The efficiency effects of a single market for financial services in Europe

This paper examines the potential efficiency effects of a single market for financial services in Europe. The topics covered include universal banking, the merger and acquisition process itself, cross-border ownership and management of financial institutions, and the effects of consolidation of financial institutions on the supply of relationship lending services to informationally opaque small businesses. The research reviewed here suggests that the creation of a single market for the European financial services industry is not likely to bring about strong efficiency gains and that cross-border efficiency barriers may prevent the single market from becoming a reality.     

Tariff structure of Japanese electric power companies: An empirical analysis using DEA

This research explores a Marginal Cost (MC)-based pricing system, using Data Envelopment Analysis (DEA). This DEA technique is widely applied for performance analysis and efficiency measurement in public and private sectors. This article does not follow such a previous research direction, rather directing itself towards the new measurement of MC and Ramsey prices of multiple electric power services. As an important case study, this research applies the proposed DEA approach to examine how much the current tariffs of Japanese electric power services deviate from these MC and Ramsey prices. This type of research has never been explored in Japan, even though such a research effort is needed by many policy makers and consumers. It is hoped that our empirical findings can serve as a policy-making basis for guiding the Japanese electric power industry. This study believes that this Japanese experience is useful for other nations, such as Asia-Pacific countries, where many public industries are regulated by their governments.     

基于政府补贴的养老服务市场供给研究

随着我国老龄化速度加快,养老服务的有效供给问题是政府和学者关注的焦点。考虑政府财政补贴下,引入民办与公办养老服务的替代因子,构建民办养老机构与公办养老机构的服务动态供给模型,分析不同补贴方式和补贴力度对服务均衡供给量的影响,并进一步通过补贴乘数分析政府补贴对养老服务机构最优供给决策的影响程度。结果表明:政府对民办养老机构的财政补贴可以增加养老服务市场供给量,相较于运营补贴,政府建设补贴的政策效应更加明显;财政补贴降低了民办养老机构的建设成本和投资风险,刺激社会资本投入的积极性,民办养老服务供给增加幅度大于公办养老服务供给减少幅度,养老服务市场有效供给增加。在财政预算约束下,选择恰当的财政补贴方式,可以提高财政资源的配置效率,增加养老服务市场的有效供给,缓解养老服务财政压力。     

尾部风险网络视角下的金融机构系统性风险贡献研究

金融机构的尾部风险关联模式及结构在金融系统性风险的形成演化中发挥重要作用。利用CoVaR指标及分位数回归方法,衡量金融机构之间的尾部风险传染强度,进而建立金融机构尾部风险动态网络。分析全连接网络及阈值法下过滤网络的全局和局部拓扑结构特征及其动态演化规律。建立面板数据回归模型,研究网络拓扑结构特征对金融机构系统性风险贡献的影响。实证研究发现,全连接网络的节点强度,能有效地衡量金融机构尾部风险传染强度及承受强度,并揭示其动态变化规律;各机构的尾部风险传染强度及承受强度排序匹配性存在差异;随着时间推进,各金融机构间的平均尾部风险传染路径缩短、系统性风险更易迅速累积和爆发;滞后一期的节点出度、节点入度及聚集系数越大,相应金融机构的系统性风险贡献越小;滞后一期的节点介数和节点接近中心度越大,相应金融机构的系统性风险贡献越大。研究结果对于金融机构的宏观审慎监管及系统性风险管理,提供了一个全新的基于金融机构尾部风险网络的视角。     

Mathematics students’ next steps after graduation

This article is about what happens to newly minted mathematics graduates. It explores data from the first destination statistics from the perspective of mathematics lecturers and others involved in institutions that provide a higher education in mathematics. It also looks at reasons why this issue is important to those engaged in the higher education of mathematics undergraduates. A key finding is that the employment of mathematics graduates is concentrated in the sector of the economy that includes banking, property and financial services which makes the employment prospects for new graduates in mathematics vulnerable to recession in that sector.     

Generating interest rate scenarios for bank asset liability management

Over the last years the Second European Directive on Banking and Financial services demand that financial institutions develop asset liability management tools to identify and measure the various financial risks they encounter. The present paper develops a goal programming ALM model with a simulation analysis, to assist a commercial bank in managing its exposure to interest rate risk taking into account a duration gap framework. An application of the ALM model takes place on a large commercial bank of Greece.     

基于模糊集理论的铁路建设项目融资方案综合后评价

铁路建设项目融资方案的优劣决定了项目建设的风险和效益.本文首次提出并明确了铁路建设项目融资方案后评价的概念,指出铁路建设项目融资方案后评价包括投入总资金后评价、资金结构后评价、融资成本后评价、融资风险后评价和资金使用计划后评价五项内容,给出了基于模糊集理论的铁路建设项目融资方案综合后评价的模糊综合评价模型,并通过实例验证了模型的实用性和可操作性,为后评价时点对已运营的铁路建设项目融资方案优劣评价提供了一种简单、科学的综合评价方法.     

A multicriteria approach for rating the credit risk of financial institutions

Within the new bank regulatory context, the assessment of the credit risk of financial institutions is an important issue for supervising authorities and investors. This study explores the possibility of a developing risk assessment model for financial institutions using a multicriteria classification method. The analysis is based on publicly available financial data for UK firms. The results indicate that the proposed multicriteria methodology provides promising results compared to well known statistical methods.     

自然灾害恢复重建的联盟博弈分析

自然灾害恢复重建的关键之一,是救济基金的筹集.论文基于联盟博弈的理论分析了国家财政拨款、地方财政拨款、红十字会等社会机构募捐三条途径,对国家财政、地方财政、社会募捐机构三方, 应筹集救济基金的比例进行了论证.使全社会对恢复重建救济基金筹集的满意度最大.     

Asset/liability management under uncertainty for fixed-income securities

Short-sighted asset/liability strategies of the seventies left financial intermediaries — banks, insurance and pension fund companies, and government agencies — facing a severe mismatch between the two sides of their balance sheet. A more holistic view was introduced with a generation ofportfolio immunization techniques. These techniques have served the financial services community well over the last decade. However, increased interest rate volatilities, and the introduction of complex interest rate contingencies and asset-backed securities during the same period, brought to light the shortcomings of the immunization approach. This paper describes a series of (optimization) models that take a global view of the asset/liability management problem using interest rate contingencies. Portfolios containingmortgage-backed securities provide the typical example of the complexities faced by asset/liability managers in a volatile financial world. We use this class of instruments as examples for introducing the models. Empirical results are used to illustrate the effectiveness of the models, which become increasingly more complex but also afford the manager increasing flexibility.     

广义双曲线分布模型在我国证券市场风险度量中的应用研究

经济的全球化、衍生产品的大量出现以及因此导致的金融市场的动荡使得金融机构越来越需要更有效的风险管理方法。而如何精确度量风险是风险管理的关键问题。本文试图从金融收益分布假设着手改善风险度量的精度。国外学者研究发现广义双曲线分布比其它分布形式可以更好地拟合实际收益分布特征。本文首次把广义双曲线分布应用到VaR的分析方法中计算我国股票指数的VaR。实证结果表明，基于广义双曲线分布的方法得到了较好的预测结果。     

突发公共卫生事件对系统性金融风险的冲击及传染效应研究

首先基于面板向量自回归模型考察了突发公共卫生事件对系统性金融风险的冲击影响,接着综合考虑突发公共卫生事件的影响及其所导致的收益率的非对称性构建单指标非对称CoVaR模型,最后借助LASSO惩罚函数与局部估计法进行求解,以此构建有向网络分析金融机构间的传染效应.研究发现:(1)突发公共卫生事件冲击会使系统性金融风险水平短...     

Insurance and saving: some further results

The purpose of this paper is to provide a joint treatment of the saving and insurance decisions which have very often been dealt with separately in the economic literature. In the present model any decrease in the current consumption level can be used to finance either insurance purchase or an increase in the stock of safe assets held in financial institutions (called ‘deposits’ or ‘contingency reserves fund’ for brevity).The most important result is that, under decreasing temporal risk aversion, deposits and insurance are pure substitutes in the Hicksian sense. Besides, it is shown among other comparative statics results that insurance is not necessarily an inferior good, contrarily to the prevailing view in the literature. Finally, we indicate under which conditions a separation theorem between consumption, insurance and deposits holds. These conditions are either a fair insurance premium or a constant temporal risk aversion. Finally our results are compared to related ones in the literature.     

Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework

This paper investigates an optimal investment strategy of DC pension plan in a stochastic interest rate and stochastic volatility framework. We apply an affine model including the Cox–Ingersoll–Ross (CIR) model and the Vasicek mode to characterize the interest rate while the stock price is given by the Heston’s stochastic volatility (SV) model. The pension manager can invest in cash, bond and stock in the financial market. Thus, the wealth of the pension fund is influenced by the financial risks in the market and the stochastic contribution from the fund participant. The goal of the fund manager is, coping with the contribution rate, to maximize the expectation of the constant relative risk aversion (CRRA) utility of the terminal value of the pension fund over a guarantee which serves as an annuity after retirement. We first transform the problem into a single investment problem, then derive an explicit solution via the stochastic programming method. Finally, the numerical analysis is given to show the impact of financial parameters on the optimal strategies.     

Pensions modelling

Valuable insights into the problem of how to fund defined benefitpension schemes can be obtained by analysis using the standardBlack–Scholes/Merton option pricing model, consideringthe pension fund finances jointly with those of the sponsoringcompany. The nature of the fund assets and liabilities is completelydifferent, and this lies behind current controversies aboutthe appropriate discount rate, valuation, financial accountingand preferential status for pension fund claimants in insolvency.     

An integrated performance evaluation of financial holding companies in Taiwan

There has been a worldwide trend for financial institutions to become larger in scale and more diversified in scope, with Taiwan being no exception. Fourteen financial holding companies (FHCs) have each begun to function as a management umbrella in Taiwan by investing in different types of financial services such as banking, insurance, and securities. This paper focuses on this local financing issue from an integrated methodological perspective by model innovations proposed in several earlier studies. For example, the efficiency of profitability and marketability are combined to evaluate the FHCs’ performance. To conduct a valid and reliable evaluation process while applying the FHC’s case in Taiwan, we integrate the slacks-based measure (SBM) and slacks-based measure of super efficiency (super-SBM) models in order to directly handle the slacks and identify the best performers. A new scheme that deals with the negative output data in the SBM/super-SBM is also introduced. Inter-temporal efficiency change, which is decomposed into ‘catch-up’ and ‘frontier-shift’ effects, is analyzed by means of the SBM-based Malmquist index. A decision-making matrix is also presented to help the FHCs’ managerial authorities position themselves in the industry. The above techniques show with a high degree of consistency that large-sized FHCs perform better than small-sized ones.     

低碳环境友好技术政产学研金协同创新演化博弈研究

在气候变化应对日益紧迫的背景下,研究了政府、企业、研发机构和金融机构(政产学研金)参与低碳环境友好技术(LCEFT)创新的条件和策略。以企业合作关系为假设条件,引入金融主体和科研机构,构建了LCEFT的政产学研金协调创新博弈模型,深入分析了碳权质押、信用等级、投资回报等因素对博弈系统群体协调创新策略的影响。研究表明,金融机构参与协同创新的决策受到政府奖惩机制、绿色信贷项目盈利和风险等因素的影响;多主体在资源和能力上的互补性正是LCEFT协同创新联盟形成的关键;政府部门的奖惩机制能够促进多主体合作,但难以使得整体获得最优,达到整体最优的关键是有效地发挥政府部门的引导作用和金融机构的杠杆作用。本文为政府部门制定绿色金融、产学研协同创新及产业化管理机制提供了新思路和一定的决策参考。     

基于半参数多元Copula-GARCH模型的开放式基金投资组合风险分析

利用Copula技术对我国开放式基金市场的投资组合进行了风险分析。为克服传统Copula模型对金融尾部数据刻画能力的不足,建立了半参数的多元Copula-GARCH模型,灵活地对各支基金的边缘分布进行拟合,刻画了开放式基金投资组合的相依结构。并利用基于Copula技术的蒙特卡洛模拟,对投资组合进行了VaR分析,结果证实了所建立模型的可行性和有效性。     

Mean-variance optimization problems for an accumulation phase in a defined benefit plan

In this paper we deal with contribution rate and asset allocation strategies in a pre-retirement accumulation phase. We consider a single cohort of workers and investigate a retirement plan of a defined benefit type in which an accumulated fund is converted into a life annuity. Due to the random evolution of a mortality intensity, the future price of an annuity, and as a result, the liability of the fund, is uncertain. A manager has control over a contribution rate and an investment strategy and is concerned with covering the random claim. We consider two mean-variance optimization problems, which are quadratic control problems with an additional constraint on the expected value of the terminal surplus of the fund. This functional objectives can be related to the well-established financial theory of claim hedging. The financial market consists of a risk-free asset with a constant force of interest and a risky asset whose price is driven by a Lévy noise, whereas the evolution of a mortality intensity is described by a stochastic differential equation driven by a Brownian motion. Techniques from the stochastic control theory are applied in order to find optimal strategies.     

对数正态分布的VAR数学模型及其计算

VaR(Value at Risk)是一种以规范的统计技术来度量市场风险的新标准,目前在金融数学领域被广泛使用,它是指在正常的市场条件和给定的置信度下,在给定的持有期间内,测度某一投资组合所面临的最大的潜在损失的数学方法.传统的VaR计算方法在计算开放式基金时,可能存在着低估风险的情况.着重论述了VaR模型的数学原理以及该模型的计算方法,运用对数正态分布假设来评估开放式基金的风险,以验证其结果是否更加接近实际风险值.