The European Systemic Risk Board – governance and early experience

ABSTRACT

The European Systemic Risk Board is charged with the macroprudential oversight of the financial system in the European Union. We compare and contrast the ESRB with the U.S. National Transportation Safety Board, which some scholars proposed as a role model for systemic risk management. There are parallels and some differences between these organisations. Neither institution has direct regulatory power, which could paradoxically be beneficial as it may help preserve their independence and objectivity in the long run. We also review the ESRB’s activities after it started in 2010 and assess the effect of its first public recommendation.     

中国金融市场间极端风险溢出的监测预警研究——基于MVMQ-CAViaR方法的实现

为有效监测与预警中国金融市场间极端风险溢出的方向与程度,本文基于MVMQ-CAViaR方法,结合中国2013—2017年银行间市场、债券市场与股票市场相关数据,分析各金融市场间的极端风险传递过程。实证结果显示,股票市场与债券市场对银行间市场产生显著的单向极端风险溢出效应,而银行间市场对另外两个市场无极端风险传递效果,这表明股票市场与债券市场的极端风险向银行间市场的传递过程具有不可逆性。从风险传递的强度来看,债券市场对股票市场和银行间市场的极端风险溢出效应更加显著。因此,决策部门应重点关注债券市场的极端风险水平变化,缓释债券市场与股票市场对银行间市场的极端风险冲击,以有效防范和化解不同金融市场间极端风险的传染与暴露。     

我国金融控股公司的构建:制度基础与途径选择

本文认为,在经济金融全球化发展趋势不断强化的格局下,中国金融业发展的关键是不断提升金融体系的整体国际竞争力。而提升金融体系整体国际竞争力的现实选择是借助金融控股公司这一组织机构安排大力发展综合性银行。在分业体制框架内,我国事实上已存在若干不同模式的金融控股公司,由于制度基础不健全,这些金融控公司还很不规范。因此,重塑制度基础是构建我国金融控股公司的关键。根据国际经验和我国金融业发展的现实,“母公司为非金融企业的金融控股公司模式”应当成为我国金融控股公司的构建目标模式,以商业银行为主体进行金融控股公司的构建应当是我国金融控股公司发展的主要方向或现实选择。     

系统性金融风险的识别与防范

系统性风险与集中度风险、金融危机既有区别,又有联系。银行金融机构的集中度风险是引发系统性风险的主要因素,系统性风险又是导致金融危机的直接原因。为避免和防范系统性风险,监管部门要把防范系统性风险的重点放在对银行金融机构集中度风险的监控上,加强对银行金融机构集中度风险的外部监管,不断向银行金融机构提示集中度风险,督促银行金融机构建立严格的集中度风险防控机制。银行金融机构也要有稳健的发展战略和谨慎的风险偏好,合理布局经营,严格把控资产分布结构,避免集中度风险,以便从根本上防范系统性风险,避免出现危害更大的金融危机。     

系统论与价值链管理

价值链理论是现代最为流行的管理理论之一。本文指出企业价值链管理必须以系统论为指导,把握住价值管理的整 体性、相关性、层次性及动态性,对价值链的各个环节实行有效的管理,优化价值链的结构与功能,才有可能真正获得市场上的 竞争优势。     

Systemic Leadership and the Emergence of Ethical Responsiveness

The author of this paper argues that the responsibility to nurture and encourage a relationally responsive ethical attitude among the members of an organizational system is shared by all who participate in it. In the dynamic environment of a complex adaptive organizational system where it is impossible to anticipate and legislate for every potential circumstantial contingency, creating and sustaining relationships of trust has to be a systemic capacity of the entire organization. Leadership is socially constructed, as the need for it arises within the complex interactions between individuals and groups within organizations, and can therefore not be described as a set of traits or behaviors possessed by only certain individuals who occupy positions of authority. If the sharing of this kind of relational responsiveness to the everyday realities of organizational life is to be properly understood, it is important to consider it in its concrete institutional manifestations. The last section of this paper therefore explores how an organization, in which leadership is understood in relational terms and is shared by all, looks and functions.     

Delayed Expected Loss Recognition and the Risk Profile of Banks

This paper investigates the extent to which delayed expected loan loss recognition (DELR) is associated with greater vulnerability of banks to three distinct dimensions of risk: (1) stock market liquidity risk, (2) downside tail risk of individual banks, and (3) codependence of downside tail risk among banks. We hypothesize that DELR increases vulnerability to downside risk by creating expected loss overhangs that threaten future capital adequacy and by degrading bank transparency, which increases financing frictions and opportunities for risk‐shifting. We find that DELR is associated with higher correlations between bank‐level illiquidity and both aggregate banking sector illiquidity and market returns (i.e., higher liquidity risks) during recessions, suggesting that high DELR banks as a group may simultaneously face elevated financing frictions and enhanced opportunities for risk‐shifting behavior in crisis periods. With respect to downside risk, we find that during recessions DELR is associated with significantly higher risk of individual banks suffering severe drops in their equity values, where this association is magnified for banks with low capital levels. Consistent with increased systemic risk, we find that DELR is associated with significantly higher codependence between downside risk of individual banks and downside risk of the banking sector. We theorize that downside risk vulnerability at the individual bank level can translate into systemic risk by virtue of DELR creating a common source of risk vulnerability across high DELR banks simultaneously, which leads to risk codependence among banks and systemic effects from banks acting as part of a herd.     

互联网金融的监管思路——以余额宝为例

针对从控制货币创造、应对流动性风险、促进金融市场的完善和发展的角度进行存款准备金管理的观点,文章提出相应的分析,并指出对于能够促进我国利率市场化的金融创新应以鼓励为主,但如果涉及到系统性风险,则应加强监管。     

系统和谐可持续的经济发展刍议

经济发展正确的方向和途径是系统和谐可持续的发展。对于经济发展问题,应该置于历史的长河中、世界的格局中和现实的土壤中去把握。要理性和理智地认识系统和谐可持续的经济发展的内涵;系统和谐可持续的经济发展所需要的GDP构成;系统和谐可持续的经济发展以科学发展观为指导,它应该是可持续发展的系统,它的发展要讲“代价观”,它的发展在任何时空都是相对的。     

信任的工程化:理论解析与管理应用

为克服建筑管理的信任缺乏,需要明确信任的组织机理并用于指导实践。基于管理实践、研究探索和文献分析,梳理并建立信任的工程框架,包括基本原理、一般特征、应用要点、组织机理和设计原则。提出建筑业信任的软框架机制,探求建筑管理再造或改善的具体策略。指出:信任系统自洽、相对客观、独立运行,可指引管理策略、诱导监管探索;信任的实践远重于话语或法律的逻辑;应当把握管理规范性、强制性的度,包容和融合非正式规则及软技术创新。