beasring downsiderisk is not simply compensation for regular market beta, noris it explained by coskewness or liquidity risk, or by size,value, and momentum characteristics. (JEL C12, C15, C32, G12)     

Risk models-at-risk

The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the quantification of extreme downward risks. A key reason for this is that risk measures are subject to a model risk due, e.g. to specification and estimation uncertainty. While regulators have proposed that financial institutions assess the model risk, there is no accepted approach for computing such a risk. We propose a remedy for this by a general framework for the computation of risk measures robust to model risk by empirically adjusting the imperfect risk forecasts by outcomes from backtesting frameworks, considering the desirable quality of VaR models such as the frequency, independence and magnitude of violations. We also provide a fair comparison between the main risk models using the same metric that corresponds to model risk required corrections.     

税收风险管理与银行风险管理的比较分析及其启示

以债权债务关系、信用基础为起点,对税收风险管理和银行风险管理的风险性质、风险管理发展历史、风险管理理念和目标进行了比较分析,指出了税收风险管理和银行风险管理的诸多相似之处;进而提出了借鉴商业银行风险管理的成果和经验,在组织架构、量化管理技术、流程再造、风险预警、内部控制、数据质量、压力测试等方面对税收风险管理体系建设的启示。     

风险导向型审计·法律风险·审计质量──兼论“五大”在我国审计市场的行为

本文讨论了法律风险、风险导向型审计及审计质量之间的关系 ,主要观点包括 :风险导向型审计产生于美国 2 0世纪 70年代高法律风险的外部环境 ;我国会计职业界所面临的法律风险低 ,如果简单套用风险导向型审计 ,有可能导致审计质量系统性低下。文章还进一步讨论了以五大为代表的国际知名会计师事务所面临的道德风险困境及对审计质量的负面影响。     

Land Development: Risk, Return and Risk Management

We model and examine the financial aspects of the land development process incorporating the industry practice of preselling lots to builders through the use of option contracts as a risk management technique. Using contingent claims valuation, we are able to determine endogenously the land value, presale option value, credits spreads and the effects of presales on debt pricing and equity expected returns. We show that using presales options effectively shift market risk from the land developer to the builder. Results from the model are consistent with the high rates of return on equity observed in empirical surveys; they also suggest that developers may be justified in pursuing projects with substantially lower expected returns to equity when a large number of lots can be presold. Additionally, we show that presales reduce default risk dramatically for leveraged projects and can support a considerable reduction in the cost of construction financing. Large debt risk premiums are justified for highly levered projects, which helps explain the use of mezzanine financing in the land development industry to reduce expected default costs.