Yield curves from different bond data sets

Review of Derivatives Research - It is well known that zero coupon rates are not observable variables. Their estimation process may be cumbersome and time consuming. We explore the extent to which...     

Bank spread with uncertain deposit level and risk aversion

This paper derives a model of the banking firm under uncertainty and risk aversion. The selection of the bank's optimal spread between loan and deposit rates is emphasized. The model's results provide some implications for bank asset quality, capital regulation and deposit insurance. For example, it is shown that increases in the level of equity capital tend to increase the bank's spread under DARA. This implies an improvement in bank asset quality. On the other hand, as the deposit supply function becomes more volatile, the bank's spread narrows, which implies a decline in the quality of the bank's assets.     

Board Structure and Intragroup Propping: Evidence from Family Business Groups in Hong Kong

Using earnings announcement events made by group member firms in Hong Kong, this study examines the governance role of boards of directors in curbing propping activities within family business groups. We find that earnings released by group member firms affect the stock prices of their nonannouncing group peers in a manner consistent with intragroup propping. More importantly, this effect is less pronounced when the announcing firms have a larger board or a board with a higher proportion of independent directors, but more pronounced when they have an executive director from their controlling families acting as board chairperson. Furthermore, the monitoring effect of boards of directors is strengthened for firms subject to new regulations increasing board power. Our results suggest that board oversight can mitigate propping activities.     

Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy

This article estimates the impact of longevity risk on pension systems by combining the prediction based on a Lee-Carter mortality model with the projected pension payments for different cohorts of retirees. We measure longevity risk by the difference between the upper bound of the total old-age pension expense and its mean estimate. This difference is as high as 4% of annual GDP over the period 2040–2050. The impact of longevity risk is sizeably reduced, but not fully eliminated, by the introduction of indexation of retirement age to expected life at retirement. Our evidence speaks in favor of a market for longevity risk and calls for a closer scrutiny of the potential redistributive effects of longevity risk.     

风险与机遇苏拉纺织机械集团国际业务总监安歌华专访

"WTO关于纺织品与服装协议(多国纤维协定)的中止导致了世界纺织品市场巨大的不稳定性,这一市场动荡已在2004年下半年和2005年上半年显露出来,但已逐渐平息.另一方面,纺织产业仍然存在很多闲置的产能,特别是在中国,近年来扩建的产能仍有部分搁置.虽然苏拉的机械传送部门由于强大的市场需求在赢利,但却不能完全抵消我们纺织部门的市场疲软造成的亏损."这段话摘自苏拉集团2005年7月26日题为<充满信心地返回纺织市场-传送系统的需求活跃-盈利归功于TEMPUS项目的实施>的股东年报,由此可以看出,中欧、中美纺织品贸易摩擦不仅给中国纺织企业带来了不利影响,也给外资在华纺织投资企业带来了不利影响.但是,最近苏拉集团基于对中国的市场分析和判断,进一步加大了对华投资.这种矛盾做法让业内人士有了些许疑惑.9月初,恰逢苏拉纺织机械集团国际业务总监安歌华(Andreas Engelhardt)来京进行商务活动,本刊记者就相关话题对他进行了专访.     

Fair Valuation of Equity-Linked Policies under Insurer Default Risk

Abstract

We consider the problem of computing the fair value of equity-linked policies with an interestrate guarantee when the insurer is subject to credit risk. The framework is developed based on modern financial theory using the no-arbitrage principle. In this context, an equity-linked policy is considered as a vulnerable contingent claim that expires before maturity if the firm asset value reaches a prespecified default threshold depending on the firm’s liabilities. We derive a closedform formula in a continuous-time environment to compute the fair value of the contract. We also develop a discrete-time model that allows us to address fair evaluation when the policy embeds a surrender option.     

"走出去"需要知己知彼--陈树津出访归来谈纺织企业对外投资

背景: 众所周知,2004、2005年成为中国纺织品对外贸易的多事之秋,一是美国和欧盟等发达国家一年来对我国发起数起一反一保案件,进入2005年,贸易摩擦不断升级,争端高潮随着北京酷暑的炎热一起袭来--今夏中美、中欧纺织品贸易谈判已经升格为部长级.二是2004年65个国家,其中大多数为发展中国家的115个协会组织签署的<伊斯坦布尔宣言>,要求世贸组织关注中国纺织品出口,延长配额政策.     

事业单位办公室档案日常管理与应用

近年来,随着档案宣传工作的进展,人们对档案工作重要性的认识普遍有一定的提高,但提高的幅度有限,这其中主要原因是宣传力度还不够。为了加强事业单位档案的管理工作,促进档案管理的规范化、标准化,更好地为社会发展和经济建设服务我们应进一步加大档案工作的宣传力度,广泛开展档案法律法规的宣传教育活动。     

A reduced lattice model for option pricing under regime-switching

We present a binomial approach for pricing contingent claims when the parameters governing the underlying asset process follow a regime-switching model. In each regime, the asset dynamics is discretized by a Cox–Ross–Rubinstein lattice derived by a simple transformation of the parameters characterizing the highest volatility tree, which allows a simultaneous representation of the asset value in all the regimes. Derivative prices are computed by forming expectations of their payoffs over the lattice branches. Quadratic interpolation is invoked in case of regime changes, and the switching among regimes is captured through a transition probability matrix. An econometric analysis is provided to pick reasonable volatility values for option pricing, for which we show some comparisons with the existing models to assess the goodness of the proposed approach.     

Firms’ performance under different bankruptcy systems: a Europe–USA empirical analysis

This study empirically analyses the effect that the bankruptcy law has on firms’ performance based on its financial situation. To do this, we considered the different types of efficiency and their influence on firms’ value. The study was carried out for Germany, Spain, the United States, France and the United Kingdom. We applied System‐GMM estimation to dynamic panel data. The main results show that under creditor‐oriented systems, there is a decrease in the value of both financially distressed firms and those filing for bankruptcy.