NO‐ARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSS‐OWNERSHIP

We generalize Merton’s asset valuation approach to systems of multiple financial firms where cross‐ownership of equities and liabilities is present. The liabilities, which may include debts and derivatives, can be of differing seniority. We derive equations for the prices of equities and recovery claims under no‐arbitrage. An existence result and a uniqueness result are proven. Examples and an algorithm for the simultaneous calculation of all no‐arbitrage prices are provided. A result on capital structure irrelevance for groups of firms regarding externally held claims is discussed, as well as financial leverage and systemic risk caused by cross‐ownership.     

Sustainability： Corporate Responsibility for the Future Classroom

The machinery, equipment, inventory, and other assets of the 21 st century company without people to work them. Corporations, by leave of the accounting profession, have no real economic value continue to omit the value of human. And yet, there is a growing realization that people represent the largest proportion of corporate productive capacity relative to the current assets and fixed assets shown in corporate financial statements. This paper provides research on the top 50 of the Fortune 500 companies which confirm this material deficiency. There is a need to provide stakeholders with a ＂fair＂ knowledge of the value of corporate human capital to provide a higher standard of transparency and accountability in international financial reporting and to provide the basis for research into the sustainability and potential expansion of growth in the world economy. An appropriate standard for the valuation of human capital will provide the knowledge base for effective and efficient investment in human capital. Effective and efficient investment will be particularly valuable for governments and service industries and for those who wish to promote growth in Europe. Indeed, the Organization for Economic Cooperation and Development （OECD） is questioning the veracity of financial statements which fail to include ＂the most valuable＂ of corporate assets in their financial statements. Recently, the OECD has noted that human capital may be measurable ＂by the output potential of specific competencies＂; ＂the fruits of （corporate） investment＂; the objective measurement of the market ＂rental＂ price of human capital; and lastly, perhaps self-evident when it comes to physical capital, the output potential of corporate investment in their human capital inventory. This paper considers the conditions in the context of literature which reassesses theory and assumptions which have been made on the valuation of human capital. Human capital is a pre-requisite for tangible assets to be productive. The valuation of human capital will trigger the same sort of activity-based analysis of people power as computers brought to cost accounting. The knowledge century analysis of people power will take off when human capital is at last included in the list of assets on the corporate balance sheet.     

农村义务教育闲置资产产权界定问题探讨——基于陕西省的调查统计

明确界定农村义务教育闲置资产产权是实现闲置教育资源再利用的起点。由于农村义务教育投资结构复杂,现行法律法规和政策规定空泛、相互冲突,导致闲置资产产权界定困难。应借鉴国有企业产权界定模式,按照依法界定、分类确权的原则,构建所有权与使用权、处分权分离的农村义务教育闲置资产产权界定体系。     

资产周期特性与保险公司资产配置策略

在竞争激烈的保险市场上,作为盈利的两大支柱之一,保险公司资产管理的能力日趋重要,而保险公司资产配置是保险资产管理的核心,其研究意义就显得尤为重要。本文首先给出保险资产配置的意义与总体原则,然后从保险资金的来源和特性入手,在详细分析了美国、中国不同经济周期和市场周期下大类资产风险收益特性的基础之上,给出保险公司资产负债管理和资产配置的战略决策建议。     

Sovereign Wealth Funds: Investment and Governance Practices

Sovereign wealth funds (SWFs) are large, growing, and concentrated investment vehicles, with a current estimated value of U.S. $3 trillion. The combination of low transparency and government ownership has raised questions about political agendas, national security, and transfers of technology. In this article the authors report on the current status of SWFs in terms of investments, regulation, governance, and transparency of activities. They also review some recent studies on SWF investments and their impact on financial markets.     

The integration substitute: the role of controls in managing human asset specificity

As the integration solution to the problem of specific assets cannot be replicated on human asset specificity because slavery is illegal, economic theory states that control systems substitute for integration through a balanced structure to help align diverse interests. To understand the intricate design features of the balance, we examine a case‐study firm. For low human asset specificity, the restriction and segregation of usable decision rights link with standards. However, incentives are traced to individuals only to the extent task deviations do not create relevant future costs that are difficult to be self‐corrected. For high specificity, incentives are related to outputs rather than outcomes, because outcome variations reduce the attractiveness of maintaining the balance. Subjective assessment is used as an efficient alternate ‘balancing’ solution and decision control is shared when available subjective data are inadequate.     

农村集体资产管理的政府干预探析

政府的适时介入、适度干预是强化农村集体资产管理的必然之需。但是，政府对农村集体资产管理的干预是一柄“双刃剑”：一方面，这种干预起到了提高农村财务人员素质、规范农村财务管理以及从源头治腐等积极效应；另一方面，这种干预也引发了侵害集体财产、增加基层政府财政压力等负面效应。当前，亟须对农村集体资产管理政府干预的路径进行优化：一是要明确农村集体资产管理政府干预的基本原则，二是要解决好农村集体资产管理政府干预的四个关键性问题。     

Specialization or diversification? The situation and transition of households’ livelihood in agricultural heritage systems

Zhagana Agriculture-Forest-Animal Husbandry Composite System (ZCS) is the first Globally Important Agricultural Heritage Systems site in the Tibetan Plateau. Similar to many traditional agricultural regions, with the development of tourism and leisure agriculture, the peasant households in ZCS have gradually changed their livelihood strategies and livelihood activities in the past 10 years, resulting in the disappearance of some traditional farming methods and agricultural landscapes with a long history. By taking livelihood assets as the entry point and livelihood strategies as the core, this paper analyzed the basic situation of households’ livelihood and the transition mechanism of different livelihood strategies in order to offer suggestions for the dynamic conservation and sustainable development of Agricultural Heritage Systems (AHS). (1) The livelihood strategies of peasant households in ZCS can be divided into two major categories: specialized strategies and diversified strategies. (2) According to the empirical calculation of the livelihood asset accounting framework of AHS, the average livelihood asset value of peasant households in ZCS is 2.040, showing that the situation of peasant households’ livelihood is inadequate. (3) The transition of peasant households’ livelihood strategies from traditional strategy to specialized or diversified livelihood strategies is mainly influenced by natural assets, human assets, cultural assets, social assets and informational assets. In order to meet the growing material and spiritual needs of peasant households and achieve the sustainable development of ZCS simultaneously, it is suggested that the agriculture-forestry-animal husbandry-tourism composite strategies shall be taken as the development direction of peasant households’ livelihood strategies.     

HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET

This paper presents hedging strategies for European and exotic options in a Lévy market. By applying Taylor’s theorem, dynamic hedging portfolios are constructed under different market assumptions, such as the existence of power jump assets or moment swaps. In the case of European options or baskets of European options, static hedging is implemented. It is shown that perfect hedging can be achieved. Delta and gamma hedging strategies are extended to higher moment hedging by investing in other traded derivatives depending on the same underlying asset. This development is of practical importance as such other derivatives might be readily available. Moment swaps or power jump assets are not typically liquidly traded. It is shown how minimal variance portfolios can be used to hedge the higher order terms in a Taylor expansion of the pricing function, investing only in a risk‐free bank account, the underlying asset, and potentially variance swaps. The numerical algorithms and performance of the hedging strategies are presented, showing the practical utility of the derived results.