国家主权信用评级质量检验方法研究

国家主权信用评级对当今国际经济和金融运行有着极为重要的影响力。但是,与其地位不相符的是,评级机构的评级结果事后多次被证明准确性和前瞻性较差。事先缺乏预警而事后大幅降级,甚至对加剧危机起到了推波助澜的作用。本文从国家主权信用评级质量的检验方法入手,系统分析了违约率和迁移率等传统方法在检验评级结果起到的作用及其不足,给出了检验评级质量的一般方法,并验证了该评级检验方法的科学性和准确性。     

电子商务环境下的内部控制与风险管理

会计职业人员对评估内部控制并实施风险管理的技能已熟知多年。这种经过时间检验并证明行之有效的经验和专业技能是会计职业产业独特影响的知识基础。随着电子商业的发展，尽管目前尚没有统一且标准的定义，但其发展对会计职业却提出了挑战。从某种意义上讲，企业的风险评估增加了很多新的内容，而与之相对应的内部控制也需要进行必要的调整，从而实行风险管理。本文拟就电子商务环境下的内容控制和风险 管理及其手段进行分析。     

中小企业信贷风险分析与防范对策研究

在我国长期以间接融资为主的融资机制下,银行信贷成为中小企业融资的重要渠道。然而由于市场竞争、信息不对称、担保体系、商业银行信贷管理水平和政策环境等方面的原因,使得中小企业信贷往往面临着比较大的风险。在后金融危机时代如何发挥充分信贷的重要作用并做好风险防范,支持中小企业发展具有非常重要的现实作用和意义。     

后金融危机时期的金融创新策略与风险监管

金融创新与金融风险两者之间是一种相互促进、相互发展的关系。金融创新在为转移和分散金融风险做出了巨大贡献的同时也带来了新的风险。后金融危机时期我们不能停止金融创新的步伐,但一方面应注意处理好虚拟经济与实体经济的关系、处理好市场导向与加强监管的关系、处理好交易所市场与场外市场的关系;另一方面应通过实施有效的监管安排来防范和化解市场的宏观风险。     

最优动态汇率风险套期保值模型研究

构建一个最优动态汇率风险套期保值理论模型,并将其套期保值效率与静态策略进行实证对比.采用对角BEKK模型来捕捉货币现货与期货市场的交互影响,从而刻画风险最小化套期比率的动态特征,结果表明,套期保值能减少汇率风险,但具体的套期保值策略的效率高低排序与避险频率相关.     

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.     

Can stochastic discount factor models explain the cross-section of equity returns?

We propose a multivariate test of the capital asset pricing model (C-CAPM) of the cross-sectional variation in equity returns in which we compare cross-sectional variation in equity returns to the cross-sectional variation in their conditional covariance with stochastic discount factors. We use a multivariate generalized heteroskedasticity in mean model to estimate 25 portfolios that are formed on size and the book-to-market ratio. Each portfolio is allowed to have its own no-arbitrage condition. We find that although the conditional covariances of returns with consumption exhibit negative variation across size, they do not vary across the book-to-market ratio. Thus, C-CAPM can capture the size effect, but not the value effect. The fit is, however, improved by allowing the coefficients on the consumption covariances to be different. The value effect appears to be associated with the book-to-market ratio as well as size. On its own the book-to-market ratio does not generate additional information about average returns to C-CAPM. A possible explanation for these findings is that both small and low book-to-market ratio firms are expected to have higher rates of growth.     

Keeping up with the Joneses? Evidence from Peer Performance in the Banking Industry

This paper traces the reaction of US banks to ROE underperformance on liquidity creation, equity capital, and loan loss provisions. We find that banks change their structures in the subsequent quarter after underperformance by increasing their on-balance and off-balance sheet liquidity creation to increase profitability. Banks tend to increase their equity capital and improve their loan quality by lowering non-discretionary loan loss provisions to become safer. Banks signal their ability to overcome underperformance by increasing their discretionary loan loss provisions. Our results reveal that large banks rely mainly on off-balance sheet liquidity creation as their primary tool to recover from underperformance while medium-size and small banks adjust their equity capital to increase their safety.