Risk,uncertainty, and leverage

Using mostly theoretical models and traditional risk/uncertainty measures (VIX index, panic, precaution, scary bad news, etc.), the current literature tries to clarify the risk/uncertainty-deleveraging pattern. The findings are not sufficient to explain the dynamic empirical relationship between modern risk/uncertainty indicators and leverage. We fill this gap in the literature by using US quarterly data, from 1985:1 to 2018:4, Granger causality tests, and a structural vector autoregression model. We find that commercial bank leverage rises when geopolitical risk and macroeconomic, policy, and equity uncertainty increase. Client-based business relationships of banks and high government borrowing from banks during crises periods are responsible for this relationship. We find that the leverage of broker-dealers and shadow banks declines when Chicago risk and macroeconomic, policy, financial, and equity uncertainty increase. We argue that the vulnerability of broker-dealers and shadow banks to the risk/uncertainty of the entire market system is responsible for this relationship.     

Modelling demand for lotto using a novel method of correcting for endogeneity

Modelling lottery sales as a function of the mean, standard deviation and skewness of the probability distribution of returns potentially gives insights into how the design of a game could be modified to maximise net revenue. But use of OLS is problematic because the level of sales itself affects values of the moments (and insufficient instruments are available for IV regression). We draw on the concept of a rational expectations equilibrium, developing a new regression model which corrects for endogeneity where the causal impact of the dependent variable on the right-hand side variables is deterministic. We apply the model to data on lotto sales from Spain. Using the Spanish data, we show that results provide more reliable guidance to lottery agencies because accounting for endogeneity leads to significantly different results from OLS and these results have superior performance in out-of-sample forecasting of sales. More generally, results prove consistent with the Friedman-Savage explanation of why people buy lottery tickets and with evidence from racetrack data that ‘bettors love skewness’.     

Estimation of relative risk aversion across time

This article examines relative risk aversion in the framework of a three-moment asset pricing model that accounts for skewness. Accounting for skewness in calculating risk aversion gives a more accurate series of estimates of risk aversion and helps to reconcile the wide disparity in risk coefficients found in past literature. Risk aversion coefficients are calculated from 1926 to 2014 using stock market returns. This procedure results in a time series of data that can be related to other variables such as real interest rates and changes in demand for various asset classes.     

商业银行操作风险的实证分析

近年来商业银行发生了事关操作风险的一系列大案、要案,逐步引起了人们对操作风险的重视。巴塞尔新资本协议把操作风险列为商业银行面临的三大风险之一,要求把它纳入到资本充足的计算框架内,各国学者和银行业也竭力加强对操作风险的研究和管理。操作风险的度量是操作风险管理的核心,度量方法可分为自上而下法和自下而上法。本文利用基于自上而下法建立的收入模型,使用2002年1季度至2011年1季度的季度数据对深圳发展银行和招商银行的操作风险进行了度量,与基本指标法模型所得结果进行了对比分析,并用两家银行的诉讼、仲裁数据进行了间接的实际验证。研究发现:收入模型比基本指标法模型能更准确的度量操作风险;两个银行的风险水平所占总风险比重符合国际惯例要求;招商银行的操作风险管理水平要高于深圳发展银行。     

基于区间数二级收敛的风险型方案的择优

区间数多属性择优问题是多属性决策研究中的重要内容.为解决成本与效益型混合的多属性风险型方案择优问题,在分析区间数的定义及其在方案属性集中应用的基础上,本文运用区间数的二级收敛思想,给出了多属性风险型方案的择优过程:首先规范决策矩阵并将各备选方案属性权重的区间数收敛为点值;其次计算各备选方案综合属性值的区间数并建立可能度矩阵再将各备选方案综合属性值的区间数收敛为点值;最后运用综合属性排序向量计算各备选方案的综合属性点值并进行排序.本文实例印证了该择优过程的实用性和有效性.本文研究成果可丰富多属性决策研究内容并有助于风险投资者科学高效地选择最佳投资方案,因而具有较高的理论意义及实践价值.     

战略联盟的存在机理及其生命周期管理

战略联盟是企业间以价值链为纽带,以核心能力为基础展开的同盟搏弈.国内外学者对战略联盟的解释多借助于价值链理论、交易费用理论、博弈论和网络战略理论.尽管学界对战略联盟的生命周期少有论及,但作为“市场化组织”,战略联盟与其他生物体一样,具有自己的生命周期.论文根据战略联盟演绎进程和阶段性工作重点的差异,将其分为酝酿与组建期、震荡与磨合期、规范运作与联盟任务执行期以及联盟的解散与“升华”四个阶段,各阶段工作中心不同,风险存在差异.战略联盟具有“竞合”性质,联盟成员间合作博弈和非合作博弈共存.联盟成员的机会主义和欺诈悖德行为贯穿联盟始终,危及联盟存续,所以要提高联盟绩效,就必须加强联盟生命周期不同阶段的风险管理.     

Cross-sectional earnings risk and occupational sorting: The role of risk attitudes

This paper investigates to what extent individuals' risk preferences are correlated with the cross-sectional earnings risk of their occupation. We exploit data from the German Socio-Economic Panel, which contains a direct survey question about willingness to take risks that has been shown to be a behaviorally valid measure of risk aversion. As a measure of earnings risk, we use the cross-sectional variation in earnings that is left unexplained by human capital variables in Mincerian wage regressions. Our evidence shows that individuals with low willingness to take risks are more likely to work in occupations with low earnings risk. This pattern is found regardless of the level of occupation categories, region, gender and labor market experience.     

业务外包分阶段风险因素识别与风险规避研究

依据决策过程理论,将业务外包划分为业务规划与选择、合同形成与签订、合同执行、外包结果评价四大阶段,并研究得出业务外包各阶段风险影响因素。基于四阶段决策过程,建立包含自律、合作和评判三大机制的分阶段风险规避模型,探讨涵括业务外包四阶段的全过程风险规避方法、步骤、措施、对策等。并从风险应对输入、风险应对控制及风险应对输出3个方面探讨了业务外包开发分阶段风险应对模型,为业务外包分阶段风险控制体系提供了重要补充。     

基于权利分布风险测度的工程建设重大突发事件大群体应急决策方法

针对大型工程项目突发事件应急决策参与者权利分布导致的风险,提出了一种大群体风险应急决策方法。首先,利用信息熵理论,提出了一种测量大群体决策风险的测度模型;其次,对参与决策的大群体在决策过程中由于权利分布引起的风险进行了定量计算;然后,利用风险大小确定最终偏好信息的集结结果,对应急方案进行排序选优。最后,通过工程项目建设中仓库爆炸突发事件案例分析,验证了该方法的有效性。     

退休计划中养老年金购买决策的建模与分析

随着人类寿命的不断延长,社会个体面临越来越大的长寿风险,养老年金是规避长寿风险的有效工具。本文讨论个体退休计划中有关养老年金购买的重要决策问题,构建了一个能规避长寿风险的多期消费与投资决策模型框架,该框架把最优年金购买决策和传统的消费与投资选择问题有机地结合起来,以求达到规避长寿风险并获得消费和遗产的最大效用的双重目的。本文最后展示了特定参数设置下的计算结果以说明特定的社会个体应该如何构建能规避长寿风险的消费和投资策略,并分析了寿命的不确定性等因素对个体年金计划的影响。