基于机会约束的在险收益动态投资决策模型

本文在标准Black-Scholes型金融市场假设下,利用在险收益(EaR)来度量投资组合的风险,建立了基于机会约束的在险收益动态投资决策模型,讨论了最优常数再调整策略意义下的最优投资策略,给出了有效边界的显式表达式,并结合算例说明了模型的求解方法。     

Isolated refuges for surviving global catastrophes

A variety of global catastrophes threaten the survival of human civilization. For many of these catastrophes, isolated refuges could keep some people alive and enable them to rebuild civilization in the post-catastrophe world. This paper examines the potential importance of refuges and what it would take to make them succeed. The successful refuge will have a variety of qualities, including isolation from catastrophes and self-sufficiency. These qualities can be achieved through a variety of specific design features. We introduce the concept of surface-independence as the gold standard for refuge excellence: refuges isolated from Earth's surface will offer maximum protection against both the catastrophe itself and potentially harmful post-catastrophe populations. However, surface-independence introduces significant design challenges. We present several challenges and evaluate possible solutions. Self-sufficiency in food provision can be greatly enhanced via chemical food synthesis. The rejection of waste heat from subterranean refuges can be enhanced via building piping networks and locating refuges near running groundwater or in ice. The high cost of extraterrestrial refuges can be offset by integrating refuges into space missions with scientific, political, or commercial goals. Overall, refuges show much promise for protecting civilization against global catastrophes and thus warrant serious consideration.     

Flight to liquidity and the Great Recession

This paper argues that counter-cyclical liquidity hoarding by financial intermediaries may strongly amplify business cycles. It develops a dynamic stochastic general equilibrium model in which banks operate subject to agency problems and funding liquidity risk in their intermediation activity. Importantly, the amount of liquidity reserves held in the financial sector is determined endogenously: Balance sheet constraints force banks to trade off insurance against funding outflows with loan scale. A financial crisis, simulated as an abrupt decline in the collateral value of bank assets, triggers a flight to liquidity, which strongly amplifies the initial shock and induces credit crunch dynamics sharing key features with the Great Recession. The paper thus develops a new balance sheet channel of shock transmission that works through the composition of banks’ asset portfolios.     

Short interest and stock price crash risk

Using a large sample of U.S. public firms, we find robust evidence that short interest is positively related to one-year ahead stock price crash risk. The evidence is consistent with the view that short sellers are able to detect bad news hoarding by managers. Additional findings show that the positive relation between short interest and future crash risk is more salient for firms with weak governance mechanisms, excessive risk-taking behavior, and high information asymmetry between managers and shareholders. Empirical support is provided showing that the relation between short interest and crash risk is driven by bad news hoarding.     

Riding the swaption curve

We conduct an empirical analysis of the term structure in the volatility risk premium in the fixed income market by constructing long-short combinations of two at-the-money straddles for the four major swaption markets (USD, JPY, EUR and GBP). Our findings are consistent with a concave, upward-sloping maturity structure for all markets, with the largest negative premium for the shortest term maturity. The fact that both delta–vega and delta–gamma neutral straddle combinations earn positive returns that seem uncorrelated suggests that the term structure is affected by both jump risk and volatility risk. The results seem robust for macroeconomic announcements and the specific model choice to estimate the risk exposures for hedging.     

How much could refuges help us recover from a global catastrophe?

Some global catastrophes (such as nuclear wars, pandemics, or an asteroid collision) might destroy civilization. Some propose building well-stocked shelters constantly staffed with people trained to rebuild civilization in such cases. These “refuges” would have an unimpressive expected cost per life saved, but could conceivably have an impressive expected cost per future generation allowed to exist. From some ethical perspectives that highly value future generations, building refuges may therefore seem like a promising idea. However, several factors significantly dilute the potential impact of refuges, even if the proposed catastrophes occur. Government/private disaster shelters, people working on submarines, and isolated peoples who prefer to be left alone serve these purposes to some extent already. Many proposed catastrophes do too much/too little damage for refuges to help, affect the environment in ways that make refuges largely irrelevant, or otherwise give relatively limited advantages to the people in refuges. In global food crises or social collapse scenarios, refuges would add little to aggregate stocks of population, resources, food, and relevant skills; but they may add something unique in terms of isolation and coordination. These potential benefits of refuges seem the most promising, and may be worthy of further analysis.     

Corporate Stock and Bond Return Correlations and Dynamic Adjustments of Capital Structure

This paper analyses the effects of dynamic correlations between stock and bond returns issued by the same firm on the speed of adjustment towards target leverage. The results show that the estimated correlations are time varying, show persistence and differ among firms. Analysis of the potential explanatory variables reveals that the correlations decrease with negative expectations about future aggregate risks, but only for firms with a low default probability. In contrast, correlations are positively associated with specific risk measures, especially idiosyncratic stock risk and financial leverage. The positive relationship between the correlations and the leverage ratio suggests that target leverage can be achieved faster when the stock–bond correlation is high. Our results show that this is the case.     

Liquidity risk and policy options

On the basis of a liquidity management model, liquidity risks, defined as the probability of payment failures in a real-time gross settlement (RTGS) payment system, may either stem from liquidity management inefficiencies or insufficient cash balances. I will show that penalties charged on the amount of payment failures minimise liquidity risks without interfering with the bank’s technology preferences. I will instead show that liquidity requirements, although as effective as penalties to contain the risk of liquidity shortage, may distort the bank’s technology preferences and cannot stem liquidity management inefficiencies. I will also show that liquidity risks within RTGS payment systems are potentially smaller because they depend more on the liquidity management efficiency than on the randomness of cash inflows and outflows.     

Should we geoengineer larger ice caps?

The climate of Earth is susceptible to catastrophes that could threaten the longevity of human civilization. Geoengineering to reduce incoming solar radiation has been suggested as a way to mediate the warming effects of contemporary climate change, but a geoengineering program for thousands of years could also be used to enlarge the size of the polar ice caps and create a permanently cooler climate. Such a large ice cap state would make Earth less susceptible to climate threats and could allow human civilization to survive further into the future than otherwise possible. Intentionally extending Earth’s glacial coverage will require uninterrupted commitment to this program for millenia but would ultimately reach a cooler equilibrium state where geoengineering is no longer needed. Whether or not this program is ever attempted, this concept illustrates the need to identify preference among potential climate states to ensure the long-term success of civilization.