抵押风险分析和抵押贷款违约损失率研究

违约损失率是BaselⅡ规定的六大风险指标之一,而抵押是BaselⅡ标准法规定的信用风险缓释工具之一,两者在巴塞尔新资本协议中有着非常关键的地位和作用.本文总结了国内外违约损失率的研究概况,在利用历史数据对我国商业银行抵押贷款的违约损失率进行实证分析后发现：（1）回收率同融资金额成反比;（2）回收率同融资折率成反比;（3）回收率呈“U”型分布.本文的分析有助于进一步探究我国商业银行抵押贷款违约损失率的特征,是量化风险暴露和计算监管资本的基础,并为我们下一步的折率研究做好了铺垫.     

国际结算和贸易融资风险的识别与控制

贸易融资较传统的流动资金贷款业务具有更大的市场适应能力.生产制造型企业贸易融资风险的主要影响因素有核心技术和装备情况、产品更新换代能力、国际品牌效应、人力成本.生产制造型企业资金流风险的主要影响因素有原材料采购与销售价格、结算方式、资产的流动性、盈利能力.贸易类企业融资风险的主要影响因素有上下游客户的稳定性、市场需求的稳定性、资金的可流动性.物流企业融资风险的主要影响因素有公司的收入及成本构成、应对市场价格变动的能力、上下游客户情况、企业的资金流.     

基于精算方法的信用风险的量化

比较了保险风险和信贷风险的基本特征后可以发现，精算模型的方法和思路可以用来描述商业银行的信用风险。可以通过定性分析和定量分析相结合的方式，推导出适用的信用风险量化管理模型。在数据整理和检验的基础上，借鉴寿险精算的生命模型思想可以建立“正常-损失”模型，进而实现对贷款损失率的解释；借鉴非寿险准备金测算的方法，可以采用链梯法测算商业银行短期贷款业务应提取的贷款坏账准备金数额。在上述方法的基础上，可以将“正常-损失”模型与链梯法结合起来，测算长期贷款的坏账准备金。     

Is there a Difference? The Performance Characteristics of SRI Equity Indices

Abstract:  This study analyses whether stock indices that represent socially responsible investments (SRI) exhibit a different performance compared to conventional benchmark indices. In contrast to other studies, the analysis concentrates on SRI indices and not on investment funds. This has several advantages, since transaction costs of funds, the timing activities and the skill of the fund management do not have to be considered. A direct measure of the performance effects of SRI screens is therefore examined. The 29 SRI stock indices are analysed by single-equation models as well as by multi-equation systems that exploit the information in the cross-section. SRI stock indices do not exhibit a different level of risk-adjusted return than conventional benchmarks. But many SRI indices have a higher risk relative to the benchmarks. The findings are robust to the use of different benchmark indices and apply to all common types of SRI screening.     

Varying the VaR for unconditional and conditional environments

Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from 12 European bourses, this paper presents VaR measures based on their unconditional and conditional distributions for single and multi-period settings. These measures underpinned by extreme value theory are statistically robust explicitly allowing for fat-tailed densities. Conditional tail estimates accounting for volatility clustering are obtained by adjusting the unconditional extreme value procedure with GARCH filtered returns. The conditional modelling results in iid returns allowing for the use of a simple and efficient multi-period extreme value scaling law. The paper examines the properties of these distinct conditional and unconditional trading models. The paper finds that the biases inherent in unconditional single and multi-period estimates assuming normality extend to the conditional setting.     

Modelling Credit Risk for SMEs: Evidence from the U.S. Market

Considering the fundamental role played by small and medium sized enterprises (SMEs) in the economy of many countries and the considerable attention placed on SMEs in the new Basel Capital Accord, we develop a distress prediction model specifically for the SME sector and to analyse its effectiveness compared to a generic corporate model. The behaviour of financial measures for SMEs is analysed and the most significant variables in predicting the entities' credit worthiness are selected in order to construct a default prediction model. Using a logit regression technique on panel data of over 2,000 U.S. firms (with sales less than $65 million) over the period 1994–2002, we develop a one-year default prediction model. This model has an out-of-sample prediction power which is almost 30 per cent higher than a generic corporate model. An associated objective is to observe our model's ability to lower bank capital requirements considering the new Basel Capital Accord's rules for SMEs.     

Information reduction via level crossings in a credit risk model

This paper provides an alternative credit risk model based on information reduction where the market only observes the firm’s asset value when it crosses certain levels, interpreted as changes significant enough for the firm’s management to make a public announcement. For a class of diffusion processes we are able to provide explicit expressions for the firm’s default intensity process and its zero-coupon bond prices.      

电力企业定量风险评估理论方法探讨

电力企业定量风险评估(QRA)是一项涵盖并以安全工程、可靠性工程、风险分析等为基础的综合研究。针对电力工业自身的特点及电力市场化改革的进程,阐述了电力企业QRA的基本思想、流程框架、主要工作内容及基本方法。通过实施QRA,可帮助电力企业全面识别风险,有利于电力企业将风险水平控制在规定水平之内,并针对风险作出正确、合理的决策。     

Strategic responsiveness and Bowman's risk–return paradox

One of the most enduring puzzles in the strategy literature is the negative association between risk and return known as the Bowman paradox. This paper formalizes a model of strategic conduct based on the concept of strategic fit and the heterogeneity of firm strategic capabilities. This model is shown mathematically to yield the negative association of the Bowman paradox. Furthermore, the model makes several other testable predictions. To examine these predictions, simulated data from the model are compared with a large empirical study of 45 industries during 1991–2000. The predictions of the model are consistent with the empirical data. Copyright © 2007 John Wiley & Sons, Ltd.     

我国企业债券市场发展及其对商业银行的影响

本文通过对我国企业债券市场历史和现实的分析提出以下观点:企业债券市场发展有助于商业银行优化资产组合并提升资产收益和流动性,有助于提高商业银行利率定价水平并增强银行体系稳定性.与此同时,企业债券市场发展也使商业银行面临更复杂的信用风险和市场风险.而信用风险和市场风险相互作用和影响,形成风险"放大"效应.基于上述分析,本文认为:商业银行应认清优劣势,从发展战略角度为企业债券业务定位,将企业债券业务作为"入世"后银行业全面竞争的重点之一;商业银行应构建企业债券业务的全面风险管理框架,包括信用风险、市场风险等;商业银行应加强对企业债券创新产品的研究.