Credit portfolios: What defines risk horizons and risk measurement?

The strong autocorrelation between economic cycles demands that we analyze credit portfolio risk in a multiperiod setup. We embed a standard one-factor model in such a setup. We discuss the calibration of the model to Standard & Poor’s ratings data in detail. But because single-period risk measures cannot capture the cumulative effects of systematic shocks over several periods, we define an alternative risk measure, which we call the time-conditional expected shortfall (TES), to quantify credit portfolio risk over a multiperiod horizon.     

Diversification in Portfolios of Individual Stocks: 100 Stocks Are Not Enough

We examine returns and ending wealth in portfolios selected from 1,000 large U.S. stocks over a 20‐year holding period. Shortfall risk, the possibility of ending wealth being below a target, is a useful metric for long horizon investors and is consistent with the Safety First criterion. Density functions obtained from simulations illustrate that shortfall risk reduction continues as portfolio size is increased, even above 100 stocks. A slightly lower risk can be achieved in small portfolios by diversifying across industries, but a greater reduction is obtained by simply increasing the number of stocks.     

Extreme spectral risk measures: An application to futures clearinghouse margin requirements

This paper applies the extreme-value (EV) generalised pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses tail estimators from these contracts to estimate spectral risk measures, which are coherent risk measures that reflect a user’s risk-aversion function. It compares these to VaR and expected shortfall (ES) risk measures, and compares the precision of their estimators. It also discusses the usefulness of these risk measures in the context of clearinghouses setting initial margin requirements, and compares these to the SPAN measures typically used.     

Risk measure pricing and hedging in incomplete markets

This article attempts to extend the complete market option pricing theory to incomplete markets. Instead of eliminating the risk by a perfect hedging portfolio, partial hedging will be adopted and some residual risk at expiration will be tolerated. The risk measure (or risk indifference) prices charged for buying or selling an option are associated to the capital required for dynamic hedging so that the risk exposure will not increase. The associated optimal hedging portfolio is decided by minimizing a convex measure of risk. I will give the definition of risk-efficient options and confirm that options evaluated by risk measure pricing rules are indeed risk-efficient. Relationships to utility indifference pricing and pricing by valuation and stress measures will be discussed. Examples using the shortfall risk measure and average VaR will be shown. The work of Mingxin Xu is supported by the National Science Foundation under grant SES-0518869. I would like to thank Steven Shreve for insightful comments, especially his suggestions to extend the pricing idea from using shortfall risk measure to coherent ones, and to study its relationship to utility based derivative pricing. The comments from the associate editor and the anonymous referee have reshaped the paper into its current version. The paper has benefited from discussions with Freddy Delbaen, Jan Večeř, David Heath, Dmitry Kramkov, Peter Carr, and Joel Avrin.     

国际贸易成本、制度环境与 FDI 区位分布--来自120个城市的经验证据

本文使用世界银行的城市数据定量比较了国际贸易成本与产权保护水平、契约执行效率和政府干预程度等制度环境对FDI区位分布的影响。研究发现,外企高度依赖国际市场,国际贸易成本显著影响了FDI区位分布;融资的便利和母国政府的支持,推行纵向一体化导致其产业链有闭合趋势等因素,使外企对当地制度环境并不敏感。本文分析表明有必要进行全国性运输改革,以提升中西部内陆地区对FDI的吸引力。     

我国央行财产豁免制度的完善：以利益平衡为视角

为维护纽约国际金融中心地位和美元的国际储备货币地位,美国在区分管辖豁免和执行豁免的立法基础上,通过立法与司法、司法与行政等层面的结构性设计来实现投资者与外国央行之间的利益平衡。实践中,美国法院通过对“央行财产”、“放弃豁免”等立法条文的解读进一步维护了此种利益平衡之实现。在面临建设国际金融中心、维护境外外汇投资安全和应对主权债务危机等多重政策诉求的背景下,我国可以考虑利用管辖权与判决执行两阶段的互动,在管辖权豁免、央行财产界定、放弃豁免和对等原则等方面来满足我国对央行财产豁免制度的政策需求。     

EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL‐REPRESENTATION FORMULA

Motivated by numerical representations of robust utility functionals, due to Maccheroni et al., we study the problem of partially hedging a European option H when a hedging strategy is selected through a robust convex loss functional L(·) involving a penalization term γ(·) and a class of absolutely continuous probability measures . We present three results. An optimization problem is defined in a space of stochastic integrals with value function EH(·) . Extending the method of Föllmer and Leukerte, it is shown how to construct an optimal strategy. The optimization problem EH(·) as criterion to select a hedge, is of a “minimax” type. In the second, and main result of this paper, a dual‐representation formula for this value is presented, which is of a “maxmax” type. This leads us to a dual optimization problem. In the third result of this paper, we apply some key arguments in the robust convex‐duality theory developed by Schied to construct optimal solutions to the dual problem, if the loss functional L(·) has an associated convex risk measure ρ^L(·) which is continuous from below, and if the European option H is essentially bounded.     

我国公共政策执行失灵的原因及其矫正探讨

公共政策执行在政策过程中处于十分重要的地位,它直接影响着政策目标的实现.由于许多因素的影响,在政策执行过程中往往会产生失灵的现象,引起经济、政治、社会生活的无序和混乱.文章分析了公共政策执行失灵的原因,并提出了相应的解决对策,以提高公共政策执行的有效性.     

构建我国民营企业执行文化的对策研究

构建执行文化对我国民营企业的生存与发展具有特别重要的意义.文章通过探讨民营企业执行力和执行文化的现状,结合我国民营企业的生存环境提出了我国民营企业塑造执行文化的对策,领导重视、注重学习和创新、建立健全的规章制度及企业的CI体系是塑造民营企业执行文化的重要举措.     

当代中国文化中科学精神的缺失与重构

科学精神在当代中国文化中的缺失现象比较严重，而科学精神在先进文化中又起看非常重要的作用，因此，我们必须重建科学精神，使相信科学、崇尚科学的意识深深地扎根生长，成为我们时代的精神。