保险公司和商业银行的风险问题研究
|
摘要
信用创造组织特别是保险公司和商业银行的风险问题越来越成为研究的焦点,本文主要从信用创造组织的风险问题入手,围绕保险公司、商业银行两大支柱型分类组织的风险问题,分别建立相应的数学模型,解决其中各自与风险问题紧密相关的问题。其中涉及的数学方法集中在概率、统计、随机过程及测度论等方面,并提出建立针对信用创造组织各分类机构内部控制体系的预警指标体系。这与各行业新出台的法规要求一致。
第一章就信用创造组织风险问题的根源和研究背景以及国内外研究状况进行了综述。而后,指出两类信用创造组织的代表:保险公司与商业银行面对的各自有关风险问题及本文创新之处。
第二章针对信用创造组织的风险问题,提出风险度量的一般化标准,并在标准上提出风险度量的一般化新表达法,将风险问题与概率统计融合。
第三章针对保险关心的有限破产概率的计算采用数学保险风险模型,讨论了索赔到达间隔时间服从几何分布,索赔额分布为一般离散型分布的一类连续时间风险模型的破产问题。首先将风险模型纳入PDMP框架,借助于带离散分量的广义生成元的概念得到相关鞅,其次,再利用测度变换理论得到破产概率的一般表达式。
第四章对新一类保险风险盈余过程提出了研究模型,表达破产概率及生存概率的解。然后提出概率意义下保险公司偿付能力的定义及性质,从战略发展角度提出提高保险公司偿付能力的对策。
第五章从巴塞尔新协议对我国银行业提出的新要求开始,就建立银行业内部评级体系中的细节:预期违约概率的计算提出了期权度量分析法,着重提出了利率和负债在确定和随机条件组合下四种组合情况的信用风险求偿权模型,因此给出了预期违约概率在特定条件下的计算。
第六章总结了研究中的问题与展望。
综上,本文从信用创造组织的分类代表保险公司、商业银行来分别探讨了风险问题。提出了建立针对各信用创造机构内部控制体系的相应预警指标体系,以防范风险,获得最大收益。
The risk problems in the the credit creation organization have been increasingly emphasized on research, especially insurance company and commercial bank. Starting with risk problem of the credit creation organizations, this article builds a set of models to solve problems on the risk involving the two mainstays of credit creation organization: insurance company, commercial bank. The mathematic methods used in the models include probability, statistics, stochastic process, measure theory and so on. Further more, the respective forecast warning index systems for inner control of every corresponding credit creation organization are presented, which act in accord with recent polices of many industries.
The first chapter of the paper summarizes the foundation and research background of the risk problems, and the situation of domestic and overseas research on the risk problems. Subsequently, the paper points out the respective correlative risk problem of the delegates of two kinds of credit creation organization:insurance company and commercial bank which confronted,and concludes innovation of the paper.
In the second chapter, the general criterion of risk measurement in allusion to the risk problem in the credit creation organization is presented. Moreover,the new general expression of risk measurement is expressed which is based upon the general criterion, combining probability statistics with risk measurement.
In the third chapter, the model of insurance risk is presented, which solve the finite ruin probability concerned by the insurance. The paper discusses the ruin problem of a kind of continuous-time risk model with inter-occurrence time obeyed geometric distribution and with claim size obeyed general discrete distribution. Firstly, the risk model is set in the framework of PDMP, and a correlative martingale in virtue of the extended generator with discrete component is gotten. Secondly, the general expressions for ruin probabilities are presented via the change of the probability measure.
In the fourth chapter, the new model of insurance risk surplus problem is presented, and the ruin probability and the survival probability are solved. Subsequently, the paper puts forward the definition and characters of the solvency of
第一章就信用创造组织风险问题的根源和研究背景以及国内外研究状况进行了综述。而后,指出两类信用创造组织的代表:保险公司与商业银行面对的各自有关风险问题及本文创新之处。
第二章针对信用创造组织的风险问题,提出风险度量的一般化标准,并在标准上提出风险度量的一般化新表达法,将风险问题与概率统计融合。
第三章针对保险关心的有限破产概率的计算采用数学保险风险模型,讨论了索赔到达间隔时间服从几何分布,索赔额分布为一般离散型分布的一类连续时间风险模型的破产问题。首先将风险模型纳入PDMP框架,借助于带离散分量的广义生成元的概念得到相关鞅,其次,再利用测度变换理论得到破产概率的一般表达式。
第四章对新一类保险风险盈余过程提出了研究模型,表达破产概率及生存概率的解。然后提出概率意义下保险公司偿付能力的定义及性质,从战略发展角度提出提高保险公司偿付能力的对策。
第五章从巴塞尔新协议对我国银行业提出的新要求开始,就建立银行业内部评级体系中的细节:预期违约概率的计算提出了期权度量分析法,着重提出了利率和负债在确定和随机条件组合下四种组合情况的信用风险求偿权模型,因此给出了预期违约概率在特定条件下的计算。
第六章总结了研究中的问题与展望。
综上,本文从信用创造组织的分类代表保险公司、商业银行来分别探讨了风险问题。提出了建立针对各信用创造机构内部控制体系的相应预警指标体系,以防范风险,获得最大收益。
The risk problems in the the credit creation organization have been increasingly emphasized on research, especially insurance company and commercial bank. Starting with risk problem of the credit creation organizations, this article builds a set of models to solve problems on the risk involving the two mainstays of credit creation organization: insurance company, commercial bank. The mathematic methods used in the models include probability, statistics, stochastic process, measure theory and so on. Further more, the respective forecast warning index systems for inner control of every corresponding credit creation organization are presented, which act in accord with recent polices of many industries.
The first chapter of the paper summarizes the foundation and research background of the risk problems, and the situation of domestic and overseas research on the risk problems. Subsequently, the paper points out the respective correlative risk problem of the delegates of two kinds of credit creation organization:insurance company and commercial bank which confronted,and concludes innovation of the paper.
In the second chapter, the general criterion of risk measurement in allusion to the risk problem in the credit creation organization is presented. Moreover,the new general expression of risk measurement is expressed which is based upon the general criterion, combining probability statistics with risk measurement.
In the third chapter, the model of insurance risk is presented, which solve the finite ruin probability concerned by the insurance. The paper discusses the ruin problem of a kind of continuous-time risk model with inter-occurrence time obeyed geometric distribution and with claim size obeyed general discrete distribution. Firstly, the risk model is set in the framework of PDMP, and a correlative martingale in virtue of the extended generator with discrete component is gotten. Secondly, the general expressions for ruin probabilities are presented via the change of the probability measure.
In the fourth chapter, the new model of insurance risk surplus problem is presented, and the ruin probability and the survival probability are solved. Subsequently, the paper puts forward the definition and characters of the solvency of
引文
[1] Rolski T.,et al. Stochastic Process for Insurance and Finance.New York:John Wiley & Sons,1999. 445
[2] 杨忠直,企业生态学引论,北京:科学出版社,2003,98
[3] 刘国欣,侯振挺,邹捷中.逐段决定马尔可夫骨架过程.长沙:湖南科学技术出版社,2000,108,113,146,147
[4] 王晓易,刘国欣,杨忠直,索赔到达间隔为几何分布风险模型的破产问题,系统工程学报,2006,21,(1):49-54
[5] Asmussen S. Ruin Probabilities.Singapore:World Scientific,2000. 69~70
[6] Basel Committee on Banking Supervision, Best Practices for Credit Risk Disclosure,1998,12
[7] Basel Committee on Banking Supervision, Principles for the Management of Credit risk,2004,10
[8] William R. Melick, Results of the Estimation of Implied PDFs from a Common Dataset,BIS Papers, 1999,(11):2~5
[9] Aziz Ponary Mlima, Lennart Hjalmarsson, Measurement of Inputs and Outputs in the Banking Industry, Zanzanet Journal, 2002, 3,(1):12~22
[10] Thomas Dangl ,Josef Zechner, Credit risk and dynamic capital structure choice, Journal of Financial Intermediation 2004,13, (2): 183~185
[11] David Carse,The banking industry: competition, consolidation and systemic stability: the Hong Kong experience,BIS Papers,2003,(4): 71~74
[12] Daykin,C.D. Practical Risk Theory for Actuaries.London:Chapman and Hall,1994,64
[13] Erwan Morellec, Asset Liquidity, Capital Structure, and Secured Debt, Journal of Financial Economics ,2003,61, (2), 173~206
[14] Allen N. Berger,Robert DeYoung,The Effects of Geographic Expansion on Bank Efficiency,Journal of Financial Services Research,2003,55,(2),163~184
[15] Thomas Dangl , Josef Zechner, Credit risk and dynamic capital structure choice, Journal of Financial Intermediation, 2004,13,(1): 183~201
[16] Rachel Campbell, Ronald Huisman, Kees Koedijk, Optimal portfolio selection in a Value-at-Risk framework, Journal of Banking and Finance, 2001,25,(9): 1789~1792
[17] Michel Crouhy , Dan Galai , Robert Mark,A comparative analysis of current credit risk models,Journal of Banking & Finance 2000,24,(1):59~63
[18] Guo Ke-sha, The Strategic Adjustment of China's Industry Structure in the Next Five Years,China & World Economy,2001,(2):33
[19] Hazel J. Johnson, Prospect Theory in The Commercial Banking Industry, Journal of Financial and Strategic Decisions ,1994,7,(1):73~89
[20] Santos, Tano,Comment on: Credit risk transfer and contagion, Journal of Monetary Economics, 2006, 53,(1): 113~121
[21] James A. Brickleya, James S. Linckb, and Clifford W. Smith, Jr., Boundaries of the Firm: Evidence from the Banking Industry, William E. Simon, Journal of Financial Economics 2003,70,(3):351~353
[22] James R. Barth,Daniel E. Nolle,Tara N. Rice, Commercial Banking Structure, Regulation, and Performance: An International Comparison, Office of the Comptroller of the Currency,2003,115~117
[23] Jiongmin Yong, Rama Cont, Mathematical Finance——Theory and Applications. Higher Education Press.2003,270
[24] Jeremy C. Stein, An Adverse Selection Model of Bank Asset and Liability Management with Implications for the Transmission of Monetary Policy, National Bureau of Economic Research,2003,12
[25] Floros, Nikos I.; Tsetsekos, George P., The impact of credit line announcements on stock prices: Analysis of stated reasons and financial risk, International Review of Economics and Finance, 1996, 5, (3):307~320
[26] Adam, Tim René, Risk management and the credit risk premium, Journal of Banking and Finance , 2002,26,(2): 243~269
[27] John B. Caouette, Edward I. Altman, and Paul Narayanan, Managing Credit Risk—The Next Great Financial Challenge,2004,9~11
[28] Sophie Coutant, Implied Risk Aversion in Options Prices Using Hermite Polynomials1,BIS Workpaper, BIS, 1999,(6),14:6
[29] Pierides, Yiannos A., The pricing of credit risk derivatives, Journal of Economic Dynamics and Control, 1997 ,21,(10): 1579~1611
[30] Coccorese, Paolo, Competition in markets with dominant firms: A note on the evidence from the Italian banking industry, Journal of Banking and Financ, 2005, 29,(5): 1083~1093
[31] Daniel R?sch, An empirical comparison of default risk forecasts from alternative credit rating philosophies, International Journal of Forecasting, 2005,21,(1): 37~38
[32] Instefjord, Norvald , Risk and hedging: Do credit derivatives increase bank risk?, Journal of Banking and Finance, 2005, 29,(2): 333~345
[33] Berlin, Mitchell; Mester, Loretta J., Retail credit risk management andmeasurement: An introduction to the special issue, Journal of Banking and Finance, 2004, 28,(4): 721~725
[34] Nicola Cetorelli1, Michele Gambera, Banking Market Structure,Financial Dependence and Growth:International Evidence from Industry Data, Journal of. Finance, 2001,56,(2), 617~618
[35] Thomas Dangl ,Alfred Lehar, Value-at-risk vs. building block regulation in banking, Journal of Financial Intermediation, 2004,13 (1): 96~131
[36] R. Gaston Gelos and Jorge Roldós, Consolidation and Market Structure in Emerging Markets Banking Systems,Emerging Markets Review,2004, 5(1):39~42
[37] Anurag Guptaa, Bing Liang, Do hedge funds have enough capital? A value-at-risk approach, Journal of Financial Economics , 2005, 77, (1): 219~253
[38] Hans N.E. Bystr?m, Managing extreme risks in tranquil and volatile markets using conditional extreme value theory, International Review of Financial Analysis, 2004,13,(1):133~152
[39] Joseph P. Hughes,Measuring efficiency when competitive prices aggregate differences in product quality and risk, Research in Economics,1999, 53, (1):47~49
[40] Tom Copeland, Measuring and Managing the Value of Companies(3rd Edition),2004,67~71
[41] John Trussel, Default Probability on Corporate Bonds: A Contingent Claims Model, Review of Financial Economics,1997,6,(2):199~203
[42] Noh, Hyun Ju, Roh, Tae Hyup, Han, Ingoo, Prognostic personal credit risk model considering censored information, Expert Systems With Applications , 2005,28, (4): 753~762
[43] 巴曙松,“问题富豪”如何凸现中国银行业信贷管理缺陷?,中国中小企业,2003,(11): 6~8
[44] 巴曙松,中国资本充足监管框架的形成及其市场影响——兼论巴塞尔新资本协议与《商业银行资本充足率管理办法》的比较,财经科学,2005,208,(1):13~14
[45] 陈小宪,重塑商业银行长期发展模式,金融研究,2003,282,(12):23~24
[46] 陈小宪,中国商业银行风险管理的认识与实践,中国金融, 2004,(3):47~49
[47] 陈兆水、李莲香,银行业经营环境的培育和优化,浙江金融,2003,(3): 17~18
[48] 戴相龙,对中国金融改革主要问题的思考,中央财经大学学报,2002,(8): 1~5
[49] 阿诺·德·瑟维吉尼,奥里维尔·雷劳特,任若恩等译,信用风险度量与管理,北京:中国财政经济出版社,12
[50] 杜莉、王锋,中国商业银行范围经济状态实证研究,金融研究,2002,(10): 31~36
[51] 范月、陈立军,中小企业发展与就业增长,广东发展导刊,2003,(2): 24~27
[52] 范方志、张立军,中国地区金融结构转变与产业结构升级研究,金融研究2003,11:36~41
[53] 方贤明,制度变迁与金融机构调整,北京:中国金融出版社,11~19
[54] 福建省金融学会、美国阿波罗金融科技公司联合课题组,信息结构与金融技术支撑:小企业信贷市场的实证研究,金融研究,2003,(11):95~103
[55] 戈德史密斯,金融结构与发展(中译本),北京:中国社会科学出版社,1993,20
[56] 谷建军,试论国有商业银行股份制改造,哈尔滨商业大学学报,2002,(6):45~47
[57] 李汉尧,论我国保险市场信用体系建设,保险研究,2002,(11): 17~18
[58] 韩旺红、杨海,对我国金融中介与经济增长关系的经验分析,武汉金融,2003,(1):28~32
[59] 何桦,我国商业银行信贷经营中风险预警机制的建立,中国城市金融,2003,(6):21
[60] 李静,次级债融资对保险公司的影响分析,南开经济研究,2005,(2):101
[61] 傅安平,寿险公司偿付能力监管,北京:中国社会科学出版社,2004,3
[62] 纪琼挠,麦克米伦缺欠与中小企业政策性融资,金融研究 2003,7:111~116
[63] 江明华,忠诚客户营销实践与我国商业银行竞争力提升的分析,金融研究2003,(6):58~63
[64] 李新章、聂金锁,自有资本与信贷的信号意义:论民营经济发展中的适度信贷约束,金融研究 2003,(12):123~128
[65] 李扬,王国刚,何德旭,中国金融理论前沿 III,北京:社会科学文献出版社,2003,114
[66] 李泽广,融结构趋同、经济增长差异与金融发展模式选择 ——转型国家金融结构问题研究,国际金融研究,2003,(4):32~37
[67] 李松国、张月飞,本利权衡和利益博弈下的行为选择——国有商业银行不良贷款形成机理剖析及其化解途径,金融论坛,2003,(1):10~16
[68] 刘世锦,当前结构调整的重点,金融信息参考,2002,(1):7~8
[69] 刘国欣,逐段决定马尔可夫过程及其在风险中的应用,河北工业大学学报,2004,33,(2) :49~50
[70] 白雪卿,论提高保险公司的偿付能力,保险研究, 2002, (11): 39~41
[71] [美]菲利浦·乔瑞(Philippe Jorion)著,陈跃等译,风险价值 VAR,北京:中信出版社,2005,431
[72] 聂丹,中资银行竞争战略的选择及其实施,华东师范大学学报,2003,(2):95~98
[73] 彭建刚、韩忠伟,城市商业银行对城市经济支持程度的实证分析,财经理论与实践,2002,(5):33~37
[74] 景乃权、陈姝、李绍杰,论商业银行的发展新趋势,国际金融,2003,(7):37~40
[75] 李卫玲,巴塞尔新协议考验中国银行业,国际金融报,2003,(5):26
[76] 石会文,中小商业银行发展问题研究,武汉金融,2003,(4):18~20
[77] 石磊、赵荣果,上市银行:决胜于零售业务,财经界,2003,(8):47~49
[78] [美]达雷尔·达菲,潘存武译,动态资产定价理论,上海:上海财经大学出版社,71
[79] 孙杰,发达国家和发展中国家的金融结构、资本结构和经济增长,金融研究,2002,(10):14~24
[80] 周大庆,沈大白,张大成,等,风险管理前沿——风险价值理论与应用,北京:中国人民大学出版社,2004,170~171
[81] 田玲,德国商业银行风险管理研究, 北京:科学出版社,2004,69
[82] 王崇敏,商业银行损失消化背后的资金运动分析,金融论坛,2003,(2): 56~60
[83] 彭雪梅,再保险的创新—财务再保险,保险研究,2002,(11), 50~53
[84] 王稳、杨为官,股份制商业银行的贷款集中问题及其矫正,山东社会科学,2003,(4):65~67
[85] 吴大红,信息不对称对中小企业信贷融资的影响,浙江金融,2003,(5): 37~38
[86] 傅安平,从寿险资金运用看其与资本市场的联系,保险研究 2002,(11), 29~31
[87] 夏洪涛、范薇,重组:中小银行之路径选择与制度安排,武汉金融,2003, (7) :20~22
[88] 谢剑平,期货与期权——金融工程入门,北京:中国人民大学出版社,2004,179
[89] 谢平、袁沁吾,我国近年利率政策的效果分析,金融研究,2003,(5): 1~13
[90] 徐斌,关于我国商业银行客户定位问题的思考,新金融,2003,(7): 24~25
[91] 徐建斌、金雪军,信息不对称、信贷制度安排与信贷资源配置,浙江金融2003,(9): 4~7
[92] 薛俊波、腾园,试论股份制银行的异化及其矫正,财经研究,2002,(10):29~34
[93] 姚远,推进信贷业务重组与流程再造,新金融,2003,(5): 13~16
[94] 易纲,中国金融资产结构分析及政策含义,经济研究,1996,(12): 26~33
[95] 袁志刚、何樟勇,20世纪90年代以来中国经济的动态效率,经济研究2003,(7): 18~26
[96] 曾诗鸿、刘煜辉、段辰菊,从国有商业银行的行为分析不良贷款的生成机制,中国软科学,2003,(9): 43~48
[97] [法]简·菲利普·鲍查德,[比]马克·波特,金融风险理论——从统计物理到风险管理,北京,经济科学出版社,10,154
[98] 张健华,我国商业银行的 X 效率分析,金融研究,2003,(6):46~57
[99] 张杰,中国国有银行的资本金谜团,经济研究,2003,(1):30~36
[100] 张圣平、熊德华、张峥、刘力,现代经典金融学的困境与行为金融学的崛起,金融研究,2003,(4): 44~56
[101] 张晓松,西方商业银行贷款风险管理及其借鉴,金融研究,2000,(12),95~100
[102] 张延军,股份制商业银行发展策略探析,中央财经大学学报,2003 ,(4):35~40
[103] 申曙光,现代保险学教程,北京:高等教育出版社,2003,174
[104] 赵光君,金融渗透差异与中小企业融资,投资研究,2002,(10):2~8
[105] 郑先炳,欧洲商业银行的十四个风险管理理念,现代商业银行,2002,(1): 35~37
[106] 郑欣、张博, 新巴塞尔协议对我国国有商业银行风险管理的启示,现代财经,2003,1: 20~23
[107] 彭小强 , 建立健全企业财务预警体系的具体内容 , 商业会计 ,2005, (07A),44~45
[108] 文丽,王贵春,财务信息失真预警监控体系的构建,财会月刊, 2004,(06A): 14~16
[109] 周善乔,提升企业核心竞争力的法宝,学海,2002,(2): 57~61
[110] 邓永录,梁之舜.随机点过程及其应用.北京:科学出版社,1992,122
[111] 米什金,《货币金融学》中文版,北京:中国人民大学出版社,1998,9,91
[112]《新帕尔格雷夫经济学大辞典》中文版第二卷,北京:经济科学出版社,1996,365
[113] 高健,美国金融非现场监管模型的演变及其特征,特区经济, 2005, (7): 215~216
[2] 杨忠直,企业生态学引论,北京:科学出版社,2003,98
[3] 刘国欣,侯振挺,邹捷中.逐段决定马尔可夫骨架过程.长沙:湖南科学技术出版社,2000,108,113,146,147
[4] 王晓易,刘国欣,杨忠直,索赔到达间隔为几何分布风险模型的破产问题,系统工程学报,2006,21,(1):49-54
[5] Asmussen S. Ruin Probabilities.Singapore:World Scientific,2000. 69~70
[6] Basel Committee on Banking Supervision, Best Practices for Credit Risk Disclosure,1998,12
[7] Basel Committee on Banking Supervision, Principles for the Management of Credit risk,2004,10
[8] William R. Melick, Results of the Estimation of Implied PDFs from a Common Dataset,BIS Papers, 1999,(11):2~5
[9] Aziz Ponary Mlima, Lennart Hjalmarsson, Measurement of Inputs and Outputs in the Banking Industry, Zanzanet Journal, 2002, 3,(1):12~22
[10] Thomas Dangl ,Josef Zechner, Credit risk and dynamic capital structure choice, Journal of Financial Intermediation 2004,13, (2): 183~185
[11] David Carse,The banking industry: competition, consolidation and systemic stability: the Hong Kong experience,BIS Papers,2003,(4): 71~74
[12] Daykin,C.D. Practical Risk Theory for Actuaries.London:Chapman and Hall,1994,64
[13] Erwan Morellec, Asset Liquidity, Capital Structure, and Secured Debt, Journal of Financial Economics ,2003,61, (2), 173~206
[14] Allen N. Berger,Robert DeYoung,The Effects of Geographic Expansion on Bank Efficiency,Journal of Financial Services Research,2003,55,(2),163~184
[15] Thomas Dangl , Josef Zechner, Credit risk and dynamic capital structure choice, Journal of Financial Intermediation, 2004,13,(1): 183~201
[16] Rachel Campbell, Ronald Huisman, Kees Koedijk, Optimal portfolio selection in a Value-at-Risk framework, Journal of Banking and Finance, 2001,25,(9): 1789~1792
[17] Michel Crouhy , Dan Galai , Robert Mark,A comparative analysis of current credit risk models,Journal of Banking & Finance 2000,24,(1):59~63
[18] Guo Ke-sha, The Strategic Adjustment of China's Industry Structure in the Next Five Years,China & World Economy,2001,(2):33
[19] Hazel J. Johnson, Prospect Theory in The Commercial Banking Industry, Journal of Financial and Strategic Decisions ,1994,7,(1):73~89
[20] Santos, Tano,Comment on: Credit risk transfer and contagion, Journal of Monetary Economics, 2006, 53,(1): 113~121
[21] James A. Brickleya, James S. Linckb, and Clifford W. Smith, Jr., Boundaries of the Firm: Evidence from the Banking Industry, William E. Simon, Journal of Financial Economics 2003,70,(3):351~353
[22] James R. Barth,Daniel E. Nolle,Tara N. Rice, Commercial Banking Structure, Regulation, and Performance: An International Comparison, Office of the Comptroller of the Currency,2003,115~117
[23] Jiongmin Yong, Rama Cont, Mathematical Finance——Theory and Applications. Higher Education Press.2003,270
[24] Jeremy C. Stein, An Adverse Selection Model of Bank Asset and Liability Management with Implications for the Transmission of Monetary Policy, National Bureau of Economic Research,2003,12
[25] Floros, Nikos I.; Tsetsekos, George P., The impact of credit line announcements on stock prices: Analysis of stated reasons and financial risk, International Review of Economics and Finance, 1996, 5, (3):307~320
[26] Adam, Tim René, Risk management and the credit risk premium, Journal of Banking and Finance , 2002,26,(2): 243~269
[27] John B. Caouette, Edward I. Altman, and Paul Narayanan, Managing Credit Risk—The Next Great Financial Challenge,2004,9~11
[28] Sophie Coutant, Implied Risk Aversion in Options Prices Using Hermite Polynomials1,BIS Workpaper, BIS, 1999,(6),14:6
[29] Pierides, Yiannos A., The pricing of credit risk derivatives, Journal of Economic Dynamics and Control, 1997 ,21,(10): 1579~1611
[30] Coccorese, Paolo, Competition in markets with dominant firms: A note on the evidence from the Italian banking industry, Journal of Banking and Financ, 2005, 29,(5): 1083~1093
[31] Daniel R?sch, An empirical comparison of default risk forecasts from alternative credit rating philosophies, International Journal of Forecasting, 2005,21,(1): 37~38
[32] Instefjord, Norvald , Risk and hedging: Do credit derivatives increase bank risk?, Journal of Banking and Finance, 2005, 29,(2): 333~345
[33] Berlin, Mitchell; Mester, Loretta J., Retail credit risk management andmeasurement: An introduction to the special issue, Journal of Banking and Finance, 2004, 28,(4): 721~725
[34] Nicola Cetorelli1, Michele Gambera, Banking Market Structure,Financial Dependence and Growth:International Evidence from Industry Data, Journal of. Finance, 2001,56,(2), 617~618
[35] Thomas Dangl ,Alfred Lehar, Value-at-risk vs. building block regulation in banking, Journal of Financial Intermediation, 2004,13 (1): 96~131
[36] R. Gaston Gelos and Jorge Roldós, Consolidation and Market Structure in Emerging Markets Banking Systems,Emerging Markets Review,2004, 5(1):39~42
[37] Anurag Guptaa, Bing Liang, Do hedge funds have enough capital? A value-at-risk approach, Journal of Financial Economics , 2005, 77, (1): 219~253
[38] Hans N.E. Bystr?m, Managing extreme risks in tranquil and volatile markets using conditional extreme value theory, International Review of Financial Analysis, 2004,13,(1):133~152
[39] Joseph P. Hughes,Measuring efficiency when competitive prices aggregate differences in product quality and risk, Research in Economics,1999, 53, (1):47~49
[40] Tom Copeland, Measuring and Managing the Value of Companies(3rd Edition),2004,67~71
[41] John Trussel, Default Probability on Corporate Bonds: A Contingent Claims Model, Review of Financial Economics,1997,6,(2):199~203
[42] Noh, Hyun Ju, Roh, Tae Hyup, Han, Ingoo, Prognostic personal credit risk model considering censored information, Expert Systems With Applications , 2005,28, (4): 753~762
[43] 巴曙松,“问题富豪”如何凸现中国银行业信贷管理缺陷?,中国中小企业,2003,(11): 6~8
[44] 巴曙松,中国资本充足监管框架的形成及其市场影响——兼论巴塞尔新资本协议与《商业银行资本充足率管理办法》的比较,财经科学,2005,208,(1):13~14
[45] 陈小宪,重塑商业银行长期发展模式,金融研究,2003,282,(12):23~24
[46] 陈小宪,中国商业银行风险管理的认识与实践,中国金融, 2004,(3):47~49
[47] 陈兆水、李莲香,银行业经营环境的培育和优化,浙江金融,2003,(3): 17~18
[48] 戴相龙,对中国金融改革主要问题的思考,中央财经大学学报,2002,(8): 1~5
[49] 阿诺·德·瑟维吉尼,奥里维尔·雷劳特,任若恩等译,信用风险度量与管理,北京:中国财政经济出版社,12
[50] 杜莉、王锋,中国商业银行范围经济状态实证研究,金融研究,2002,(10): 31~36
[51] 范月、陈立军,中小企业发展与就业增长,广东发展导刊,2003,(2): 24~27
[52] 范方志、张立军,中国地区金融结构转变与产业结构升级研究,金融研究2003,11:36~41
[53] 方贤明,制度变迁与金融机构调整,北京:中国金融出版社,11~19
[54] 福建省金融学会、美国阿波罗金融科技公司联合课题组,信息结构与金融技术支撑:小企业信贷市场的实证研究,金融研究,2003,(11):95~103
[55] 戈德史密斯,金融结构与发展(中译本),北京:中国社会科学出版社,1993,20
[56] 谷建军,试论国有商业银行股份制改造,哈尔滨商业大学学报,2002,(6):45~47
[57] 李汉尧,论我国保险市场信用体系建设,保险研究,2002,(11): 17~18
[58] 韩旺红、杨海,对我国金融中介与经济增长关系的经验分析,武汉金融,2003,(1):28~32
[59] 何桦,我国商业银行信贷经营中风险预警机制的建立,中国城市金融,2003,(6):21
[60] 李静,次级债融资对保险公司的影响分析,南开经济研究,2005,(2):101
[61] 傅安平,寿险公司偿付能力监管,北京:中国社会科学出版社,2004,3
[62] 纪琼挠,麦克米伦缺欠与中小企业政策性融资,金融研究 2003,7:111~116
[63] 江明华,忠诚客户营销实践与我国商业银行竞争力提升的分析,金融研究2003,(6):58~63
[64] 李新章、聂金锁,自有资本与信贷的信号意义:论民营经济发展中的适度信贷约束,金融研究 2003,(12):123~128
[65] 李扬,王国刚,何德旭,中国金融理论前沿 III,北京:社会科学文献出版社,2003,114
[66] 李泽广,融结构趋同、经济增长差异与金融发展模式选择 ——转型国家金融结构问题研究,国际金融研究,2003,(4):32~37
[67] 李松国、张月飞,本利权衡和利益博弈下的行为选择——国有商业银行不良贷款形成机理剖析及其化解途径,金融论坛,2003,(1):10~16
[68] 刘世锦,当前结构调整的重点,金融信息参考,2002,(1):7~8
[69] 刘国欣,逐段决定马尔可夫过程及其在风险中的应用,河北工业大学学报,2004,33,(2) :49~50
[70] 白雪卿,论提高保险公司的偿付能力,保险研究, 2002, (11): 39~41
[71] [美]菲利浦·乔瑞(Philippe Jorion)著,陈跃等译,风险价值 VAR,北京:中信出版社,2005,431
[72] 聂丹,中资银行竞争战略的选择及其实施,华东师范大学学报,2003,(2):95~98
[73] 彭建刚、韩忠伟,城市商业银行对城市经济支持程度的实证分析,财经理论与实践,2002,(5):33~37
[74] 景乃权、陈姝、李绍杰,论商业银行的发展新趋势,国际金融,2003,(7):37~40
[75] 李卫玲,巴塞尔新协议考验中国银行业,国际金融报,2003,(5):26
[76] 石会文,中小商业银行发展问题研究,武汉金融,2003,(4):18~20
[77] 石磊、赵荣果,上市银行:决胜于零售业务,财经界,2003,(8):47~49
[78] [美]达雷尔·达菲,潘存武译,动态资产定价理论,上海:上海财经大学出版社,71
[79] 孙杰,发达国家和发展中国家的金融结构、资本结构和经济增长,金融研究,2002,(10):14~24
[80] 周大庆,沈大白,张大成,等,风险管理前沿——风险价值理论与应用,北京:中国人民大学出版社,2004,170~171
[81] 田玲,德国商业银行风险管理研究, 北京:科学出版社,2004,69
[82] 王崇敏,商业银行损失消化背后的资金运动分析,金融论坛,2003,(2): 56~60
[83] 彭雪梅,再保险的创新—财务再保险,保险研究,2002,(11), 50~53
[84] 王稳、杨为官,股份制商业银行的贷款集中问题及其矫正,山东社会科学,2003,(4):65~67
[85] 吴大红,信息不对称对中小企业信贷融资的影响,浙江金融,2003,(5): 37~38
[86] 傅安平,从寿险资金运用看其与资本市场的联系,保险研究 2002,(11), 29~31
[87] 夏洪涛、范薇,重组:中小银行之路径选择与制度安排,武汉金融,2003, (7) :20~22
[88] 谢剑平,期货与期权——金融工程入门,北京:中国人民大学出版社,2004,179
[89] 谢平、袁沁吾,我国近年利率政策的效果分析,金融研究,2003,(5): 1~13
[90] 徐斌,关于我国商业银行客户定位问题的思考,新金融,2003,(7): 24~25
[91] 徐建斌、金雪军,信息不对称、信贷制度安排与信贷资源配置,浙江金融2003,(9): 4~7
[92] 薛俊波、腾园,试论股份制银行的异化及其矫正,财经研究,2002,(10):29~34
[93] 姚远,推进信贷业务重组与流程再造,新金融,2003,(5): 13~16
[94] 易纲,中国金融资产结构分析及政策含义,经济研究,1996,(12): 26~33
[95] 袁志刚、何樟勇,20世纪90年代以来中国经济的动态效率,经济研究2003,(7): 18~26
[96] 曾诗鸿、刘煜辉、段辰菊,从国有商业银行的行为分析不良贷款的生成机制,中国软科学,2003,(9): 43~48
[97] [法]简·菲利普·鲍查德,[比]马克·波特,金融风险理论——从统计物理到风险管理,北京,经济科学出版社,10,154
[98] 张健华,我国商业银行的 X 效率分析,金融研究,2003,(6):46~57
[99] 张杰,中国国有银行的资本金谜团,经济研究,2003,(1):30~36
[100] 张圣平、熊德华、张峥、刘力,现代经典金融学的困境与行为金融学的崛起,金融研究,2003,(4): 44~56
[101] 张晓松,西方商业银行贷款风险管理及其借鉴,金融研究,2000,(12),95~100
[102] 张延军,股份制商业银行发展策略探析,中央财经大学学报,2003 ,(4):35~40
[103] 申曙光,现代保险学教程,北京:高等教育出版社,2003,174
[104] 赵光君,金融渗透差异与中小企业融资,投资研究,2002,(10):2~8
[105] 郑先炳,欧洲商业银行的十四个风险管理理念,现代商业银行,2002,(1): 35~37
[106] 郑欣、张博, 新巴塞尔协议对我国国有商业银行风险管理的启示,现代财经,2003,1: 20~23
[107] 彭小强 , 建立健全企业财务预警体系的具体内容 , 商业会计 ,2005, (07A),44~45
[108] 文丽,王贵春,财务信息失真预警监控体系的构建,财会月刊, 2004,(06A): 14~16
[109] 周善乔,提升企业核心竞争力的法宝,学海,2002,(2): 57~61
[110] 邓永录,梁之舜.随机点过程及其应用.北京:科学出版社,1992,122
[111] 米什金,《货币金融学》中文版,北京:中国人民大学出版社,1998,9,91
[112]《新帕尔格雷夫经济学大辞典》中文版第二卷,北京:经济科学出版社,1996,365
[113] 高健,美国金融非现场监管模型的演变及其特征,特区经济, 2005, (7): 215~216
© 2004-2018 中国地质图书馆版权所有 京ICP备05064691号 京公网安备11010802017129号 地址：北京市海淀区学院路29号 邮编：100083 电话：办公室：(+86 10)66554848；文献借阅、咨询服务、科技查新：66554700 |