基于模糊联系度的危化品公路运输安全风险评估

为了有效降低危化品公路运输事故风险,提高危化品运输安全管控能力,构建了含23个动、静态指标的危化品公路运输安全风险评估指标体系,采用组合权重对评估指标赋权;基于集对分析理论,对专家打分分值与组合权重深入分析,引入综合差异度系数的概念,确定模糊联系度,提出一种危化品公路运输安全风险评估方法;以西安某公司至上海的运输任务为例,进行实例应用。结果表明：除危化品因素外,其余一级指标均存在风险上升趋势,其中人员因素风险上升趋势尤其明显,危化品公路运输整体风险状态处于微反势9级,风险较大,与实际情况相符。所提方法可实现危化品公路运输动、静态风险评估,为危化品公路运输风险研究提供参考。     

我国注册会计师职业风险与审计责任研究

注册会计师审计是一个高风险、高社会责任的行业。注册会计师面临的审计风险很大,但目前市场主体自我保护意识较弱,政府监管力度不够,处罚力度轻,使得潜在的审计风险很少落实到注册会计师身上。为使我国目前注册会计师行业更健康地发展,必须降低注册会计师目前无法承担的职业风险,同时真正承担起应承担的职业责任。     

利率市场化背景下银行系统性危机的实证研究

从利率市场化的国际经验来看,无论是在发达国家还是发展中国家,其实施过程都容易导致不同程度的银行业危机。采用1973~2012年42个国家的面板数据,对利率市场化背景下的银行业危机进行的实证研究表明：利率市场化的推进将增加银行系统性危机发生的机率,特别是在存款利率市场化阶段,而严格的银行监管是抑制银行系统危机发生的有效方法;显性存款保险制度的设立无助于利率市场化后银行系统性风险的防范,甚至有可能会增加危机发生的机率;资本账户开放下进行利率市场化会增加银行系统危机发生的机率。利率市场化进程中允许开设民营银行不会增加银行系统危机的发生机率。     

Isolated refuges for surviving global catastrophes

A variety of global catastrophes threaten the survival of human civilization. For many of these catastrophes, isolated refuges could keep some people alive and enable them to rebuild civilization in the post-catastrophe world. This paper examines the potential importance of refuges and what it would take to make them succeed. The successful refuge will have a variety of qualities, including isolation from catastrophes and self-sufficiency. These qualities can be achieved through a variety of specific design features. We introduce the concept of surface-independence as the gold standard for refuge excellence: refuges isolated from Earth's surface will offer maximum protection against both the catastrophe itself and potentially harmful post-catastrophe populations. However, surface-independence introduces significant design challenges. We present several challenges and evaluate possible solutions. Self-sufficiency in food provision can be greatly enhanced via chemical food synthesis. The rejection of waste heat from subterranean refuges can be enhanced via building piping networks and locating refuges near running groundwater or in ice. The high cost of extraterrestrial refuges can be offset by integrating refuges into space missions with scientific, political, or commercial goals. Overall, refuges show much promise for protecting civilization against global catastrophes and thus warrant serious consideration.     

Dynamical macroprudential stress testing using network theory

The increasing frequency and scope of financial crises have made global financial stability one of the major concerns of economic policy and decision makers. This has led to the understanding that financial and banking supervision has to be thought of as a systemic task, focusing on the interdependent relations among the institutions. Using network theory, we develop a dynamic model that uses a bipartite network of banks and their assets to analyze the system’s sensitivity to external shocks in individual asset classes and to evaluate the presence of features underlying the system that could lead to contagion. As a case study, we apply the model to stress test the Venezuelan banking system from 1998 to 2013. The introduced model was able to capture monthly changes in the structure of the system and the sensitivity of bank portfolios to different external shock scenarios and to identify systemic vulnerabilities and their time evolution. The model provides new tools for policy makers and supervision agencies to use for macroprudential dynamical stress testing.     

Why is credit-to-GDP a good measure for setting countercyclical capital buffers?

We examine banks’ loan losses in Europe in 1982–2012 using a nonlinear three-factor model that takes into account output growth, real interest rate, and the ratio of private credit to GDP relative to its trend (i.e., “excessive indebtedness”). We find that a drop in output has an intensified impact on loan losses if the private sector is excessively indebted. Because increased bank credit risk should be matched with higher bank capital, the result motivates the Basel III's countercyclical capital buffers as a function of private indebtedness relative to its trend. The result also helps to explain differences in the amount of loan losses in different recessions across time and across countries. The model also indicates that low interest rates during the recent recession have clearly mitigated loan losses.     

Flight to liquidity and the Great Recession

This paper argues that counter-cyclical liquidity hoarding by financial intermediaries may strongly amplify business cycles. It develops a dynamic stochastic general equilibrium model in which banks operate subject to agency problems and funding liquidity risk in their intermediation activity. Importantly, the amount of liquidity reserves held in the financial sector is determined endogenously: Balance sheet constraints force banks to trade off insurance against funding outflows with loan scale. A financial crisis, simulated as an abrupt decline in the collateral value of bank assets, triggers a flight to liquidity, which strongly amplifies the initial shock and induces credit crunch dynamics sharing key features with the Great Recession. The paper thus develops a new balance sheet channel of shock transmission that works through the composition of banks’ asset portfolios.     

Short interest and stock price crash risk

Using a large sample of U.S. public firms, we find robust evidence that short interest is positively related to one-year ahead stock price crash risk. The evidence is consistent with the view that short sellers are able to detect bad news hoarding by managers. Additional findings show that the positive relation between short interest and future crash risk is more salient for firms with weak governance mechanisms, excessive risk-taking behavior, and high information asymmetry between managers and shareholders. Empirical support is provided showing that the relation between short interest and crash risk is driven by bad news hoarding.     

Riding the swaption curve

We conduct an empirical analysis of the term structure in the volatility risk premium in the fixed income market by constructing long-short combinations of two at-the-money straddles for the four major swaption markets (USD, JPY, EUR and GBP). Our findings are consistent with a concave, upward-sloping maturity structure for all markets, with the largest negative premium for the shortest term maturity. The fact that both delta–vega and delta–gamma neutral straddle combinations earn positive returns that seem uncorrelated suggests that the term structure is affected by both jump risk and volatility risk. The results seem robust for macroeconomic announcements and the specific model choice to estimate the risk exposures for hedging.