基于权益久期的商业银行利率风险度量技术研究

在我国的利率市场化进程中,商业银行将面临巨大的利率风险,商业银行的利率风险管理势在必行。文章全面分析了利率风险的形成和对商业银行的影响,指出久期是利率风险度量方法的必然趋势,在此基础上,引入权益久期的概念,全面衡量商业银行面临的利率风险,并对权益久期的应用环境     

Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC?

We examine the question of deposit insurance through the lens of risk management by constructing the loss distribution faced by the Federal Deposit Insurance Corporation (FDIC). We take a novel approach by arguing that the risk management problem faced by the FDIC is similar to that of a bank managing a loan portfolio, only in the FDIC’s case the risk arises from the potential for loss of the individual banks in its portfolio. We explicitly estimate the cumulative loss distribution of FDIC insured banks using two variations of the Merton model and find that reserves are sufficient to cover roughly 99.85% of the loss distribution, corresponding to about a BBB+ rating. However, under different stress scenarios (higher correlations, fat-tailed bank returns, increased loss severity) that level can be much lower: approximately 96% corresponding to about a B+ rating.JEL classification: G210, G280.Any views expressed represent those of the author only and not necessarily those of the Federal Reserve Bank of New York or the Federal Reserve System.     

Determinants of stock market volatility and risk premia

Summary. We show the dynamics of diverse beliefs is the primary propagation mechanism of volatility in asset markets. Hence, we treat the characteristics of the market beliefs as a primary, primitive, explanation of market volatility. We study an economy with stock and riskless bond markets and formulate a financial equilibrium model with diverse and time varying beliefs. Agents states of belief play a key role in the market, requiring an endogenous expansion of the state space. To forecast prices agents must forecast market states of belief which are beliefs of others hence our equilibrium embodies the Keynes Beauty Contest. A market state of belief is a vector which uniquely identifies the distribution of conditional probabilities of agents. Restricting beliefs to satisfy the rationality principle of Rational Belief (see Kurz, 1994, 1997) our economy replicates well the empirical record of the (i) moments of the price/dividend ratio, risky stock return, riskless interest rate and the equity premium; (ii) Sharpe ratio and the correlation between risky returns and consumption growth; (iii) predictability of stock returns and price/dividend ratio as expressed by: (I) Variance Ratio statistic for long lags, (II) autocorrelation of these variables, and (III) mean reversion of the risky returns and the predictive power of the price/dividend ratio. Also, our model explains the presence of stochastic volatility in asset prices and returns. Two properties of beliefs drive market volatility: (i) rationalizable over confidence implying belief densities with fat tails, and (ii) rationalizable asymmetry in frequencies of bull or bear states.This research was supported by a grant of the Smith Richardson Foundation to the Stanford Institute for Economic Policy Research (SIEPR). We thank Kenneth Judd for constant advice which was crucial at several points in the development of this work. We also thank Kenneth Arrow, Min Fan, Michael Magill, Carsten Nielsen, Manuel Santos, Nicholas Yannelis, Ho-Mou Wu and Woody Brock for comments on earlier drafts. The RBE model developed in this paper and the associated programs used to compute it are available to the public on Mordecai Kurzs web page at http://www.stanford.edu/ mordecai.This revised version was published online in January 2005 with corrections to the Cover date.     

可靠性理论在价值工程中的应用

可靠性理论中的核心概念“可靠度”在数值分析时,可以作为价值工程中“功能”相当的量纲。为保证贵重药品生产不间断而决策“贮备系统”的例子表明,可靠性理论和价值工程的结合能产生相当良好的效果。     

GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES1

We consider a pure exchange economy consisting of a single risky asset whose dividend drift rate is modeled as an Omstein-Uhlenbeck process, and a representative agent with power-utility who, in equilibrium, consumes the dividend paid by the risky asset. Endogenously determined interest rates are found to be of the Vasicek (1977) type the mean and variance of the equilibrium stock price are stochastic and have mean-reverting components A closed-form solution for a standard call option is determined for the case of log-utility. Equilibrium values have interesting implications for the equity premium puzzle observed by Mehra and Prescott (1985)     

Inflation targeting in an import dependent indebted economy

This paper develops a one-sector Kaleckian model of an import dependent indebted small open economy; where the mark-up rate is sensitive to both changes in the interest rate and the exchange rate and foreigners provide part of the long-term finance. The short-run consequences of an inflation targeting policy in the form of high interest rates and strong domestic currency are explored. Among the possible short-run scenarios, the one most relevant for developing countries involves a decline in the profit rate, the capacity utilization rate and the rate of accumulation as well as the employment rate and the real wage. Leverage ratio of the firms and the extent of external indebtedness play an important role in bringing about this result. Long-run analysis reveals that this scenario is associated with instability in the long run and that, also in the long run, the extent of foreign indebtedness and the responsiveness of capital inflows to the return on existing portfolios are important in determining the direction of the effects of inflation targeting on the equilibrium debt–capital ratio.     

Modeling the dependence structure between default risk premium,equity return volatility and the jump risk: Evidence from a financial crisis

This paper investigates the dependence structure between default risk premium, equity return volatility and jump risk in the equity market before and during the subprime crisis. Using iTraxx CDS index spreads from Japanese and Australian markets, the paper models the different relationships that can exist in different ranges of behavior. We consider several Archimedean copula models with different tail dependence structures, namely, Gumbel, Clayton, Frank, AMH and Joe copulas. Although the dramatic change in the levels of the iTraxx CDS index, we find strong evidence that the dependence structure between CDS and stock market conditions is asymmetric and orienting toward the upper side. In addition, we find that the Japanese CDS market is more sensitive to the stock return volatility than the jump risk and the magnitude of this sensitivity is related to the market circumstances. However, Australian CDS market is more sensitive to the jump risk than stock return volatility before and during the financial crisis. This result has important implications for both global financial stability and default risk management. Specifically, the heterogeneity of markets, coupled with the diversity in the risk exposures cause the default risk premium and equity markets to exhibit different levels of sensitivity.     

基于GLM的未决赔款准备金评估的随机性链梯法

为度量未决赔款准备金评估结果的波动性,需要研究随机性评估方法。基于GLM的随机性方法,得到准备金估计及预测均方误差。特别地,在过度分散泊松模型中,分别应用参数Bootstrap方法和非参数Bootstrap方法,得到两种方法下未决赔款准备金的预测分布,进而由该分布得到各个分位数以及其它分布度量,并通过精算实务中的数值实例应用R软件加以实证分析。实证结果表明,两种Bootstrap方法得到的参数误差、过程标准差、预测均方误差都与解析表示估计的结果很接近。     

我国保险营销渠道低碳发展问题探讨

我国保险营销渠道的高投入、高成本、高消耗、低效率、粗放式的发展方式不利于保险业可持续发展。当前保险专业中介渠道发展不足,营销效率不高,营销员队伍建设存在制度瓶颈,兼业代理市场不规范的问题依然突出。随着技术创新日新月异,制度创新的时机和条件日益成熟,国内各大险企充分发挥行业优势探索营销渠道低碳发展之路。本文从新制度经济学的角度探讨我国保险营销渠道的低碳发展的具体对策,即以低碳理念为指引,以完善的法律法规为保障,以技术创新为依托,以制度创新为切入点,以人才培养为核心。     

我国间接税与收入分配公平关系的实证分析

税收理论认为间接税具有累退性,有利于征管效率但不利于社会公平。采用1994～2009年时间序列数据,计算出库兹涅茨比率以衡量居民收入分配差距,通过对增值税、消费税、营业税、资源税、城建税、全部间接税对库兹涅茨比率影响的实证研究表明,目前我国以增值税为代表的间接税占税收总收入的比重过高,不利于发挥税收调节收入分配差距的作用,需要在今后逐步加以调整;同时间接税中的消费税有一定的缩小我国居民收入分配差距的作用,可以适当加以规范,以发挥其促进社会公平的作用。