Financial and operational decisions in the electricity sector: Contract portfolio optimization with the conditional value-at-risk criterion

The restructuring of electricity markets around the world have caused increased volatility and uncertainty of the price power. As a result, providers of power now face increased uncertainty and risk in the operational and financial decisions related to procurement. Providers must seek optimal ways to deliver the required volume of power to retailers and end users while managing risk. We consider a mixed-integer programming model for a power providing agent that jointly considers the problem of selecting custom electricity contracts and finding the optimal procurement strategy of meeting contract obligations under spot price uncertainty. A two-stage stochastic integer programming (SIP) model with a conditional value-at-risk (CVaR) constraint to incorporate risk aversion is developed. Computational results are presented that demonstrates the CVaR approach and the results are compared with a corresponding expected cost minimization approach. The SIP model with CVaR will allow acceptance of contracts at lower prices compared to an approach based on a corresponding risk-neutral model as a hedge against uncertainty and mis-specified arbitrage.     

Customer and retailer rebates under risk aversion

In a supply chain setting, we analyze a manufacturer's customer and retailer rebates, which are sales incentives offered to the end buyers and retailers, respectively. The performance of both rebates is influenced by the retailer's objective and response to the promotion due to his intermediary position in the channel. Earlier studies investigating rebates in distribution channels have traditionally assumed that the retailer is risk neutral with the objective of maximizing expected profits. In our paper, we consider a risk-averse retailer. We formally model risk aversion by adopting the Conditional-Value-at-Risk (CVaR) decision criterion. Using a stochastic and (effective) price dependent demand, we analyze the manufacturer's rebate amount decisions and the retailer's joint inventory and pricing decisions in a game theoretical framework. We provide several structural properties of the objective functions and show monotonicity of the retailer's decisions in the degree of risk aversion. For the case of retailer rebates, we characterize the unique equilibrium, and for the case of customer rebates, we prove the existence of an equilibrium. Using numerical examples, we provide further insights on the impact of risk aversion. For example, given an exogenous wholesale price, we observe a threshold value on the retailer's risk-aversion parameter below (above) which the manufacturer is better off with retailer rebates (customer rebates); implying that the manufacturer's preferred rebate type can be different depending on whether the retailer is risk neutral or sufficiently risk averse.     

巴塞尔协议Ⅲ对金融租赁业的影响及对策：基于风险指标体系与业务盈利模式的分析

由于有与母体银行风险并表的需要,金融租赁公司将受到巴塞尔协议III逐步实施直接或间接的影响。本文从新标准所设定的风险监管指标体系调整出发,逐层分析了资本充足率、贷款拨备率、拨备覆盖率等指标要求调整对金融租赁公司的业务盈利模式、规模扩张方式、风险管理理念和公司治理结构带来的影响,并从业务模式转型、与母体银行协同合作、专业团队、信息系统等视角提出金融租赁公司的应对策略。在巴塞尔协议新标准的要求下,金融租赁业从外延式扩张向内涵式提升转型具有高度紧迫性。     

中国金融开放的外源性风险评估与预警研究

本文在构建金融开放的外源性风险指标体系的基础上,提出了评估金融开放外源性风险的＂3δ＂原理和方法,并建立了风险的BP神经网络预警模型。将该原理和预警模型应用到中国和其它25个世界主要发展中国家,结果表明,该原理和预警模型对金融开放的外源性风险的评估与预警具有很强的实用性和可操作性。     

Vintage capital and creditor protection

We provide novel evidence linking the level of creditor protection provided by law to the degree of usage of technologically older, vintage capital in the airline industry. Using a panel of aircraft-level data around the world, we find that better creditor rights are associated with both aircraft of a younger vintage and newer technology, as well as firms with larger aircraft fleets. We propose that by mitigating financial shortfalls, enhanced legal protection of creditors facilitates the ability of firms to make large capital investments, adapt advanced technologies, and foster productivity.     

台风风险的可保性及其市场供求行为分析

台风灾害每年都给中国东部沿海地区造成巨大的经济损失,但到目前我国保险市场还没有单一责任的台风保险来分担此风险。台风保险是一种准公共物品,如果政府能够介入该保险市场,其可保性则得以提高。对有政府支持的台风保险供求行为博弈分析表明,农户购买台风保险的保险费用占其总产出的百分比在农户和保险公司的决策中至关重要。     

天气衍生品的运作机制与精算定价

天气衍生品是为了规避天气风险给天气敏感行业带来收入的不稳定性而兴起的创新型风险管理工具,其实质是通过衍生合约对天气风险进行分割、重组和交易的证券化产品。不同于传统金融衍生品,天气衍生品的价值取决于温度、湿度或降雨量等天气指数。本文在分析天气衍生品市场发展的基础上,重点探讨了最常见的天气期货和天气期权的运作机制及其精算定价。     

地方政府融资平台风险测算与规范发展研究

利用情景分析法对地方政府融资平台信贷风险及债务规模进行测算,结果显示:融资平台贷款风险总体上处于可控状态,债务规模处于地方承受范围以内,其风险形成和影响因素涉及到宏观经济环境和国家政策、区域经济环境、地方财政状况和平台运行状况四个层面。因此,融资平台的规范发展需要实现城投公司向特定目的公司转变、政府信用向公司信用转变、隐性负债向显性负债转变、事后补救向事前预警转变、传统融资向多元化融资转变。     

基于突变理论的农户小额信贷信用风险评价方法研究

由于农户小额信贷无需抵押和担保,对其风险的测度和控制愈发重要。本文在建立评价指标体系的基础上,应用突变级数理论和突变系统中三种常用类型,并利用归一化公式对农户信用风险进行了综合评价。最后以陕西省杨凌区农信社提供的15户典型性样本为评价对象进行了实证研究,验证了该方法的客观合理性,为评价农户信用风险提供了一种新的方法。