Comparing risk aversion in a probability triangle

An agent's acceptance set consists of the probability distributions preferred to the status quo. One agent is more risk averse than another if the more risk averse agent's acceptance set is a proper subset of the less risk averse agent's acceptance set. An agent's odds premium expresses the odds in favor of winning the largest cash prize in a lottery over the best and worst alternatives that is indifferent to the the agent's initial wealth. Comparisons of two agents odds premia completely characterizes the risk aversion relations between them when facing lotteries in a probability triangle. The result applies to expected utility and some non-expected utility theories. Received: December 30, 1998; revised version: February 10, 1999     

The Colombian Stock Market: 1930-1998

Abstract

This article studies the behavior of the stock market in Colombia with the information given by the Bolsa de Bogota Index (Indice de la Bolsa de Bogota, IBB). The index is analyzed from January, 1930 to December, 1998. The inflation rate covers the same period; the inflation rate as measured by the Consumer Price Index. The results of this analysis show that monthly and per annum return-nominal and real-are well below from the expected return of any financial investor. A first hypothesis to explain this is that the investor and entrepreneurs receive benefits that are non-measurable in terms of economic return. Also it can be said that inflation is negative to the return at the stock market, thus: the larger the inflation rate, the smaller the real return. It is shown that the market does not anticipate the future inflation, and of course it is not included in the actual price. Probabilities for selected real return values are presented. The probability to obtain a real return greater than 0% and other values (5%, 10%, 12% and 18%) as well, is much less than 50%. This might show that investing at the stock market is just gambling.     

A Collaborative Multi‐criteria Decision Making Technique for Risk Factor Prioritization

Organizations are a collection of individuals, and often a disastrous organizational accident involves contributions from several technical/environmental factors and actors throughout the system over time. This paper illustrates the efficiency of a new collaborative decision making technique that could assist a group of executive decision makers in identifying, analyzing, evaluating and prioritizing significant organizational system risks. The results from the collaborative technique when applied to real world risk intensive situations, such as aviation safety risk management, are compared with those obtained by using existing notable techniques. For the case examples shown, the number of expert judgments is reduced by up to 80%. Advantages and limitations of the proposed modeling approach for collaborative decision making are discussed.     

试论风险投资公司的投资决策

风险投资具有高风险、高收益、高增长的特性。因此，风险投资公司在进行投资决策时，必须充分考虑风险投资的外部金融环境和内部金融条件，在选好投资项目时，更要选择好退出时机。     

Research on Measurement and Forecast of Hong Kong＇ s RMB Offshore Market

近年来,香港人民币离岸市场迅速发展。随着市场规模的不断扩大,其波动对内地金融市场的冲击不容小视。本文运用VAR模型和状态空间模型,参照国际经验数据,模拟分析度量了香港人民币离岸市场对内地金融市场的风险,并在此基础上预测了未来风险多发的时间区间。     

A contribution to the public–private wage inequality debate

This paper studies the public–private wage inequality in Romania. Although public sector employment is perceived as safer and offering more benefits, we find that in Romania it also offers higher wages, after controlling for experience, education and gender. This result is at odds with the negative premium uncovered in other transition economies. The public–private wage premium is increasing across the wage distribution, leading to more inequality in the public sector. Decomposing the wage premium into the effect of personal characteristics, coefficients and residuals, we show that only about half of this premium can be attributed to personal characteristics, especially in the top half of the wage distribution. We also find that the number of other public sector employees in the family is a significant driver of public sector employment, facilitating access to jobs. However, the effects of self‐selection are negligible, the premium being still positive and significant after controlling for this.     

小额信用贷款的风险管理:基于贝叶斯均衡的博弈分析

小额信用贷款直接面向客户发放,小额度、无需抵押担保。这普通商业贷款业务不同,极易引发信用风险。围绕小额信用贷款的发放,借款人与金融机构间展开了不完美信息的动态博弈,博弈分析结果显示提高欺骗成本与优质借款人提出贷款申请的比例、降低借款的预期收益都有利于金融机构控制风险。为此,可以从利率政策、风险控制机制与内部管理机制入手,有效的降低金融机构的风险。     

What drives corporate default risk premia? Evidence from the CDS market

This article studies the economic factors behind corporate default risk premia in Europe during the period 2006–2010. We employ information embedded in Credit Default Swap (CDS) contracts to quantify expected excess returns from the underlying bonds in market-wide default circumstances. We disentangle the compensation to investors for unexpected changes in the creditworthiness of the bond issuer from their remuneration for the risk that the bond's price will drop in the event of default. Our results show that the risk premia associated with systematic factors influencing default arrivals represent approximately 40% of total CDS spread (on median). These premia also exhibit a strong source of commonality; a single principal component explains approximately 88% of their joint variability. This factor significantly covaries with aggregate illiquidity and sovereign risk variables. Empirical evidence suggests a public-to-private risk transfer between sovereign credit spread and corporate risk premia. Finally, the compensation in the event of default is approximately 14 basis points of the total CDS spread, and a significant amount of jump-at-default risk may not be diversifiable.     

中国市场经济体制建构中的财政风险

中国市场经济体制的建构,一方面是政府对企业"放权让利",以利于形成市场机制;另一方面是政府重塑调控经济的手段,以适应市场机制的要求,本文称之为"双向改革"。本文试图说明,"双向改革"的制度摩擦是导致财政风险的重要原因。通过使用1997—2007年省级面板数据实证检验,结果表明:在市场经济体制构建过程中,确实存在体制改革摩擦即制度性摩擦,这种制度性摩擦不仅一定程度上弱化了"双向改革"的风险化解效果,而且自身也导致了新的风险产生。因此,探索和建构符合中国国情的市场经济体制是化解我国财政风险的根本出路。