考虑刚性兑付的银行最优资本结构与违约风险研究

随着地方国有企业债务风险的不断加大,如何实现打破刚性兑付与防范银行风险之间的平衡,是目前亟待解决的问题。本文借助银行股权和负债的“期权的期权”特性,将刚性兑付嵌入到银行资本结构决策和违约风险测度中,研究了资本结构固定和可调整两种情形下刚性兑付强度与银行违约风险间的关系,并进一步对比分析了基于标准法和内部评级法的资本监管对刚性兑付下银行风险的抑制效应,以期为防范打破刚性兑付可能引发的银行风险提供参考。研究发现,当资本结构固定时,银行违约风险与刚性兑付强度负相关;当资本结构可调整时,随着刚性兑付强度减弱,银行最优负债水平降低,银行违约风险则呈现出先递增后递减的“倒U”型趋势;基于标准法的资本监管可以有效抑制银行在资本结构决策时的道德风险,降低打破刚性兑付过程中的违约风险,但基于内部评级法的资本监管要求会因刚性兑付下国企债务违约概率的降低而减弱。     

监管惩罚、监管宽容和存款保险价格

存款保险制度在维持金融稳定和保护存款人利益方面具有重要作用,其最为核心的问题是存款保险费率的确定.文章在Merton模型框架下将监管惩罚和监管宽容同时引入存款保险定价模型,并探究了存款保险价格和银行风险偏好之间的关系.研究发现,银行的存款保险费率和银行资产储蓄比呈现负相关关系.当监管惩罚力度加大时,银行的风险偏好降低,存款保险费率会也降低,这说明惩罚措施有利于维护金融稳定.研究还发现,监管宽容程度越高,银行的风险偏好也越高,进而存款保险价格越高.存款保险费率测算结果表明:相比较而言,"次贷危机"和"股灾"对城市银行的存款保险费率影响最大,对股份制银行的存款保险费率影响有限,而对国有银行存款保险费率基本没有影响.     

凯捷了解三十万中国富豪

2007年6月和1O月,全球知名咨询顾问公司凯捷集团,联合美林集团,先后发布了<2007 全球财富报告>和<2007亚太区财富报告>. 　　<管理与财富>记者借“第二届中国私人银行与财富管理论坛“在北京召开之际,专访了凯捷管理咨询有限公司副总裁、主管金融行业咨询业务的曲向军先生,他向记者详细描述了中国富豪的现状.……     

银行监管,风险转移激励与经理激励机制设计

公司债务为经理提供了风险转移激励,在一定条件下,债务风险不仅转移给股东也会转移给债主,据此,本文考察了银行监管下的消除风险转移激励的机制设计问题,并证明了银行的监管降低了(至少不会增加)股东消除风险转移激励的机制设计成本.     

21世纪丝绸之路的里程碑——记中国工程院院士向仲怀教授和他率领的优秀创新团队

2004年12月11日,世界上第一张家蚕基因组序列框架图的最新研究成果在世界科学类权威性学术期刊美国<科学>杂志发表.这一振奋人心的成果实现了三个“零“的突破:一是重庆市科技工作者在世界顶级科学杂志<科学>发表论文“零“的突破;二是西南地区高等院校科技工作者在<科学>杂志以第一作者发表论文“零“的突破;三是我国近100年来在<科学>发表家蚕研究论文“零“的突破.为此,重庆市政府在西南农业大学召开庆祝大会,同时,市委书记黄镇东,市长王鸿举发来贺信.以我国蚕桑界著名科学家向仲怀院士为首的项目研究组被授予“优秀创新团队“称号.……     

对《体育与健康》课程标准的认识与思考

<体育与健康>课程标准从指导思想和内容框架方面均发生了根本性变化,它注重学生综合素质的全面发展,特别是创新能力的培养.面对<体育与健康>课程标准,本文谈几点认识与思考.     

金融强监管与非银行金融机构极端风险的演化北大核心CSCDCSSCI

引入极值理论模型,依次测算我国上市非银行金融机构的自身极端风险概率、极端风险网络关联度以及金融系统整体极端风险网络关联度.2017年金融强监管周期开启后,证券、信托、保险三类机构自身极端风险概率均有所降低;三类机构的极端风险网络关联度也均降低,但仍需要进一步监管;金融系统整体极端风险网络关联度亦明显下降.面板回归结果显示,金融强监管政策显著降低了非银行金融机构的极端风险网络关联度;影子银行规模比重对极端风险网络关联度呈U型影响,最优规模比重约为0.35,部分机构需进一步降低影子银行规模比重,监管层需要注意监管边界,维持影子银行业务适度发展.     

《行政强制法》:在强制与温情之间

历经6年多的论证起草及其间一度的搁置,全国人大常委会在2005年岁尾的首度审议,终于使<行政强制法>浮出水面,并有望成为继<行政处罚法>、<行政许可法>之后又一部规范政府行政行为的重要法律.该法所规范的是行政机关最激烈的执法方式,但指向的却是建立政府与民众的良好关系.……     

《液压与气压传动》课程的教学方法研究

<液压与气压传动>是研究液压与气动技术一般规律和具体应用的一门学科.它不仅是机械类及有关专业的专业必修课,而且是一门能直接用于工程实际的技术学科.<液压与气压传动>作为一门专业必修课,将为有关专业的学生学习其它专业课和以后所从事的技术工作提供必要的基础.……     

上海人才强市战略行动钢要解读

为加快实施科教兴市战略和人才强市战略,根据<中共中央、国务院关于进一步加强人才工作的决定>精神,上海市委颁发了<上海市实施人才强市战略行动纲要>.其中提出,到2010年,上海人才强市战略的主要目标是基本建成开放程度高、市场化程度高、国际化程度高、整体效用高的人才高地.……     

一个新的银行信用风险评估方法

本文以银行信用风险管理为例,将粗糙集和决策树两种具有互补优势的数据挖掘方法相结合,对客户信用做出归类分析判断,最后利用决策树生成决策规则.实践证明,这种方法忠于原始数据,提高了分类准确度,减小了决策树规模,具有良好的性能.     

基于ERM框架的商业银行内部审计机制研究

内部审计作为公司治理、风险管理和控制结构的一部分,是对其它控制进行的再控制.由原来的"独立评价职能"转变为"风险管理和公司治理",内部审计在银行业中的作用越来越重要.在风险与效益并存的时代,现代银行业倡导全面风险管理理念.本文选取了全面风险管理的研究视角,对全面风险管理体系下的商业银行内部审计角色定位及作用机制进行研究.     

A multivariate analysis of the financial characteristics of foreign and domestic banks in the UK

For the banking sector in the EU, the UK is one of the most important countries, since over a quarter of all banking assets in the EU are held in the UK and it is the largest single international banking centre, accounting for 20% of the world's cross-border lending. The UK banking sector has traditionally been one of the most open and it is characterized by a rapidly increasing foreign bank presence. Foreign banks account for 55% of the total assets of the UK banking sector. The objective of this paper is to investigate the performance of the banking sector in the UK focusing on the performance of the domestic banks as opposed to the performance of the foreign banks operating in the UK. For this purpose, a multivariate analysis is performed to identify the existing differences between the financial characteristics of domestic and foreign banks, considering profitability, liquidity, risk and efficiency factors. The data sample covers 26 domestic and 32 foreign banks operating in the UK over the period 1998–2001.     

Stress at work and psychological and immunological parameters in a group of Norwegian female bank employees

This study concerned the immunological correlates of stress and work. Self reported stress, emotional state, ego-strength, and defensiveness were examined in relation to measures of cellular immunity (T-cell response to Con A and number of T4 and T8 cells) and humoral immunity (concentrations of immunoglobulins and complement components in plasma) in a group of 96 Norwegian female bank employees. The analyses showed that workload, the stress factor with the highest group mean, was associated with number of T-cells, while strain due to body posture during work was related to concentrations of IgM and C3. Further, depression was significantly correlated with IgM concentration and T-cell number, and anxiety with C3 concentration. T-cell activity was the immunological parameter most consistently associated with psychological well-being, showing positive correlations with defensiveness and ego-strength and negative correlations with anxiety and depression. In conclusion, T-cell number and concentrations of IgM and C3 were sensitive to both work-related stress experience and emotional distress. Coping abilities, indicated by the MMPI Ego-strength scale and emotional distress, were reflected in T-cell activity; insufficient coping was associated with low T-cell activity.     

公司的成长机会、银行债务与资本结构的选择--来自中国上市公司的证据

本文使用参数和非参数检验程序、回归分析检查了资本结构和长期银行债务使用之间的关系,分析了银行审查和监督对资本结构的影响.研究发现,长期银行债务的使用与债务比率显著正相关,且在控制杠杆的其它决定因素下,这个结论是稳健的.本文的一个隐含结论是,我国企业在公司债券融资比重很小的情况下,应减少依赖银行债务,适度增加股权融资比率,这意味着公司有更多的成长机会.     

中小商业银行公司治理机制与经营绩效关系的实证分析

理论和实证研究证明,良好的公司治理对金融体系稳健运行有十分重要的作用.商业银行公司治理的研究和实践既是银行业改革的迫切要求,也是银行业改革的核心内容之一.本文用36家商业银行2005年的截面数据,对股权结构、董事会、监事会和高管人员薪酬激励等四个治理机制与银行绩效之间的关系进行了实证研究.结果表明,国有与非国有控股商业银行绩效不存在显著差异,第一大股东对银行绩效的影响并不显著,但外部大股东能显著地提高银行绩效.董事会与监事会规模与银行绩效正相关,但独立性难以得到保证.此外,高管人员薪酬激励不能改善银行绩效.     

Assessing bank soundness with classification techniques

The recent crisis highlighted, once again, the importance of early warning models to assess the soundness of individual banks. In the present study, we use six quantitative techniques originating from various disciplines to classify banks in three groups. The first group includes very strong and strong banks; the second one includes adequate banks, while the third group includes banks with weaknesses or serious problems. We compare models developed with financial variables only, with models that incorporate additional information in relation to the regulatory environment, institutional development, and macroeconomic conditions. The accuracy of classification of the models that include only financial variables is rather poor. We observe a substantial improvement in accuracy when we consider the country-level variables, with five out of the six models achieving out-of-sample classification accuracy above 70% on average. The models developed with multi-criteria decision aid and artificial neural networks achieve the highest accuracies. We also explore the development of stacked models that combine the predictions of the individual models at a higher level. While the stacked models outperform the corresponding individual models in most cases, we found no evidence that the best stacked model can outperform the best individual model.     

Labor-use efficiency in Indian banking: A branch-level analysis

This paper uses data envelopment analysis to measure labor-use efficiency of individual branches of a large public sector bank with a sizable network of branches across India. We find considerable variation in the average levels of efficiency of bank branches across the four metropolitan regions considered in this study. In this context, we introduce the concept of area or spatial efficiency for each region relative to the nation as a whole. Our findings suggest that the policies, procedures, and incentives handed down from the corporate level cannot fully neutralize the detrimental influence of the local work culture across different regions. Most of the potential reduction in labor cost appears to be coming from possible downsizing in the clerical and subordinate staff. Our analysis identifies branches that operate at very low levels of labor-use efficiency and possible candidates for increased supervision and control.     

银行电子业务研发和管理中面临的风险分析

本文对国内商业银行电子业务研发和管理中存在的风险问题进行了剖析,并结合现代金融业经营决策的特征分析,从管理学、软件工程学的角度提出了诸多提高电子业务研发和管理水平的具体措施,有利于进一步降低银行操作风险,推动我国商业银行业务的快速发展。     

Why aren't managers concerned about occupational stress?

Abstract

To explain the rarity of workplace stress management interventions, it is thought that managers are not concerned with the risks of occupational stress to health and job performance. Some writers consider either (1) deficiencies in theory, and/or (2) deficiencies in methodology to be the cause of this apparent lack of concern. The aim of this paper is to illustrate another perspective on this issue; that of risk perception. Two perspectives on risk perception are discussed; the psychometric view and the cultural view. The psychometric view suggests that senior managers may underestimate the risks associated with stress. The cultural view suggests that managers may consider stress management to be inappropriate, since individuals, not organizations, should be responsible for coping with stress. Both perspectives indicate that very few managers may consider stress to be a risk that should be actively managed by the organization. The associated disciplines of risk management and particularly risk communication are discussed to suggest ways to overcome lack of managerial interest in stress management.