美国次级房贷及其抵押债券危机的成因分析

始于2007年初的美国次级债务问题愈演愈烈,好几家大公司和七十多家对冲基金深陷其中,对全球金融市场带来一次又一次的冲击。本文从美国次级住房贷款市场的发展、信用特征、风险度量等三方面探讨次债危机发生的原因、可能的影响及教训。本文认为,次级房贷及相关的住房抵押债券本身属于高风险资产,并且难以准确定价,风险溢价偏低致使金融机构对损失准备不够充足;美国宏观经济发展减速使得地产价格下跌更是加速了风险的释放。美国顶级金融机构深陷次债危机之中,承受巨大经济损失,再次表明风险管理不容忽视。     

全球视角下的关联交易风险分析

如何正确认识全球范围内企业集团的关联交易及相关的风险是当前会计实务中的一项重要课题。文章从全球视角下企业集团关联交易入手,阐述了全球范围内企业集团中关联交易的三种主要风险,并提出了相应的对策。     

大型超市顾客满意度测评指标体系的构建与应用——以成都欧尚超市为例

近几年,随着沃尔玛、家乐福、麦德龙等零售业巨头陆续登陆我国,中外大型超市之间的竞争日趋激烈。文章在借鉴国内外学者关于顾客满意度研究理论的基础上,结合我国大型超市行业对满意度研究的实际,以对成都欧尚超市的调查情况为依据,构建了大型超市顾客满意度评价指标体系框架,并通过实证分析找出影响大型超市顾客满意度的关键性因素,提出了大型超市提升顾客满意度的对策建议。     

基于ERP的企业管理变革分析

ERP推动了企业管理变革,提高了企业的科学管理水平.文章在对ERP的管理思想进行论述的基础上,对ERP的应用给企业的管理思想、业务流程、组织结构、企业文化、能力建设等层面带来的变革进行了研究,并对基于ERP的管理变革的效益与风险进行了分析,提出了规避风险的方法.     

并购中财务风险的预警及控制

财务风险可以概括为目标企业价值评估风险、融资风险、流动性风险、杠杆收购的偿债风险四种。文章试图建立财务风险预警体系,以防范和化解财务风险,并帮助企业经营者在并购过程中作出合理的选择,以达到降低财务风险的目的。     

The Lack of International Consumption Risk Sharing: Can Inflation Differentials and Trading Costs Help Explain the Puzzle?

The bulk of evidence on the lack of international risk sharing is based on regressions of idiosyncratic consumption growth on idiosyncratic output growth. This paper argues that the results from such regressions obtained from international data are, however, not directly comparable to those based on regional data: the standard practice of running such regressions on international data fails to account for persistent international differentials in consumer prices, whereas—implicitly—most of the literature based on regional data has accounted for these differences. When risk sharing regressions are set up in conceptually the same way in international and regional data sets, the estimated coefficients are also very similar. To explore this result further, we adapt the variance decomposition of Asdrubali et al. (Q J Econ 111:1081–1110, 1996) to allow for deviations from purchasing power parity across countries. While quantity (income and credit) flows are the dominant channel of risk sharing among regions, relative consumption and output price (internal terms of trade) fluctuations account for the bulk of the deviation from the complete markets outcome in international data. To the extent that persistent differences in consumer prices are an indication of goods market segmentation, our findings provide empirical evidence for the proposition by Obstfeld and Rogoff (NBER Macroeconomics Annual 2000, 2000) that segmented international goods markets rather than asset market incompleteness may account for the (apparent) lack of risk sharing between countries.

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.