The Economic Effects of Federal Participation in Terrorism Risk

The catastrophic terrorist attack of September 11, 2001 caused unprecedented insured losses. While the insurance industry covered these losses, it also took swift steps to limit its exposure to such risks in the future. In response to ensuing market dislocations, the Terrorism Risk Insurance Act (TRIA) was passed in 2002. The law temporarily requires primary insurers to offer terrorism coverage and creates a federal "backstop" to limit losses on such coverage. In anticipation of the program's scheduled expiration, and to inform debate on its possible extension, this article analyzes market developments in the wake of 9/11 and the passage of TRIA. We find that to date, TRIA has facilitated private sector participation in the market for terrorism insurance by lending structure to an otherwise ill-defined risk. While alternative terrorism risk bearing mechanisms are evolving, none appear ready to replace federal involvement presently. We conclude that a continuation of TRIA for a period of time would enhance U.S. economic performance in the near term. Failing to extend TRIA in the near term would result in decreased economic performance absent another major terrorist attack and greater instability, job loss, and bankruptcy in the event of another attack.     

Risk Classification by Fuzzy Inference

Traditionally, policyholders in life insurance are classified in simple mortality tables, most often according to only a few risk characteristics. Instead of a risk classification according to the numerical rating system, this article describes how to classify by using a fuzzy inference methodology. By defining risk factors as fuzzy sets, it is shown that an insurer can utilize multiple prognostic factors that are imprecise and vague. The presented fuzzy risk classification provides a more realistic way of modeling mortality risks since it allows for compensations and interactions between multiple risk factors.     

A Market-based Risk Classification of Financial Institutions

In this article we derive, estimate, and analyze a multifactor model of the monthly holding period returns on the stocks of exchange-traded financial institutions. In addition to bond and equity returns, the factors include default, liquidity, and term structure risk premiums plus variables that measure changes in deposit demand. To ensure that our sample has a large number of firms, we use data from January 1981 through December 1988. The equity return explains a large share of time-series variation in financial institutions' returns. The additional factors implied by theory have little incremental explanatory power. The two-factor model regression coefficients have considerable cross-sectional variation. This permits us to group intermediaries into portfolios with similar risk exposures. These portfolios bear no relation to the SIC codes that group intermediaries by their charters and lines of business.     

The Econometrics of Risk Classification in Insurance

We present in this article some questions related to risk classification. These are discussed depending on the information used—either data on conditional characteristics or also including data on claim histories or on endogenous insurance demand by the agents.     

全球经济风险变迁与重要风险来源分析

从资产泡沫破灭到主权债务危机自2007年美国爆发次贷危机起,全球信用环境迅速恶化。五年间,信用风险的焦点从微观的居民个体、房地产企业和金融企业,逐渐转移到全球的房地产业和金融业,再通过向实体经济的扩散,将财政脆弱的国家拖入困境。2007年至2009年间,美国65家金融机构在金融危机中发生亏损,进而资不抵债,最终被美国联邦存款保险公司接管,这些金融机构持有的存款数额高达550亿美元。由于联邦存款保险公司的介入,这场危机并未对存款人造成严重影响,但其引发的财富     

金融创新风险的分类及其形成

本文通过对金融创新和金融风险的分析,讨论了金融创新风险的一般概念。然后,根据金融创新风险产生的原因以及对金融体系的不同影响进行分类,划分为金融创新自身活动及产品风险、金融创新市场风险、金融创新机构风险、金融创新货币政策及监管风险、金融创新系统化及国际化风险等,并对每一种风险的形成进行分析和阐述。     

金融创新风险的分类及其形成

本文通过对金融创新和金融风险的分析,讨论了金融创新风险的一般概念.然后,根据金融创新风险产生的原因以及对金融体系的不同影响进行分类,划分为金融创新自身活动及产品风险、金融创新市场风险、金融创新机构风险、金融创新货币政策及监管风险、金融创新系统化及国际化风险等,并对每一种风险的形成进行分析和阐述.     

操作风险损失分类的原理与方法探讨

银行操作风险管理,特别是量化管理,一段时间以来面临的主要困难之一是数据的采集和数据库的建立。由于操作风险几乎涉及银行全部的业务和流程,因此,要获得可以用于风险管理并进行数据处理的信息,最首要的是建立一套合理的操作风险损失分类体系,否则操作风险量化将无从谈起。认真分析我国商业银行操作风险领域的案件可以发现,这些案件中有许多是同类事件的简单重复,暴露出我国商业银行操作风险管理和控制的薄弱,     

Distortion Risk Measures and Economic Capital

Abstract

To provide incentive for active risk management, it is argued that a sound coherent distortion risk measure should preserve some higher degree stop-loss orders, at least the degree-three convex order. Such risk measures are called tail-preserving risk measures. It is shown that, under some common axioms and other plausible conditions, a tail-preserving coherent distortion risk measure identifies necessarily with the Wang right-tail measure or the expected value measure. This main result is applied to derive an optimal economic capital formula.     

Economic Capital Allocation Derived from Risk Measures

Abstract

We examine properties of risk measures that can be considered to be in line with some “best practice” rules in insurance, based on solvency margins. We give ample motivation that all economic aspects related to an insurance portfolio should be considered in the definition of a risk measure. As a consequence, conditions arise for comparison as well as for addition of risk measures. We demonstrate that imposing properties that are generally valid for risk measures, in all possible dependency structures, based on the difference of the risk and the solvency margin, though providing opportunities to derive nice mathematical results, violates best practice rules. We show that so-called coherent risk measures lead to problems. In particular we consider an exponential risk measure related to a discrete ruin model, depending on the initial surplus, the desired ruin probability, and the risk distribution.     

经济资本配置与操作风险管理

对我国的商业银行来说,操作风险管理历来是一个薄弱环节,而针对操作风险的经济资本配置更是一个"盲区",引起业界的广泛关注.本文在巴塞尔新资本协议的框架下,从理论和实务两个方面,探讨了关于操作风险的经济资本计量模型、配置方法与管理流程,并结合我国银行业的实际情况,提出了一个较为可行的操作风险经济资本管理的实施路线.     

Optimal Risk Classification with an Application to Substandard Annuities

Abstract

Substandard annuities pay higher pensions to individuals with impaired health and thus require special underwriting of applicants. Although such risk classification can substantially increase a company's profitability, these products are uncommon except for the well-established U.K. market. In this paper we comprehensively analyze this issue and make several contributions to the literature. First, we describe enhanced, impaired life, and care annuities, and then we discuss the underwriting process and underwriting risk related thereto. Second, we propose a theoretical model to determine the optimal profit-maximizing risk classification system for substandard annuities. Based on the model framework and for given price-demand dependencies, we formally show the effect of classification costs and costs of underwriting risk on profitability for insurers. Risk classes are distinguished by the average mortality of contained insureds, whereby mortality heterogeneity is included by means of a frailty model. Third, we discuss key aspects regarding a practical implementation of our model as well as possible market entry barriers for substandard annuity providers.     

房地产中介机构洗钱风险分类与管理研究

洗钱风险分类与管理是当前国际上房地产中介机构反洗钱工作的重要内容。本文从国家地域风险、客户风险、服务风险等方面对房地产中介机构洗钱风险作了理论上的分类,并从内部控制、客户尽职调查、监测可疑交易和教育培训等方面对房地产中介机构洗钱风险管理予以政策分析。     

金融风险财政化、财政风险金融化与经济增长

金融风险财政化和财政风险金融化,虽然在短期内可以抑制金融风险和财政风险,但是,在长期内这些风险还是会以更加猛烈的方式释放出来,向上提升宏观经济风险,威胁一国经济安全,并最终抑制经济增长。这个推断,不仅在一个最优化的模型中得到证明,而且也为基于中国经济数据的协整检验所部分证实。     

A Classification System for Economic Consequences Issues in Accounting Regulation

This paper offers a classification system for economic consequences issues based on dividing perceived economic consequences issues into those that arise from decision making by users of accounts and those that arise from the mechanistic application of regulation or contracts. In order to test the system, twenty examples of economic consequence issues were selected (all of them relating to the UK or the Republic of Ireland) and subjected to three tests. The paper argues that the system proposed meets the tests. In addition implications for the definition of economic consequences are identified.     

经济政策不确定性与企业经营风险

近年来,中美贸易摩擦、新冠肺炎等突如其来的黑天鹅事件给世界经济带来了强烈震荡,经济政策不确定性明显上升,我国政府采取了一系列调控政策以有效防控风险,并特别强调企业应坚持稳中求进发展实体经济.基于此背景,本文从经济政策不确定性这一宏观视角探讨这一大环境下企业所面临的经营风险变化.在基于2006-2018年A股上市公司的季...     

经济增长、融资与债务风险

本文从多个角度对我国当前债务问题进行了较为详细的解读。研究认为,随着2009年以来我国经济增长从"贸易+投资"的双轮驱动转换为投资单极驱动,以及经济增速放缓和以债务型融资为主的融资结构,导致了债务的持续、加速积累。尽管目前我国总体债务仍然处于可控水平,但债务增速过快,且各部门债务存在明显的不平衡。从融资角度来看,2015年新增社会融资的近一半被用作利息支出。从未来看,我国债务风险的长期决定因素并不乐观。未来我国政策需要更加着力于平衡和优化各部门的债务率,实现债务增速的总体可控。