Risk factors in Australian bond returns

This study examines the risk factors in Australian bond returns. The study quantifies bond liquidity and estimates a liquidity risk factor in the Australian setting. We develop a three‐factor asset pricing framework that uses term, default and liquidity risk factors to explain the variation of Australian bond returns. Our findings corroborate the US evidence on the pervasiveness of these risk factors faced by bond investors. The three‐factor model developed in this study has practical applications when calculating the cost of debt, evaluating the performance of an active bond fund manager and hedging underlying risk in a bond portfolio.     

数学金融中的经验与洞察

本文阐述了作者数学金融中的经验与洞察,系统介绍了数学金融的发展及研究模型,并对数学金融应用于实践边界等问题提出了自己的观点,分析了尤其是在面临风险的情况下,非数学要素往往起到的决定作用,如人性因素、制度因素等等。     

存款保险制度在我国的实行和相关配套政策

存款保险制度的建立和实行对我国银行业的发展具有极其重要的作用.主要结论有:一、现行银行制度在其承担流动性保险功能时有其固有的脆弱性,存款保险制度则可以为类型存款人取款提供一种有效的制度保障;二、我国隐性"超级"存款保险制度的现状加剧了道德风险,亟待出台显性存款保险制度;三、风险预警机制替代市场监控能较好地解决存款保险制度无法解决的信息不对称问题,为存款保险降低道德风险创造条件.     

Market Structure and Risk Taking in the Banking Industry

We demonstrate that the common view according to which an increase in competition leads banks to increased risk taking fails to hold in an environment where homogeneous loss averse consumers can choose in which bank to make a deposit based on their knowledge of the riskiness incorporated in the banks outstanding loan portfolios. With an exclusive focus on imperfect competition we find that banks incentives for risk taking are invariant to a change in the banking market structure from duopoly to monopoly. Finally, we show that deposit insurance would eliminate the gains from bank competition when banks use asset quality as a strategic instrument.revised version received October 15, 2003     

我国证券市场风险收益特征的行为基础

我国证券市场的风险收益具有以下特征:(1)资本资产定价模型所揭示的风险收益关系在我国股市并不显著。(2)我国证券市场系统性风险占整体风险的比例较高。(3)从趋势上看,无论个股还是行业系统性风险占整体风险的指标没有明显的下降趋势。这些特征根源于我国特定的投资者结构以及不同投资者的风险厌恶特性和对私人信息的偏好特性。因此,投资者应针对上述特征,在集中投资、反向交易和降低交易频率等方面调整交易策略,提高投资收益率。     

Analyzing the role of mutual guarantee societies on bank capital requirements for small and medium-sized enterprises

This paper analyzes the impact of the guarantee provided by mutual guarantee societies (MGSs) on the risk premium that banks should charge for small- and medium-sized enterprise (SME) loans under the new Basel Capital Accords (Basel II and III). We also examine whether the foreseeable decrease in the theoretical credit risk premium would be compensated by the cost of the MGS guarantee. To do so, we develop a rating system for SMEs that uses a large sample of Spanish firms over the period from 2005 to 2009. We find that the final effect of the guarantee on the SME risk premium depends on the values taken by the credit variables of the MGS (essentially, the probability of default).     

Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios

We extract from the yield curve a new measure of fundamental economic uncertainty, based on McDiarmid’s diameter and related methods for optimal uncertainty quantification (OUQ). OUQ seeks analytical bounds on a system’s behaviour, even where aspects of the underlying data-generating process and system response function are not completely known. We use OUQ to stress test a simple fixed-income portfolio, certifying its safety—i.e. that potential losses will be ‘small’ in an appropriate sense. The results give explicit tradeoffs between: scenario count, maximum loss, test horizon, and confidence level. Unfortunately, uncertainty peaks in late 2008, weakening certification assurances just when they are needed most.     

基于随机森林算法的洪水灾害风险评估研究

根据流域灾害系统理论,在考虑致灾因子、孕灾环境和承灾体的基础上,选取9个风险评价指标,运用样本数据进行人工识别风险并得到训练样本,采用随机森林算法构建基于随机森林的洪水灾害风险评估模型。然后采用随机森林自评估工具,分析建立的洪水灾害风险评估模型的误差和指标,同时构建支持向量机模型作为对比方案,并采用五折交叉验证方法对基于随机森林算法的洪水灾害风险评估模型和支持向量机模型进行验证。最后以海河流域邱庄段为研究对象,分别运用基于随机森林算法的洪水灾害风险评估模型和基于支持向量机模型对相同的数据集进行评估和对比,结果显示,12 h内降雨总量、洪水持续时间和土壤含水量是引发洪水的主要因素,而基于随机森林算法的洪水灾害风险评估的训练精度及测试精度均高于支持向量机模型。     

基于风险控制角度的上市公司财务内部控制体系的构建

上市公司作为公众利益实体,相较非上市公司在内部控制的建设上有着更高的要求。内部控制体系是提升上市公司经营效率和效果、促进上市公司实现发展战略的根本保障,进而才能够维护社会主义市场经济秩序和社会公众利益。论文从风险控制的角度分析目前上市公司财务内部控制体系建设工作存在的问题,根据上市公司的实际情况,制定提升其财务内部控制体系构建水平的改进策略。     

综合化经营模式下商业银行的合规风险管理

随着综合化经营的发展,为更有效地进行全面风险管理,一些国家开始要求银行主动合规。与专业银行相比,综合经营的银行要面临更多机构监管,合规管理难度加大。国际银行业管理合规风险的方法和机构设置尽管各不相同,但基本上都包括高管层的总体把握、合规部门的具体管理与协调以及全体员工参与这三个层次。由于我国对合规管理的重视才刚刚开始,综合化经营后的商业银行还将面临法规缺位、监管不一致、合规管理能力不够等问题,这需要银行自身加强合规意识,树立流程管理理念、切实发挥合规部门作用;监管部门也要尽快完善法规、改进三大监管机构的协调机制,保持监管的一致性。