群体分析视角下商业银行对金融体系的风险溢出效应研究

本文基于异质市场假说和高频数据,利用高频数据采样频率高及富含波动信息的特点,构造多银行和系统间多元联合分布过程,并将银行间的动态联系纳入考虑,构建了蕴含丰富经济意义、形式灵活的高频动态多条件CoVaR模型及基于此的群体性系统性风险贡献指标。从群体分析视角出发,研究了不同商业银行群体对金融体系的风险溢出效应。结果显示：就系统性风险贡献度而言,该模型准确刻画了近年不同时期下我国三类商业银行系统性风险贡献度的时变特征,其表现为在次贷危机及欧债危机、我国“钱荒”时期及股票市场异常动荡时期,由于风险的传染性等特征导致三类商业银行的系统性风险贡献度均有所上升,而在其他时期则相对平稳;就单个银行对系统的风险溢出影响而言,工商银行的风险溢出比率最大,与其庞大的资产规模以及在金融体系中的重要地位与作用密不可分;当分析同类型银行群体的风险冲击时,国有商行类的系统性风险溢出比率值最高,其次为股份制商行类,该两类的溢出比率相差无几,且均远大于城商行类,表明股份制商行对金融系统的风险溢出影响不可小觑;当剖析不同类型银行群体时,此模型同样适用。本文所构模型能够实现多个银行对金融系统极端风险贡献的度量,可为监管部门的分类监管及有限能力下银行救助顺序的确定提供一定参考依据。     

Comparing different propensity score estimation methods for estimating the marginal causal effect through standardization to propensity scores

Hernan and Robins proposed a method for calculating marginal causal effect of treatment using standardization to propensity scores.

?Data adaptive methods have been suggested as alternatives to logistic regression for the estimation of propensity scores. We examined the performance of various data mining methods using simulated data. The estimators' performance was evaluated in terms of relative bias, 95% CI coverage rate, and mean squared error.

?All methods (except CART and GBM) displayed generally acceptable performance. However, under the conditions of moderate non-additivity and moderate nonlinearity, ANN and SL outperformed logistic regression with better bias reduction and more consistent 95% CI coverage.     

内部控制有效性影响因素及提升对策研究

财务造假以及企业舞弊事件的频发,促使国内外权威机构以及相关学者对内部控制质量的关注。有效的内部控制可以保证企业经营合法合规,有助于提高财务报告信息质量,实现企业价值最大化、保护投资者利益。文章从内部控制五个构成要素入手,分析影响内部控制有效性的具体关键因素,从企业能力、企业文化、沟通以及风险防范方面提出完善对策,以期提升内部控制有效性水平,促进企业的可持续发展和资本市场的稳定。     

Advancing Environmental Risk Education

This article summarizes views on environmental risk education for youth and identifies some challenges to advancing environmental risk education. It is argued that education--in particular, formal (in-school, structured) education--can play an important role in helping to create an environmental risk-literate society. Recommendations focus on developing a framework of environmental risk education goals and objectives, evaluating environmental risk education efforts, and learning more about how to help youth make informed environmental risk decisions and to prepare them to participate in environmental risk management. It is hoped that this article will encourage greater involvement of risk professionals in environmental risk education efforts and related research.     

金融机构尾部风险溢出效应———基于改进非对称CoVaR模型的研究

为准确度量我国金融机构对金融系统的尾部风险溢出,本文改进了基于CoVaR 方法的分位数回归模型。基于极值理论和ARMA-GARCH模型拟合收益率边缘分布,构建了改进的非对称CoVaR模型,从系统性金融风险贡献绝对值(△CoVaR)和相对值(%CoVaR)两方面详细考察了2002年7月1日至2018年12月28日我国42家上市金融机构的尾部风险溢出效应。结果表明:在q=0.01的情况下,不同类型金融机构对金融市场的系统性金融风险贡献有显著差异,银行类与保险类机构的系统性金融风险值得重点关注;金融机构的系统性金融风险贡献相对值与在险价值存在显著联系,自身风险最低的银行类机构具有最大的风险溢出强度,是我国系统性金融风险防范的核心对象,尤其是国有控股银行。研究结论对于有效防范我国系统性金融风险具有重要的理论价值和现实意义。     

北京市居民对核电的认知与接受意愿——基于日本核泄漏事故背景下的调查

本文采用结构方程模型分析了在日本福岛核电站核泄漏事故的背景下我国居民对核电的认知状况与接受意愿。结果显示,我国居民对核电相关知识了解水平较低,但关注度和兴趣都比较高;公众对核电的感知价值、感知风险和接受意愿也比较高。根据本文的分析,公众对核电的感知价值对其接受意愿有促进作用,提高感知价值的主要途径包括提高公众对核电的卷入程度和信任度;公众对核电的感知风险对其接受意愿具有显著的负向影响,降低感知风险的主要途径在于提高公众对核电的了解程度。     

发展与风险:现代性的两歧——西方风险社会理论述析

风险社会理论深刻地揭露了现代性的＂两歧＂：现代性的后果引起了性质完全相反的两种倾向——发展与风险。换言之,现代性在发展过程中产生了反对自身、对抗自身、消解自身的社会风险因素,并且这两种倾向都来自于同一原因。由于原因相同,在现代性的两歧之中,两种对立倾向是共生的、不可根除的,现代性的扩张同样引起社会风险性的扩张。因此,现代性存在的理由同时也是现代社会风险产生的原因,这是一种左右为难的处境。两歧性揭示了现代性的肯定性和否定性两个矛盾方面,这就不是对现代性进行简单肯定或否定的二元对立取向,从而为我们辩证地审视现代性的后果及其与社会风险根源的关系提供了重要的理论基础。批判地借鉴吸收西方风险社会理论,有助于确立合理解决社会风险问题的科学风险观。     

当代灾疫预警实践的社会伦理考察

在当代社会,面对日益全球化和日常生活化的频繁灾疫之难,重建社会整体动员的灾疫预警方式和灾疫预警体系,乃卓有成效地展开灾疫预防的关键环节。立足当代存在发展,灾疫预警必须从人出发,以＂生命重于一切＂和＂生命价值高于一切＂为根本价值诉求,遵循生命安全和财产安全之伦理原则,以灾疫情事实本真真实和全民问责为基本内容,创建并不断完...     

Variation of Consumer Contact with Household Products: A Preliminary Investigation

Little information is available on product use by consumers, which severely hampers exposure estimation for consumer products. This article describes actual contact with several consumer products, specifically dishwashing detergents, cleaning products, and hair styling products. How and where products are handled, as well as the duration, frequency, and amount of use were studied by means of diaries, in‐home observations, and measurements. This study addressed the question, “To what extent are frequency, duration, and amount of use associated?” Findings showed that there was a large intra‐ as well as interindividual variation in frequency, duration, and amount of use, with the interindividual variation being considerably larger. At the same time, results showed that, for a given activity, users tended to follow their own routine. Few relations were found among frequency, duration, and amount of use. It was concluded that among persons, frequency, duration, and amount of product act in practice as independent parameters. Diaries appear to be quite suitable for gaining insight into frequently used products. Observations of usage, recorded on video, were indispensable for obtaining particular information on product use. In addition, home visits enabled the collection of specific measurements. Although diaries and home visits are time‐consuming, the combination provided insight into variation as well as relations among frequency, duration, and amount of use.     

Better Negative than Positive? Evidence of a Bias for Negative Information about Possible Health Dangers

Do the results of a scientific study influence confidence in the study's validity and the magnitude of change in the resulting perceived danger of the health risk investigated? Findings from the three investigations reported here indicate that scientific results that confirm a danger (negative results) do affect confidence in a study's validity and resulting risk assessments differently than results indicating low risk (positive results). Findings of Study 1 revealed that research results indicating a health risk were more trusted than results indicating little health risk. This effect was independent of the credibility of the information source. Study 2 demonstrated that confidence in research results increased with an increasing indication of health risk. Study 3 showed that people have more confidence in the results of animal tests on a food additive indicating negative human health effects than in animal tests indicating that a food additive is harmless. The findings have important practical implications. The observed asymmetry between positive and negative research results may be one reason that people are afraid of many of the hazards they are faced with in modern society.