基于价格调整的长寿风险自然对冲策略

在长寿风险对冲框架下,通过引入外生的产品价格,构建了基于价格调整的自然对冲模型。首先运用最优化理论得到了模型最优产品配比的解析式,然后在实际的销售配比与模型的最优配比相等的约束下,推导出了寿险产品和年金产品的最优定价。该定价能够使得模型的最优配比真正被实现,即销售的配比刚好是使产品组合长寿风险最小化的最优配比。最后通过数值算例,阐述了基于价格调整的自然对冲策略的效果,并进一步分析了利率、承保年龄、性别等因素对自然对冲策略的影响。     

Integrating Household Risk Mitigation Behavior in Flood Risk Analysis: An Agent‐Based Model Approach

Recent studies showed that climate change and socioeconomic trends are expected to increase flood risks in many regions. However, in these studies, human behavior is commonly assumed to be constant, which neglects interaction and feedback loops between human and environmental systems. This neglect of human adaptation leads to a misrepresentation of flood risk. This article presents an agent‐based model that incorporates human decision making in flood risk analysis. In particular, household investments in loss‐reducing measures are examined under three economic decision models: (1) expected utility theory, which is the traditional economic model of rational agents; (2) prospect theory, which takes account of bounded rationality; and (3) a prospect theory model, which accounts for changing risk perceptions and social interactions through a process of Bayesian updating. We show that neglecting human behavior in flood risk assessment studies can result in a considerable misestimation of future flood risk, which is in our case study an overestimation of a factor two. Furthermore, we show how behavior models can support flood risk analysis under different behavioral assumptions, illustrating the need to include the dynamic adaptive human behavior of, for instance, households, insurers, and governments. The method presented here provides a solid basis for exploring human behavior and the resulting flood risk with respect to low‐probability/high‐impact risks.     

盈余管理、审计怀疑与诉讼风险溢价

本文以沪深两市A股上市公司2006-2012年经验数据,运用非对称信息动态纳什博弈模型,考察了不同市场诉讼风险和审计怀疑状态下机会盈余操纵与审计风险溢价的博弈机理。实证结果发现:在控制其他因素后,诉讼风险会导致正向盈余管理比同幅度负向盈余管理产生较大的审计风险增溢,高度和低度审计怀疑状态下的审计风险溢价与盈余管理呈左倾U型曲线关系,而中度审计怀疑状态下的审计风险溢价与盈余管理遵循二次曲线协同变化,同时取决于审计怀疑对盈余管理内容与性质的识别状态;高增长公司的盈余管理导致的审计风险溢价与市盈率正相关且增加的幅度与审计怀疑水平和盈余管理性质直接相关,这表明在风险导向审计模式下考察诉讼风险不对称性和适度的审计职业怀疑具有重大的理论与现实意义。     

When Is a Risk Assessment Deficient According to an Uncertainty‐Based Risk Perspective?

The Petroleum Safety Authority Norway (PSA‐N) has recently adopted a new definition of risk: “the consequences of an activity with the associated uncertainty.” The PSA‐N has also been using “deficient risk assessment” for some time as a basis for assigning nonconformities in audit reports. This creates an opportunity to study the link between risk perspective and risk assessment quality in a regulatory context, and, in the present article, we take a hard look at the term “deficient risk assessment” both normatively and empirically. First, we perform a conceptual analysis of how a risk assessment can be deficient in light of a particular risk perspective consistent with the new PSA‐N risk definition. Then, we examine the usages of the term “deficient” in relation to risk assessments in PSA‐N audit reports and classify these into a set of categories obtained from the conceptual analysis. At an overall level, we were able to identify on what aspects of the risk assessment the PSA‐N is focusing and where deficiencies are being identified in regulatory practice. A key observation is that there is a diversity in how the agency officials approach the risk assessments in audits. Hence, we argue that improving the conceptual clarity of what the authorities characterize as “deficient” in relation to the uncertainty‐based risk perspective may contribute to the development of supervisory practices and, eventually, potentially strengthen the learning outcome of the audit reports.     

A MINIMUM-COST AUDIT SAMPLING METHODOLOGY UNDER CONDITIONS OF PREDETERMINED BETA RISK

This paper presents a minimum-cost methodology for determining a statistical sampling plan in substantive audit tests. In this model, the auditor specifies β, the risk of accepting an account balance as correct when it is not, according to audit evidence requirements. Using β as a constraint, the auditor then selects a sampling plan to optimize the trade-off between sampling costs and the costs of follow-up audit procedures. Tables to aid in this process and an illustration are provided.     

Quantitative Risk Assessment Modeling for Nonhomogeneous Urban Road Tunnels

Urban road tunnels provide an increasingly cost‐effective engineering solution, especially in compact cities like Singapore. For some urban road tunnels, tunnel characteristics such as tunnel configurations, geometries, provisions of tunnel electrical and mechanical systems, traffic volumes, etc. may vary from one section to another. These urban road tunnels that have characterized nonuniform parameters are referred to as nonhomogeneous urban road tunnels. In this study, a novel quantitative risk assessment (QRA) model is proposed for nonhomogeneous urban road tunnels because the existing QRA models for road tunnels are inapplicable to assess the risks in these road tunnels. This model uses a tunnel segmentation principle whereby a nonhomogeneous urban road tunnel is divided into various homogenous sections. Individual risk for road tunnel sections as well as the integrated risk indices for the entire road tunnel is defined. The article then proceeds to develop a new QRA model for each of the homogeneous sections. Compared to the existing QRA models for road tunnels, this section‐based model incorporates one additional top event—toxic gases due to traffic congestion—and employs the Poisson regression method to estimate the vehicle accident frequencies of tunnel sections. This article further illustrates an aggregated QRA model for nonhomogeneous urban tunnels by integrating the section‐based QRA models. Finally, a case study in Singapore is carried out.     

A Unified Approach to Hedging Interest Rate Risk with Financial Futures*

There is abundant literature on the use of financial futures to reduce interest rate risk. While many applications have been developed and evaluated in the literature, little has been done to provide a simple, mathematical model unifying the disparate types of hedges. The purpose of this paper is to provide such a unifying framework. Under idealized conditions, an equation is developed giving a perfect hedge solution for arbitrary choice of planning horizon, existing or planned cash market position, and asset/liability mix. The paper is pedagogic in nature.     

审计师关注客户所在地区社会信任水平吗? ——基于Pecking Order模型的研究

文章利用CGSS调查数据度量客户所在地区的社会信任水平,进而考察其对审计师决策的影响。文章首先分别考察了社会信任水平与审计定价、出具非标审计意见的倾向、审计师变更之间的关系,结果发现,公司所在地区的社会信任水平与审计定价、审计师变更均呈显著负向关系,表明审计师会对位于高社会信任地区的客户收取更低的审计费用、审计契约更为稳定,但社会信任与审计师出具非标意见的倾向之间没有显著关联。有序Logistic检验结果表明,在审计定价和审计师变更决策之间,审计师存在优先选择次序:对于低社会信任地区客户,他们会优先通过提高审计收费的手段来控制相关风险。只有在风险超出其承受力、不能通过提高审计费用来控制时,才会放弃客户。此外,文章还发现,地区法治水平能够缓解社会信任对审计师决策的影响。这一研究有助于加深社会信任与审计师决策之间关系的理解,并有助于理解审计师的风险管理策略。     

中国审计判断质量的实验研究

近年来,审计质量问题引起了社会的广泛关注,审计判断作为影响审计质量的主要因素之一,日益受到我国审计理论界和实务界的重视。本文以我国注册会计师审计为背景,以内部控制风险评估为案例,采用实验的方法对我国注册会计师的审计判断质量进行了检验。研究结果表明,我国注册会计师的共识、稳定性和自我洞察力已经达到了相当高的水平,但与国外的相似实验研究结果相比,还存在着明显的差距,需要继续提升；在判断过程中,我国注册会计师的判断模型明显呈线性化。     

How to manage corporate reputation? The effect of enterprise risk management systems and audit committees on corporate reputation

Research on corporate reputation has generally argued that reputational risk, or risk of reputation loss, stems from all company risks. As companies use enterprise risk management (ERM) systems to manage all their risks, we analyse the effect of ERM system quality on corporate reputation. Furthermore, as audit committees are in charge of supervising ERM systems, we analyse the effect of audit committee characteristics (i.e. independence and independent members' knowledge and diligence) on corporate reputation through their effect on ERM system quality. Our results for a sample of listed Spanish firms support consultants’ arguments that ERM system is a useful tool for managing corporate reputation. Our results also show that audit committee independence improves corporate reputation through the ERM system. Finally, our findings also reveal a positive relationship between the average educational level of independent directors of the audit committee and ERM system quality. These results provide evidence that ERM systems are platforms to manage corporate reputations and suggest the importance of the audit committee as a supervisor of ERM system and as guarantor of corporate reputation.     

注册会计师审计风险计量模型的研究

注册会计师(CPA)在进行每一个审计项目时,都要进行专业判断,都要承担一定的责任和风险。因此,整个审计活动都可以看作是一个审计风险的管理过程。对审计风险实施有效管理的前提是风险的计量,它决定着审计工作的成败。通过构造审计风险计量模型,为审计风险要素的计量提供方法和依据,缩小主观判断与实际水平之间的差异,更有效的保证审计质量和提高审计效率。     

Fuzzy quality-team formation for value added auditing: A case study

Value-added (quality) auditing is emerging as one of the most powerful tools for continuous quality improvement, with the introduction of the ISO 9001:2000 and ISO 19011 standards that focus team-based audits, proper auditor skills, process auditing, and effectiveness, etc. Formation of an effective quality audit team (QAT) based on the required auditor skills is therefore the initial stage of the value added auditing. QATs audit organizations at different locations with varying auditing requirements in order to evaluate an organization's own quality system (first party part audits according to IEC9001 Clause 8.2.2). The QAT consists of a lead auditor and one or more auditors that have the required skills in varying levels for the execution of an audit. For a successful audit, the formation of a QAT is vital since each audit team must at least fulfill the minimum requirements and skills needed for a specific audit. In this case study, a fuzzy mathematical-programming model and a solution algorithm based on “simulated annealing” is proposed for the formation of QATs. This is one of the first attempts in the literature to form this kind of teams analytically. Example problems are also solved in the paper to present the application of the proposed approach.     

Risk Aversion,Collective Bargaining,and Wages in Germany

We develop an open‐shop model of trade union membership in which workers differ in their risk attitudes, and derive conditions under which the bargained wage will fall and union membership will increase with a general rise in risk aversion. Using data from the German Socio‐Economic Panel we define broad bargaining units and show that wages decline as average risk aversion of union members in these units rises, controlling for individual effects of risk aversion. Given a negative relationship between wages and employment, this suggests that secular changes in risk attitudes, because of an aging workforce or greater female labour force participation, can help to explain variations in the employment performance of unionized economies.     

A STOCHASTIC MODEL FOR ANALYSIS OF VARIATIONS IN AIR POLLUTION LEVELS

Examination of environmental data seems to suggest that variations in air pollution levels from one point in time to another tend to follow some form of observable pattern. In this article, the authors explore an approach to observing, describing and analyzing these variations. They develop a model which is essentially a Markov framework and use it to suggest a number of interesting questions and to facilitate their solution. In this demonstration, the focus is on a single component of air pollution, suspended particulate matter. For implementation, a model would need to incorporate other elements of the pollution mix. As the composition of air pollution differs from one air shed to another, so will the parameters of the model.     

审计风险的博弈分析

由于在审计监督行为中,审计与被审计单位作为矛盾的两个方面存在着信息不对称现象,从而导致审计结果与实际不符,产生了审计风险。据此,本文拟采用博弈论这一分析工具,主要从注册会计师与管理当局和注册会计师与监管机构两个方面建立模型,进行博弈分析。     

On the Measurement of Perceived Consumer Risk

The role of perceived risk in consumer behavior has been studied extensively by academic researchers. This paper introduces a methodology for the measurement of the effects of product features, marketing mix components, and individual differences on perceived consumer risk based on theoretical foundations in the literature. A conjoint-type model based on paired comparison judgments is estimated to provide attribute weights. A modification of a stochastic multidimensional scaling-based vector model is then used to measure and summarize individual consumer differences with respect to the impact of brand attributes and marketing mix components on latent levels of perceived consumer risk. An illustration is provided using students’ risk perceptions of sports cars.     

公司治理、控制权性质与审计定价

借鉴Simunic的审计定价模型,构建关于审计定价影响因素的多元线性回归方程,并以沪深两市上市公司2007年数据为研究对象,对股权结构、公司治理与审计定价之间的关系进行实证检验.研究结果表明,总体而言,公司治理因素对中国上市公司审计定价的解释力有限,说明中国会计师事务所在决定审计收费时对被审计单位的公司治理因素考虑较少.具体而言,终极控制人为政府的上市公司审计费用较低,股权集中度、管理层持股比例与审计定价之间大体上呈U型关系,即股权适度集中和管理层适度持股最有利于降低审计定价,进一步的研究发现,管理层持股比例与审计定价的U型关系仅存在于非国有控股公司样本中.研究还发现,中国会计师事务所在确定审计费用时会结合公司控制权的性质考虑风险因素时审计定价的影响.     

Assessing the impact of uncertainty and the level of aggregation in case mix planning

In this article, we present a framework for evaluating the impact of uncertainty and the use of different aggregation levels in case mix planning on the quality of strategic decisions regarding the case mix of a hospital. In particular, we analyze the effect of modeling (i) demand, (ii) resource use, and (iii) resource availability as stochastic input parameters on the performance of case mix planning models. In addition, the consequences of taking the weekly structure with inactive days without surgeries into account are assessed (iv). The purpose of this paper is to provide a guideline for the decision-maker planning the case mix on the consideration of stochastic aspects and different aggregation levels. We formulate a mixed integer programming model for case mix planning along with different stochastic and deterministic extensions. The value of the different extensions is analyzed using a factorial design. The resulting stochastic models are solved using sample average approximation. Simulation is used to evaluate the strategies derived by the different models using real-world data from a large German hospital. We find that highly aggregated basic case mix planning models can overestimate the objective value by up to 10% and potentially lead to biased results. Refining the problem decreased the gap between projected case mix planning results and simulated results considerably and led to improved solutions.     

Risk based internal auditing within Greek banks: a case study approach

Internal Audit functions within Greek banks are imposed both by the Greek law for publicly listed enterprises (Law 3016/17.5.2002), as well as by the Bank of Greece (Bank of Greece Governor’s Act. Number 2577/9-3-2006). Based on the traditional approach of internal audit within Greek Banks, an inspection of branches and credit on a tick and check (compliance) basis was conducted. Recent research (Koutoupis and Tsamis, Fourth European Academic Conference on Internal Audit and Corporate Governance. Cass Business School, London, United Kingdom, 2006) comes to a conclusion that this approach does not result in adequate coverage of risks. In addition, new international regulations and best practices such as basel committee on banking supervision requirements, COSO enterprise risk management (ERM) suggested framework, as well as The Institute of internal auditors standards for professional practice of internal auditing (standards) were in most cases partially or fully ignored by the vast majority of Greek banks. However, minimum requirements regarding the operation of internal audit functions have been set up by the Bank of Greece, which in most cases are followed by the Greek banks, as well as periodically assessed by the above banking regulator. Risk based internal audit (RBIA) was an unknown concept for the vast majority of publicly listed and non-listed Greek enterprises until very recently. Only Greek subsidiaries of US and UK enterprises were aware of the RBIA audit concept (including big foreign banks which operate in Greece as subsidiaries), as they were periodically audited by group audit functions as an immediate result of relevant risk assessments. Also, the majority of Greek publicly listed enterprises use the audit cycle approach in developing their long term (3 year) and annual audit plans, which means that they audit specific business cycles and activities within a predefined time interval (1–3 years). Audit planning is based on the head’s of internal audit and internal auditors experience without formal application of risk assessment and audit planning techniques. All Greek banks that participated in the corporate governance and internal auditing survey (Koutoupis, Third European Academic Conference on Internal Audit and Corporate Governance, 2005) stated that they follow a risk-based audit approach and develop risk based audit plans; however the vast majority of them could not prove it through a clearly documented risk assessment and risk-based audit plan. Sarbanes–Oxley Act (2002) directed National Bank of Greece to adjust its audit planning process to a risk based one. Also, other big Greek banks (case study 1–3) are now either considering or adopting a RBIA approach, mostly because of Bank of Greece pressures. internal audit functions within small banks still follow the audit cycle approach. In this paper, current status of Greek banks RBIA approach will be discussed based on relevant references, as well as on three case study examples. This research will be based on relevant literature review, as well as authors’ professional experience in past and current projects related to risk assessment, audit planning and RBIA. Specifically, RBIA approach will be critically evaluated based on three big Greek banks analysis on a case study format and benchmark against basel requirements, ERM and standards for professional practice of internal auditing. Based on the relevant assessment, best practices and recommendations for improvement will be identified.     

External audit and bankruptcy prediction

In this paper, we investigate the relationship between external auditor characteristics and the likelihood of bankruptcy. We use a sample of US public companies to analyse whether auditor attributes are associated with default. We also test whether the inclusion of such attributes in bankruptcy prediction models improves their predictive ability. We find that firms audited by industry-expert auditors, large audit firms and long-tenured auditors are less likely to default. Firms with higher audit fees are more likely to default. Our results also show that the inclusion of auditor attributes significantly increases the predictive ability of bankruptcy prediction models. This paper contributes to the literature about auditing and bankruptcy prediction. Our results suggest that the auditor attributes can provide predictive signals concerning a default risk and that an external audit can play a relevant role in early warnings of financial distress. Our study also suggests that bankruptcy prediction models can become more effective if they are complemented with audit data. Our results are of interest to market participants, auditors, regulating authorities, banks and other financial institutions that are interested in credit risk assessment.