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。     

Structure and dynamics of the global financial network

In this paper, we study the evolution of the network topology for the global financial market. We evaluate the level of diversification and participation of developed and emerging economies in cross-border exposures and find that the gross exposure network is dense, the vulnerability matrix is sparse, and the network’s fragility changes over time. Prior to the financial crisis in 2008, the network was relatively fragile, whereas it became more resilient afterwards, showing a reduction in financial institutions’ risk appetite. Our results suggest that financial regulators should track down the network evolution in their systemic risk assessment.     

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。     

Chinese companies distress prediction: an application of data envelopment analysis

Bankruptcy prediction is a key part in corporate credit risk management. Traditional bankruptcy prediction models employ financial ratios or market prices to predict bankruptcy or financial distress prior to its occurrence. We investigate the predictive accuracy of corporate efficiency measures along with standard financial ratios in predicting corporate distress in Chinese companies. Data Envelopment Analysis (DEA) is used to measure corporate efficiency. In contrast to previous applications of DEA in credit risk modelling where it was used to generate a single efficiency—Technical Efficiency (TE), we assume Variable Returns to Scale, and decompose TE into Pure Technical Efficiency and Scale Efficiency. These measures are introduced into Logistic Regression to predict the probability of distress, along with the level of Returns to Scale. Effects of efficiency variables are allowed to vary across industries through the use of interaction terms, while the financial ratios are assumed to have the same effects across all sectors. The results show that the predictive power of the model is improved by this corporate efficiency information.     

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.     

Numerically intensive computing in Japanese financial institutions

Two major sophisticated services are needed by Japanese financial institutions. They are fund management and the development of new financial products. These are needed because of the increase of fund to be managed and deregulation. This paper will first, explain the current situation in Japanese financial institutions and, second, introduce the use of numerically intensive computing to provide these new services.     

Measuring the coupled risks: A copula-based CVaR model

Integrated risk management for financial institutions requires an approach for aggregating risk types (such as market and credit) whose distributional shapes vary considerably. The financial institutions often ignore risks’ coupling influence so as to underestimate the financial risks. We constructed a copula-based Conditional Value-at-Risk (CVaR) model for market and credit risks. This technique allows us to incorporate realistic marginal distributions that capture essential empirical features of these risks, such as skewness and fat-tails while allowing for a rich dependence structure. Finally, the numerical simulation method is used to implement the model. Our results indicate that the coupled risks for the listed company’s stock maybe are undervalued if credit risk is ignored, especially for the listed company with bad credit quality.     

Do market share and efficiency matter for each other? An application of the zero-sum gains data envelopment analysis

Current studies that use traditional data envelopment analysis (DEA) neglect the 100% market share restriction. This study adopts zero-sum gains data envelopment analysis to measure the efficiency scores of securities firms (SFs) and indicates that the traditional DEA model underestimates the efficiency scores of inefficient SFs. This research analyses 266 integrated securities firms in Taiwan from 2001 to 2005 and employs three inputs (fixed assets, financial capital, and general expenses) and a single output (market share). The foreign-affiliated ownership of SFs positively affects the efficiency scores. The two-stage least squares procedure confirms that the market share and efficiency score simultaneously reinforce each other.     

Social efficiency in microfinance institutions

Microfinance institutions (MFIs) are a special case in the financial world. They have a double financial and social role and need to be efficient at both. In this paper, we try to measure the efficiency of MFIs in relation to financial and social outputs using data envelopment analysis. For the analysis of financial efficiency, we rely on existing literature for traditional financial institutions. To this we have added two indicators of social performance: impact on women and a poverty reach index. We have studied the relationship between social and financial efficiency, and the relationship between efficiency and other indicators, such as profitability. Other aspects studied are the relation between social efficiency and type of institution—Non-Governmental Organization (NGO)—, non-NGO, and the importance of geographical region of activity. The results reveal the importance of social efficiency assessment.     

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。     

A limit order book model for latency arbitrage

We consider a single security market based on a limit order book and two investors, with different speeds of trade execution. If the fast investor can preempt the slower investor, we show that this allows the fast trader to obtain risk free profits, but that these profits cannot be scaled. We derive the fast trader??s optimal behaviour when she has only distributional knowledge of the slow trader??s actions, with few restrictions on the possible prior distributions. We also consider the slower trader??s response to the presence of a fast trader in a market, and the effects of the introduction of a ??Tobin tax?? on financial transactions. We show that such a tax can lead to the elimination of profits from preemptive strategies. Consequently, a Tobin tax can both increase market efficiency and attract traders to a market.     

基于R-vine-copula-CoVaR模型的金融市场风险溢出效应研究

为了挖掘国际金融市场与中国金融市场的风险溢出效应,本文首先通过ARJI-GARCH模型捕捉单个市场收益率的跳跃等典型事实特征,然后采用最大生成树(Maximum Spanning Tree,MST)算法优化的R-vine来刻画多维金融资产的复杂相依结构;最后构建R-vine-copula-CoVaR模型,测度了国际原油市场、国际黄金市场、美国股票市场与中国股票市场、外汇市场之间的风险溢出效应。实证结果表明:各市场之间均存在双向风险溢出效应,但溢出程度差别很大,国际黄金市场是风险溢出的最大爆发源,仅有中国外汇市场与中国股票市场、国际黄金市场间存在负向风险溢出;市场之间的双向风险溢出效应呈非对称性,国际原油市场与黄金市场的风险溢出效应远大于中国股票市场与外汇市场风险溢出效应;Rosenb-Latt检验表明基于R藤的CoVaR风险溢出测度更具有灵活性和有效性;后验测试结果表明R-vine-copula-CoVaR模型能有效地测度国际金融市场对中国金融市场风险溢出效应,而对中国金融市场风险溢出效应的CoVaR测度存在被高估的可能。     

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...     

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ICA-SV模型的金融市场协同波动溢出分析及实证研究

对于动态投资组合与风险管理来说,测定波动溢出效应是非常重要的.已有的文献证明SV模型比GARCH模型能够更好地刻画金融市场的波动,使用SV模型研究两个金融市场间波动溢出的文献并不多见,而使用SV模型研究多个金融市场对一个金融市场协同波动溢出的文献则更为少见.本文以独立成分表示金融市场波动的协同指标,提出了独立成分SV模型(ICA-SV),并研究了多个金融市场对一个金融市场的协同波动溢出,实证结果验证了ICA-SV模型在分析金融市场协同波动溢出是可行的.     

基于复杂网络的金融风险跨市场传导机制研究——以金融危机时期(2007~2009年)数据为例

金融系统具有典型的非线性复杂系统的特征,其多层次和多重反馈特性使得金融风险跨市场传导效应更加复杂多变。选取2007~2009年金融危机时期的相关数据,构建金融网络,并采用最小生成树(MST)的方法对金融风险跨市场传导机制进行实证分析。结果表明:我国金融市场具有明显的小世界特征;金融危机期间金融市场内部各子市场间的关联程度显著加强;股票、债券、房地产和外汇市场是系统重要性市场,需要重点监控;对金融风险跨市场传导的潜在路径进行了识别,为宏观审慎监管提供了理论基础。     

Financial sustainability and poverty outreach within a network of village banks in Cameroon: A multi-DEA approach

Microfinance institutions face a double bottom-line. They perform financial tasks by giving microcredits to their customers and support projects aiming at reducing poverty. In doing so, they have to be financially self-sufficient and to target poor people excluded from the traditional financial systems. However, a trade-off may exist between financial sustainability and poverty outreach for these institutions. By using a multi-DEA approach, this paper shows that even if a trade-off exists for 15% of the MC² (Mutuelles Communautaires de Croissance) in Cameroon, there is no trade-off for 46% of them. In order to increase, without trade-off, financial and social performance of inefficient MC², a benchmarking approach combing DEA and performance indicators has been developed. DEA is used for identifying best-practices and setting benchmarking goals. Performance indicators are used for characterizing areas needing improvements and following the evolution of MC² toward their goals, i.e., for implementing benchmarking. Complementarity of both approaches provides a tool box for improving financial and social efficiency and reducing the trade-off between financial sustainability and poverty outreach of microfinance institutions.     

Securitization of catastrophe mortality risks

Securitization with payments linked to explicit mortality events provides a new investment opportunity to investors and financial institutions. Moreover, mortality-linked securities provide an alternative risk management tool for insurers. As a step toward understanding these securities, we develop an asset pricing model for mortality-based securities in an incomplete market framework with jump processes. Our model nicely explains opposite market outcomes of two existing pure mortality securities.     

我国跨境电商上市企业经营效率研究——基于三阶段DEA-Malmquist指数方法

以33家跨境电商上市企业为研究对象,基于三阶段DEA和Malmquist指数模型从静态和动态两个角度出发,对2013-2018年我国跨境电商上市企业的综合效率、全要素生产效率指数及两者的分解效率进行测度并对比分析,同时分析了宏观经济环境、政府干预和企业自身经营情况等因素对经营效率的影响.结果表明:样本企业经营效率存在个体差异,且外部环境对其经营效率具有显著影响;纯技术效率和规模效率参差不齐是导致综合技术效率分化严重的主要原因.基于此,跨境电商上市企业应积极配合政策变化,加强营销能力,及时调整经营规模,以防范宏观经济风险,提高企业经营效率.     

Corruption and its detection: a graph-theoretic approach

We consider a corruption network where agents, both internal or external to the network, use connections and bribes to obtain goods or services outside the formal procedures. We develop a graph-theoretic model for the system and present sufficient conditions for detectability of the corruption status of at least one agent. Where detectability is not possible, we determine the topology of the network and all the possible corruption statuses of the agents. Further we provide, if we have information on the corruption status of a single agent, an algorithm that identifies the corruption status of every other agent in the network. Our results provide tools for detecting corrupt agents in organizations such as revenue authorities, municipalities, police, vehicle inspection departments, financial institutions and firms, while allowing the system to operate in normal mode.