中国金融学术研究网
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银行和金融机构--风险管理
工作论文
2010-04-27 第3卷 第1期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

结构性产品信用评级分析

张家平 华侨大学经济与金融学院

风险选择、投资收益与外汇储备资产币种配置

杨胜刚 湖南大学金融学院
龙张红 湖南大学金融学院

利率风险价格形式实证研究:扩展仿射模型和半仿射模型的比较

郑振龙 厦门大学金融系
柯鸿 第一创业证券固定收益部
莫天瑜 厦门大学金融系

Rare event, flexibility and resource allocation

Zhihui Gu Nankai UniversityResearch Center of Corporate Governance and Business School
Qingbin Meng Renmin University of ChinaBusiness School

AN EMPIRICAL STUDY ON TIMATION RISK AND PORTFOLIO SELECTION----- FOR EMERGING MARKETS

Haiqi Wang Shanghai university of finance&economics,Department of finance


论文摘要

结构性产品信用评级分析

张家平 华侨大学经济与金融学院

结构性产品以其设计的灵活性、降低融资成本和风险管理成本以及丰富投资品种等优势,一经产生便获得迅猛发展,很快成长为全球固定收益市场中重要的组成部分。然而2007年次贷危机爆发,结构性产品成为某些分析者眼中的替罪羊,为结构性产品进行信用评级的评级机构也随之声名狼藉,成为众矢之的。首先简要介绍结构性产品的评级过程和三大评级机构(穆迪、标准普尔和惠誉)的评级方法,然后分析评级中可能存在的模型风险、评级套利(rating model arbitrage, 又称为rating shopping)、内在利益冲突(inherent conflicts of interest)以及其他衍生的问题,最后探讨我国改进结构性产品信用评级质量的方向。

风险选择、投资收益与外汇储备资产币种配置

杨胜刚 湖南大学金融学院
龙张红 湖南大学金融学院

外汇储备规模的变化将影响国家外汇储备资产投资的风险选择。为此,本文用三次效用函数刻画外汇储备资产投资在安全性、流动性和收益性三原则之间的权衡关系,建立了基于效用最大化下外汇储备资产投资的币种结构理论模型,并利用真实数据,构建外汇储备币种结构与风险收益之间的一般线性计量模型和“多元时序和滞后协整混合模型”,采用了协整分析、格兰杰检验、脉冲响应和方差分解等多种方法进行综合分析,实证结果与理论预期一致:1)储备货币收益率及其三阶矩对储备货币在外汇储备中的比重具有显著正效应;2)总体来看,国家外汇储备投资是风险规避型的。

利率风险价格形式实证研究:扩展仿射模型和半仿射模型的比较

郑振龙 厦门大学金融系
柯鸿第一创业证券固定收益部
莫天瑜 厦门大学金融系

在仿射利率期限结构动态模型(Affine DTSM)框架下,利率风险价格主要有四种设定形式:完全仿射模型(CAM)、实质仿射模型(EAM)、扩展仿射模型(EXAM)和半仿射模型(SAM)。其中,EAM优于CAM、EXAM和SAM均优于EAM已经经过理论和实证的证明。然而,EXAM和SAM的孰优孰劣无法单从理论上的比较得出结论,同时亦鲜有相关的实证文献对其进行比较研究。因此,本文运用卡尔曼滤波方法,在三因子CIR基础上对SAM、EXAM和EAM进行了实证比较,实证结果表明EXAM要优于SAM。此外,本文的稳健性检验表明,EXAM虽然已为目前的最优利率风险价格形式,但其仍然不够完善。

Rare event, flexibility and resource allocation

Zhihui Gu Nankai UniversityResearch Center of Corporate Governance and Business School
Qingbin Meng Renmin University of ChinaBusiness School

Based on a compound random process including geometric Brownian motion and Poisson process, we established a model which can describe the environmental uncertainty more flexible. And then, we use a stochastic optimal control model to address the issue of resource allocation. Our study conclusions indicate the following: (1) if rare events can be described using a Poisson process, then the fixed-point theorem can be used to solve resource allocation scheme; and (2) if a certain asset or a certain department’s facing a rare event leads to a reduction in value, then the rare event will not only affect investment in this asset or department but will also have ramifications for investment in related assets or departments. After that, we briefly discuss the resource allocation issues of financial institutions and manufacturing enterprises. The results show that the uncertain, flexible environmental of financial institutions can improve the efficiency of asset allocation. Manufacturing companies can respond effectively and positively to such uncertainty through a flexible asset allocation strategy. The contribution of our paper lies mainly in its use of new methods to describe uncertainty. When we re-define the environment of uncertainty, the flexible resource allocation scheme can effectively mitigate the impact of random adverse effects of the environment. In addition, if the description methods are closer to the facts themselves, then the scheme for flexibility in resource allocation may also bring about an excess return.

AN EMPIRICAL STUDY ON TIMATION RISK AND PORTFOLIO SELECTION----- FOR EMERGING MARKETS

Haiqi Wang Shanghai university of finance&economics,Department of finance

Efficient portfolio is a portfolio that yields maximum expected return given a level of risk or has minimum level of risk given a level of expected return.However,the optimal portfolios seem not being as efficient as intended.Especially during financial crisis period.optimal portfolio is not an optimal investment as it does not yield maximum return given a specific level of risk,vice and versa.One possible explanion for an unimpressive performance of the seemingly efficient portfolio is incorrectness in parameter estimates called"estimation risk in parameter estimates".Five different estimating strategies are employed to explore ex post portfolio performance when estimation risk is incorporated.These strategies are traditional mean-variance(EV),Adjusted Beta(AB) approach,Capital Asset Pricing Model(CAPM),Single Index Model(SIM), and Single Index Model incorporating shrikage Bayesian factor namely Bayesian Single Index Model(BSIM).Among the five alternative strategies,shrinkage estimators incorporating the single index model outperforms other traditional portfolio selection strategies.Allowing for asset mispricing and applying Bayesian shrinkage adjusted factor to each asset's alpha,a single factor namely excess market return is adequate in alleviating estimation uncertainty. JEL:G320


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