操作风险量化方法的应用研究

量化是操作风险管理的核心和难点,目前这一领域正处于迅速发展的时期。本文对实践中如何恰当地量化操作风险进行了研究。作者对实践中损失数据的来源、收集和处理进行了讨论。在概括了现有主要操作风险量化方法的基础上,针对操作风险的特征,详细阐述了极值模型的应用步骤,并给出了发展量化方法的建议。     

风险控制对众包创新模式有效性的杠杆作用研究

随着"互联网+"在各个领域的广泛应用,众包创新平台应运而生。众包创新作为协同创新的一种模式,基于互联网平台为企业提供创新服务,可以有效提升企业核心竞争力。基于风险感知理论与风险控制相关文献,从平台风险控制角度,以猪八戒众包创新平台为例,采用数据挖掘技术获取平台一手数据,利用层次回归模型研究风险控制机制对众包创新平台有效性的影响。研究发现:通过建立接包方服务绩效评价体系与平台功能风险控制(保证金及接包商信誉评级)可以降低发包方对众包创新的感知风险,从而增强众包创新平台有效性。在两种风险控制机制的交互作用下,平台的有效性会得到进一步提升。此结论有助于众包创新平台运营及服务监管,促进平台交易环境向正规化、有序化方向发展,提升平台竞争力。     

核威慑的四大风险及其应对

风险社会中的核威慑自身具有很大的不确定性,容易引发技术风险、信任风险、政治风险和道德风险。对立的主客思维方式、失序的国际规范、内在的逻辑矛盾以及缺失的道德责任导致了核威慑风险的产生与升级,而其中的道德责任是根本性的影响因子。面对日趋严峻的核安全形势,各国应该培植政治智慧与道德理性,强化共生意识和本体性安全,构建平等、正义的核安全合作机制,积极打造安全共同体,让参与者共享安全与和平。拥核国应该承担更大的道德责任,切实维护核不扩散体制,努力铲除核恐怖主义,稳步推进世界无核化进程。     

“收益率宽幅”是导致宏观杠杆率攀升的原因吗

从会计学收益的微观视角研究宏观经济运行风险,发现货币性资产与投资性房地产之间的资产收益率差距持续拉大的经济现象,诱发宏观杠杆率攀升、金融风险加大。选取中国2000—2018年的年度数据,构建Koyck模型,实证检验不同类型资产之间的收益率宽幅与政府部门杠杆率、居民部门杠杆率、非金融企业部门杠杆率、实体经济部门杠杆率的相关关系。结果表明,收益率宽幅与政府部门杠杆率、居民部门杠杆率、非金融企业部门杠杆率、实体经济部门杠杆率之间存在着显著的正相关关系,收益率宽幅持续拉大,各部门宏观杠杆率不断攀升,资产泡沫难以抑制,宏观经济运行风险较大,这为平缓去杠杆、守住不发生系统性金融风险的底线提供了新视角。     

风险感知视角下邻避冲突中公众行为演化及化解策略——以浙江余杭垃圾焚烧项目为例

近几年中国公众对有害邻避设施（垃圾焚烧、化工厂等）带来环境风险的强烈感知,使得邻避类群体性事件高发频发。风险感知视角下浙江余杭垃圾焚烧项目先后经历了强烈的风险感知、坚决反对—风险感知的下降、尝试了解—态度转变、迎臂接纳三个阶段,最终成功破题原址建设。风险感知视角下邻避项目中公众的行为演化机理遵循的逻辑为：项目本身的实体风险—风险感知的放大—危机产生—介入因素转变—风险感知降低—危机解除。要摆脱邻避项目陷入应急处理的窠臼,应构建嵌入公众风险感知的常态化决策程序,其内核为公众风险感知的嵌入,中间为到位的风险沟通、科学的技术评估与合理的利益补偿三环相扣的闭环环节,协商民主的理念则贯穿整个过程。     

“偿二代”下寿险公司风险与资本关系的实证研究——基于与偿一代对比研究的视角

偿付能力风险管理是“偿二代”下寿险公司风险管理的核心,其理论依据是风险与资本的关系。基于我国部分寿险公司2011—2018年数据,运用三阶段最小二乘法(3SLS),考察“偿二代”实施前后寿险公司资本比例、承保风险和投资风险三者之间的相关关系。研究发现,“偿一代”下,寿险公司风险与资本未形成良好的传导机制,资本比例与投资风险呈负相关关系;而“偿二代”下,寿险公司风险与资本逐渐形成显著的正相关关系,承保风险与投资风险呈显著负相关关系。此外,针对偿付能力充足率与资本比例呈显著正相关关系,与投资风险和承保风险呈负相关关系这一反常现象,提出了“适应性博弈”假设予以解释。因此,寿险公司要始终注重风险,调整业务结构和投资策略;监管层面要进行更深度的穿透式监管,监督和加强寿险公司穿透披露。     

股价崩盘风险对企业现金股利政策的影响研究

基于我国上市公司的数据,研究股价崩盘风险对企业现金股利政策的影响。从理论上分析了股价崩盘风险对企业现金股利支付意愿和支付水平的影响。在此基础上,构建了相关的计量模型。研究结果表明：第一,股价崩盘风险升高时,企业的现金股利支付意愿和支付水平都更低;第二,股价崩盘风险主要是通过融资约束渠道而非代理冲突渠道来影响企业的现金股...     

Sensitivity Analysis for Critical Control Points Determination and Uncertainty Analysis to Link FSO and Process Criteria: Application to Listeria monocytogenes in Soft Cheese Made from Pasteurized Milk

Microbiological food safety is an important economic and health issue in the context of globalization and presents food business operators with new challenges in providing safe foods. The hazard analysis and critical control point approach involve identifying the main steps in food processing and the physical and chemical parameters that have an impact on the safety of foods. In the risk‐based approach, as defined in the Codex Alimentarius, controlling these parameters in such a way that the final products meet a food safety objective (FSO), fixed by the competent authorities, is a big challenge and of great interest to the food business operators. Process risk models, issued from the quantitative microbiological risk assessment framework, provide useful tools in this respect. We propose a methodology, called multivariate factor mapping (MFM), for establishing a link between process parameters and compliance with a FSO. For a stochastic and dynamic process risk model of in soft cheese made from pasteurized milk with many uncertain inputs, multivariate sensitivity analysis and MFM are combined to (i) identify the critical control points (CCPs) for throughout the food chain and (ii) compute the critical limits of the most influential process parameters, located at the CCPs, with regard to the specific process implemented in the model. Due to certain forms of interaction among parameters, the results show some new possibilities for the management of microbiological hazards when a FSO is specified.     

Decision Making for Animal Health and Welfare: Integrating Risk‐Benefit Analysis with Prospect Theory

This study integrated risk‐benefit analysis with prospect theory with the overall objective of identifying the type of management behavior represented by farmers’ choices of mastitis control options (MCOs). Two exploratory factor analyses, based on 163 and 175 Swedish farmers, respectively, highlighted attitudes to MCOs related to: (1) grouping cows and applying milking order to prevent spread of existing infection and (2) working in a precautionary way to prevent mastitis occurring. This was interpreted as being based on (1) reactive management behavior on detection of udder‐health problems in individual cows and (2) proactive management behavior to prevent mastitis developing. Farmers’ assessments of these MCOs were found to be based on asymmetrical evaluations of risks and benefits, suggesting that farmers’ management behavior depends on their individual reference point. In particular, attitudes to MCOs related to grouping cows and applying milking order to prevent the spread of mastitis once infected cows were detected were stronger in the risk domain than in the benefit domain, in accordance with loss aversion. In contrast, attitudes to MCOs related to working in a precautionary way to prevent cows from becoming infected in the first place were stronger in the benefit domain than in the risk domain, in accordance with reverse loss aversion. These findings are of practical importance for farmers and agribusiness and in public health protection work to reduce the current extensive use of antibiotics in dairy herds.