Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios

We extract from the yield curve a new measure of fundamental economic uncertainty, based on McDiarmid’s diameter and related methods for optimal uncertainty quantification (OUQ). OUQ seeks analytical bounds on a system’s behaviour, even where aspects of the underlying data-generating process and system response function are not completely known. We use OUQ to stress test a simple fixed-income portfolio, certifying its safety—i.e. that potential losses will be ‘small’ in an appropriate sense. The results give explicit tradeoffs between: scenario count, maximum loss, test horizon, and confidence level. Unfortunately, uncertainty peaks in late 2008, weakening certification assurances just when they are needed most.     

余额宝收益率与上海银行间同业拆借利率 关系的实证研究

作为互联网理财产品的代表,余额宝收益率与货币市场基准利率密切相关。本文 选取余额宝收益率与市场利率的代表——上海银行间同业拆借利率（Shibor）的数据,采用向 量自回归模型（VAR）对两者的关系进行实证研究,研究结果表明：余额宝收益率与Shibor互 为因果,余额宝以上万亿的基金规模已经能够影响Shibor,当期的余额宝收益率和Shibor主要受 自身前期影响。Shibor的市场基准性仍需进一步加强;余额宝应加强自身经营,充分利用大数 据技术建立风险防范机制,提升风险管理效率;相关部门应重视对余额宝的监管,既要保证监 管的有效性,又要适度监管,为金融创新留下空间,维护金融市场的健康稳定发展。     

商业银行理财产品绩效评价研究

本文针对理财产品市场的复杂现状,建立商业银行理财产品的评价指标体系,以23家国内商业银行发行的人民币银行理财产品为样本,从风险和收益两个维度对理财产品进行综合绩效评价,并在此基础上为理财产品市场进一步的发展提出了相关的建议。     

The term structures of equity and interest rates

This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates, returns on the aggregate market, and the risk and return characteristics of value and growth stocks. Both the term structure of interest rates and returns on value and growth stocks convey information about how the representative investor values cash flows of different maturities. We model how the representative investor perceives risks of these cash flows by specifying a parsimonious stochastic discount factor for the economy. Shocks to dividend growth, the real interest rate, and expected inflation are priced, but shocks to the price of risk are not. Given reasonable assumptions for dividends and inflation, we show that the model can simultaneously account for the behavior of aggregate stock returns, an upward-sloping yield curve, the failure of the expectations hypothesis, and the poor performance of the capital asset pricing model.     

商业银行资金转移定价系统:转移方法、定价模式与实施建议

资金转移定价系统是商业银行进行利率风险管理、产品定价、资源配置、利润核算、绩效评价、优化决策和提高运营效率的重要工具.实施资金转移定价对商业银行经营管理水平的提高以及竞争力的提升具有很大的促进作用,对提高商业银行产品利率敏感性、完善货币政策传导机制具有不可忽视的影响.本文介绍了资金转移定价的模式和方法,比较了各自的优劣,并结合我国商业银行目前面临的内外部环境特征,指出我国商业银行实行资金转移定价必须注意的几个问题.     

Star rating and corporate affiliation: their influence on room price and performance of hotels in Israel

The purpose of this paper is to ascertain whether and how star rating and corporate affiliation, as signals of quality, influence pricing decisions of hotels in Israel in various geographical locations, each with its specific market characteristics and during two different periods in which the business environment suffers from a crisis due to the political circumstances in the Middle East. The data suggests that the star-rating system, which is traditionally used to rate hotels’ quality, is a still stable and consistent predictor of room prices. However, in light of the increased usage of brand names in the Israeli industry, it was found that the ability to charge and receive a premium for the hotel corporate affiliation or brand name is not consistent. The analysis presents the case in which a premium for brand name is eroded by the influence of the crisis, by the level of corporate intensity in the region, and also by the relative strength of consumers in the different geographical locations.