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The Research on Portfolio with Markov Switching Parameters

On 02/10/2014, in Finance, by rain

The portfolio model which is proposed by Markowitz is the cornerstone of modern investment theory. The research on portfolio with Markov switching parameters is the main content of this paper. First of all, we discussed the discrete time LQG complete state information with Markov switching parameters. Secondly, the optimal control strategy of the stochastic LQ control with Markov swiching parameters and its applications are provided in the following part. Additionally, the portfolio of the small investors in a competitive state, under the favorable and unfavorable conditions, is researched in this paper, and the optimal investment portfolio strategy is also provided. Finally, this article involved the conditional ruin probability with Markov switching parameters as well, and we made a further research on it under the condition of the stochastic interest rate.This thesis includes six chapters as follows:(1) In chapter1, we summarized significance of the research and a brief introduction of the main results in this thesis is given out and so on.(2) In chapter2, we give out the main tools, lemmas and definitions involved in this paper.(3) In chapter3, considering the influence exerted by regime-switching on the state of the model, Markov chain is introduced into the original model of the discrete time LQG full state information. Utilizing Behrman dynamic programming method, the optimal control strategy is obtained.(4) In chapter4, considering the influence of the state in the classical stochastic LQ control model, this paper extends the model to a jump-diffusion model, meanwhile, a jump-diffusion stochastic Riccati equation and a continuous-time stationary Markov chain are introduced. Then, by applying random variational method, the optimal feedback control of the model is obtained. As applications of the stochastic LQ control framework with Markov chain in the finance market, two examples ware given out in the last part of this chapter.(5) In chapter5, in the financial market, we discussed the investment strategy selection problem under a special condition that there are only two sties securities:one risk securities, and the other risk free securities. Under this condition, both small investors (A and B) should invest on risk free securities and one style risk securities. Under the favorable and unfavorable conditions, introducing Markov chain into the risk price expression, we studied the portfolio selection model and obtained the optimal portfolio strategy.(6) In chapter6, we introduce a Markov chain and extend the Reserve processes to a jump-diffusion model to study the ruin probabilities. By using formula and Martingale method, a partial differential equation satisfied by the finite time horizon conditional ruin probability is obtained. After that, we change the interest in the previous model into a random process and restudy the ruin probabilities.

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Securities Company Compliance Management System Research

On 25/09/2013, in Finance, by rain

A review of China Securities Industry for nearly ten years of development history, the domestic securities company has gone through the initial stage of exploration, blind expansion, industry crisis and comprehensive management after conventional development period, especially since2002, domestic securities companies violations occur frequently, systemic risk on the show, because loss is severe and the capital chain rupture resulting in a large number of firms to enter the industry to rectify or enter bankruptcy liquidation. Summary of domestic securities company risk management lessons, establish an effective compliance risk prevention system has become an important research topic.The article analysed our country securities company compliance management present situation and the existence question, and China’s compliance management system and the foreign mature securities market in compliance management organization structure and management model were compared, on the basis of the Qilu Securities as a typical case, the compliance management, compliance management system research and Analysis on Qilu Securities, the compliance management system implementation and guarantee measures.For securities companies risk excessive restraint affects profits, create value for shareholders too small, and securities companies too much involved in risky business is bound to increase the capital market risks, therefore, securities companies in the risks and benefits of matching to achieve maximum value, of the securities company’s steady operation has practical significance. Therefore, this paper innovatively introduces the theory of value creation and compliance risk control combination, to Qilu Securities as a typical case, the EVA index and RAROC index applied in Qilu Securities compliance management of securities companies in the comprehensive evaluation of exploration, compliance risk control and value creation and the relationship between, and analysis of Qilu Securities and regulation of risk control and value creation the relationship between general method framework, we hope to be able to China’s securities companies to establish compliance management system, promote the steady development of compliance management provides the beneficial reference and help.

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The International Comparison of Banks’ Operational Risk and the Revelation for ‘A’ Bank

On 25/09/2013, in Finance, by rain

According to the New Basel Accord, operational risk is what caused by imperfect or uncontrolled programs, people, system or external events that probability threat to loss. Legal risk is contained but strategic risks and reputation risk is not included. Operational risk has become top three risks of commercial banks that can be matched with credit risk and liquidity risk as many great risk events have occurred in domestic and abroad.Many mature management theories and rich practical experiences have established already since much more attentions have been paid to operational risk. But due to establish relatively late, China has fall behind in operational risk management these years. So it has some realistic significance to contrast research operational risk of domestic and international commercial banks completely, find out the problems that China’s banks encounter in practical operational risk management, and finally give out reasonable countermeasures and suggestions.Actual demonstration analysis and comparative analysis are major study methods in the article.The author chose A bank as object of study. The paper is divided into seven chapters as following.The first part is introduction, which focuses on raising question, illustrating the background of the paper’s topic choosing and its significance, and putting forward its framework. Secondly, operational risk is defined, and the detail definition of international theories about it is also given. Chapter three is the data characteristics and the cause of comparison of risk loss. The fourth part is the comparison of operational risk management, which means to conclude advanced experience like Deutsche Bank and City Bank and find out the problems that exist in most of domestic banks. Part five introduce operational risk status of A Bank, and management frame and its drawbacks are also involved in. Part six is what the solving way to promote the operational risk of A Bank, which contains internal constraint and external supervise. Chapter seven is the final conclusion which gets by the former analysis.

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On the Instirutional Risk of Commereial Banks Credit Operation in China

On 25/09/2013, in Finance, by rain

After nearly30years development, especially into the21st century, China has gradually integrated into the wave of financial globalization, China’s banking industry has achieved a great development,whether in the variety of business, the scale of development, or the innovation ability and management level.In recent years, in the environment of our country’s economic growth, the state-owned commercial bank constantly increasing the supply of credit, the credit risk management of commercial banks has increasingly become the important contents for sustainable development. Especially in the current complex and volatile international economic and financial situation, China’s commercial banks still need to Crossed the barrier–the quality of loan,in order to maintain a good momentum of sustainable development.By observing the growth process of the Bank of China, Industrial and Commercial Bank of China, China Construction Bank and Agricultural Bank of China, we find that the Development of four banks in Stock market is closely linked to the Government to inject huge sums of money stripping the non-performing loans. Moreover, the current proportion of non-performing assets of state-owned bank will continue to downward, and the new non-performing loans continues to increase, the control of the quality of credit assets has become a very important day-to-day work to commercial banks. Especially in recent years, with the changes of national macro-control policies, market conditions and business, the credit risk of commercial banks showing new features and new trends. How to improve the management mechanism and effectively prevent and resolve the credit risk are the current problems that commercial bank need to be solved. Through the analysis of the cause of non-performing loans of state-owned commercial Banks of our country, the author find the non-performing loans produced by the institutional risk accounted for larger proportion and the business bank of our country faces from all aspects of the institutional risk.The main significance of this thesis lies in finding out effective way to improve the quality of assets of commercial bank through the analysis of a variety of institutional risk that China’s commercial bank facing in the course of credit management.The institutional risk be analyzed in this thesis includes not only the commonly referred to as macro-economic system risk but also the medium industry system risk and micro enterprise management policies and the risk of the bank’s internal operating system. The purpose of this thesis is to enhance the credit and risk management ability of China’s state-owned commercial bank comprehensively. It highlight the combination of theoretical research and applied research, makes multi-disciplinary knowledge together and play the advantages of comprehensive research. With this, it enhance the comprehensive, applicability and operability of the research results.The thoughts of this thesis can be listed as follows:It elaborate the theoretical connotation of the institutional risk in commercial bank credit business at first. Then study the theoretical roots of the formation of commercial banks institutional risk under the market economic system. It analyzes the characteristics of the institutional risk in China’s state-owned commercial credit business from both internal and external. It gives further analysis of the process and produce mechanism to various types of risk and uses empirical analysis method to draw research conclusions. At last, it gives policy suggestions of the ideas and strategy to the institutional risk prevention in China’s state-owned commercial banks. The thesis draws on predecessor’s research achievements and gives my new opinions.

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Operating Performance Analysis of the Four Major State-owned Commercial Banks

On 25/09/2013, in Finance, by rain

With the development of market economy, people has paid more and moreattention to the financial industry, because its rise and fall have exerted an enormousinfluence on the development and stability of the overall economic.The Commercialbank is the main body of the financial industry. Its business performance is in part areflection of the macro economy development, on the other hand,that is influenced bythe physical economic.So it plays the role as the “regulator” and the “mirror”. Thehistory of commercial bank is very long, and its management mode also undergoesseveral changes, from the initial assets management to off-balance sheet management,the attention of performance evaluation also transferred accordingly. Therefore, thefinancial analysis and the performance evaluation of the commercial bank can help usunderstand the condition of business development, looking for advantage andproblems to lay a solid foundation for the future development of commercial banks ofChina to form a unique core competitiveness and win victory in the increasinglyfierce competition.This article is based on the above reasons, using the financial index system to givea comprehensive explanation and analysis about the performance of commercialbanks by means of case study, and selecting four major state-owned commercialbanks of China (Bank of China, Agricultural Bank of China, Industrial andCommercial Bank of China, Construction Bank of China)2010annual financialstatements as the analysis objects. Firstly, compared financial indicators which aredisclosed in the listed bank statement with the performance evaluation indicators ofgeneral industry enterprise, and making an analysis of the difference from the angle ofindustry specific, pointing out the defects of the financial indexes disclosed bycommercial banks. Secondly, since the bank’s management focus on profitability,safety, liquidity, this article complements and reclassify the existing financialindicators in these three aspects. According to the intrinsic meaning of the indicators,financial indicators are divided into four aspects as profitability, capital security, riskmanagement and operational efficiency, then discussing the relationship between the specific indicators and various types of indicators briefly. Thirdly, apply there-classification index system into the operating performance evaluation of four majorcommercial banks of China to identify their shortcomings and advantages in themanagement. At the same time of comprehensive analysis, pay attention to theindicators which reflect the unique attributes of the commercial bank management.Finally, evaluating the current business, risk management, cost control situation of thefour banks, and give the recommendations to improve the performance ofCommercial Banks. In addition, make outlook combined with the development trendof banking industry of China.The starting point of this article is not to reconstruct a new performance evaluationsystem, but rather focuses on the complement and re-classification of the existingfinancial evaluation and apply it to the comparative analysis of the performance ofcommercial banks. The object is to help stakeholder understand how to use financialindex this objectivity performance evaluation tool to in-depth analysis of commercialbanks operating conditions.This article has strong practical value.

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An Analysis of Predictive Ability of Securities Analysts’ Reports in China

On 25/09/2013, in Finance, by rain

Securities analysts’ reports provide investors with clear investment advice through “buy”,”neutral””sell” rating. Do analysts’ recommendations have predictive ability? In other words, whether investors can gain superior profits by following analysts’recommendations, this issue has long been concerned by investors and researchers.In order to test the predictive ability of the Securities analysts’ reports, firstly, this paper analyzes the main factors which may affect analysts’ predictive ability, then using event study tests the overall predictive ability of Securities analysts’reports based on a sample of81512research reports released by the domestic securities companies from2006to2011. Finally test analysts’ predictive ability under different market backgrounds, different Securities companies and different analysts.This study finds that Securities analysts’reports have predictive ability on the whole, the actual return rate of the stock conforms analysts’rating. However, there is no accurate corresponding relationship between the superior profits and the intensity of analysts’ rating, study shows that the reasons for the predictive ability are various, the predictive ability of “buy” and ” increase ” rating come from the information hypothesis, but the predictive ability of “reduce” and ” sell ” is mainly due to the price pressure.When divided the market background into bull market, banlance market and bear market, this study finds optimistic rating (“buy” and ” increase “) has best predictive ability in banlance market, has similar predictive ability in bull and bear markets, pessimistic rating(“reduce” and ” sell “)also has best predictive ability in banlance market, followed by bear market, has worst predictive ability in bull market,”neutral” rating has similar predictive ability under different market background. When Categorized reports according to the securities company rating, this study finds class AA securities companies can impact the stock price through its own market influence in the short term, induces price changing according to the stock rating, class A and B securities companies’ different stock rating have equal predictive ability, class C securities companies have worst predictive ability among all the securities companies, When Categorized reports according to analysts’s reputation, this paper finds famous analysts’ optimistic and pessimistic rating have stronger influence to the stock market than the unfamous analysts’ rating, however, this influence become weak in one month, famous analysts and unfamous analysts show similar predictive ability after one month.

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Research on Evaluation Method of Chinese Securities Investment Fund Performance

On 25/09/2013, in Finance, by rain

Development of Chinese securities investment fund has been more than10years. In recent years, the fund industry developed quickly, and the size of the fund grew geometricly. Now, it has reached its fore billion times. With the constant development of our economy, fund products demand increased, so the securities investment funds in the capital market gradually showed its positive and important. But China’s fund market was not mature, system was not perfect, fund operation and management level was uneven, and difference between fund products performance was bigger. Even if the same management company, market performance of its different funds was quite different. What was the reason affecting the performance of the fund. How to comprehensively evaluate of fund performance. These problems should be solved urgently. Therefore, this thesis chose these problems as its purpose and direction.This paper compared some fund performance evaluation methods, summarized their advantages and disadvantages. Based on these, in this paper, we proposed fund performance evaluation method with subjective and objective restriction which was a comprehensive evaluation method of fund performance, and based on the information entropy and particle swarm optimization algorithm, a fund evaluation system optimization method also was proposed. According to the fund performance and its influencing factors, this thesis selected six categories and thirteen indicators such as the fund risk, income, risk adjusted return, fund, fund manager ability level and so on. Through the establishment of the model and optimization method,10funds in the2009annual performance was comprehensively evaluated, and the performance ranking of10funds in2009was given comprehensively. The results show, the proposed method was feasible, can take into consideration the subjective desire and objective manifestation of fund investors, and can gave the fund performance evaluation.

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The Analysis on the Impact of RMB Exchange Rate’s Appreciation to Shandong’s International Trade of Agricultural Products

On 25/09/2013, in Finance, by rain

In the past few years,RMB exchange rate appreciation has become a hot topic at home and abroad, especially after the financial crisis, the appreciation of RMB has been an important factor which cannot be ignored in foreign trade. On July21,2005, the people’s bank of China declared that our country begins to execute a kind of managed floating exchange rate system based on market supply and demand,”with reference to a currency basket. The exchange rate of the yuan will no longer be pegged to the dollar, forming a more flexible RMB exchange rate mechanism.At the same time,the yuan against the us dollar rose by two percent,the transaction price achieving8.11yuan for1dollar. Appreciation process of RMB started.Since the exchange rate reform in2005, the exchange rate of the yuan against the dollar has continued to climb, breaking through8and running to “six times”.Yet, as the dollar depreciate significantly,considering the comprehensive international and domestic reasons, many scholars believe that the yuan is still under great pressure of appreciation.The appreciation of RMB has become an inevitable trend.By2011, RMB exchange rate has reached6.3yuan for1dollar.The appreciation of the renminbi has different effects in different industries in China. Import and export of agricultural products is an important traditional industry of China,which has a close connection with people’s life.As a big agricultural province,Shandong province plays a crucial role in China’s export of agricultural products.Also,agricultural products export trade is very important forShandong to create more jobs, improve people’s life and realize sustainable development.So,studying the inner relationship between RMB appreciation and agricultural products import and export is meaningful to exporting agricultural products for more foreign exchange and formulating trade policies.Classic literature about the appreciation of the RMB mainly focuses on the following two aspects:one is whether the exchange of RMB should appreciate or not; the other one is various impact of RMB appreciation.The second aspect,from macroscopic perspective mainly concentrates one the economic production, the total amount of import and export trade, trade structure and employment,an so on.As for the impact of RMB appreciation to a specific industry, especially to provincial agricultural product export,relative study is deficient. Based on the background that agricultural exports of Shandong province has a special position in China, this paper,combining theoretical and empirical analysis methods,studies the relationship between RMB appreciation and exports and imports of agricultural products in Shandong province.

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Measuring the Speculation of China’s Stock Market

On 25/09/2013, in Finance, by rain

In this article first defines the definition of speculation in stock market, and analyzes theadvantages and disadvantages of speculation in stock market. After analyzing theperformance of the stock market speculative, we selected the exchange rates, PE, book value,stock index day volatility, turnover volatility of daily price, the number of fell more than7percent of the stock as a measure of the proxy variable of the degree of stock marketspeculation, the first three of these indicators as proxy indicators of long-term speculativefactors, four proxy indicators of short-term speculative factors. Take over of the proxyindicators of the three long-term speculative factors, and select the corresponding theoreticalvalues; also a brief description of the last four indicators.In determining the index weight, we analysis the advantages and disadvantages of objectiveweighting method and subjective weighting methods. In the final use objective weightingmethod based on the subjective weighting method to give the weight of the indexes,construction the speculation of stock market. Then use speculative index measure the degreeof China’s stock market speculation, found that in the long term there has a more seriousspeculation in China’s stock market, but looked from the short-term China stock marketspeculation is also very active. Then use the exchange rate to test the speculative indexmeasurement, but also but the exchange rate and fluctuation of stock index two indexmeasurement the most serious of the three time periods in which the results of speculativespeculation index measurement, the test results confirmed the speculation indexmeasurement results. Finally it is pointed out the quality of listed companies is not high, thestock functional position is unreasonable, short and withdrawal mechanism, the irrationalinvestor structure are the long-term speculation factors. Investors exist rich psychologicaland herding behavior of institutional, manipulation, regulation is lax are the short-termspeculative factors because. In view of the above the stock market speculative reason, shouldimprove the quality of listed companies, to reduce government intervention and play a rolein regulating the market, strengthen the education of investors, strengthen securitiesregulation.

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Analysis on the Effect of Property Tax Reform in China

On 25/09/2013, in Finance, by rain

In recent years, with the development of the economy and society, the price of commodity houses has doubled and redoubled. The housing problem has been a focus. Our government has been taking measures to regulate the housing market. The approach using the tax as a tool for controlling the price of commodity houses grew out of the real estate tax which was presented in the Third Plenary Session of the16th Central Committee in2003, and by the widely and deeply research studies of the academics and the relative authorities of China, graded into reforming the property tax in existence to levy a tax on those non-business used houses that are under individual ownership. In2010, the National Development and Reform Commission posted Comments on the key tasks for deepening the reform of the economic structure in2010which said to advance the property tax reform, and then experimental reforms of property tax have been launched in Shanghai and Chongqing since2011. Gradually, the property tax reform has become increasingly attractive to all social circles.According to the summary of the important achievements of experts and scholars from home and abroad in the field of the property tax, this thesis analyzed the estate supply-demand contradiction and flaws in the current property tax with the conditions of the current domestic housing market, and indicated that the current property tax had not regulated the housing market effectively because of its limitations in whether timeliness or coverage. Also, the author expounded the necessity and immediacy of the property tax reform.The innovation of this thesis lies at its heart. Firstly, according to the economic theory, the author analyzed the effect of property tax on the housing market and divided the demand into three type:housing supporting demand to guarantee the basic needs, housing improving demand to live better and housing investing demand to make a profit. According to the analysis of the characteristics of the three types of the demand, the effect of the property tax to each type is clarified. Thought the tax would take little effect to the price of the commodity houses, it will make the different demand balanceable so the property tax would serve a useful purpose to the development of the housing market. Second, the author has selected the monthly data from1999to2010 and used the VEC model and impulse response function method to make the empirical research. The result is that the merely increasing of the housing demand would not break the balance in the housing market and neither the price nor the tax would be changed but both the supply and the demand would be reduced simultaneously In the short term, while the tax would not make effect constantly In the long term because the new balance of supply and demand would be formed. All conclusions above provided the theoretic proof and basic for the property tax reform.The author found that the system design and the policy formulation of the property tax would influence the effect of the tax. So in the three part of the thesis the author made contrast research to the current tax design, and teased out the questions during the reform. On the basis of research achievements from the related literatures, the designs of the pilot tax in Shanghai and Chongqing has been analyzed in the thesis to compare advantages and disadvantages of the two designs for future reference. Finally, the author described some questions which need some clarification in the research of the property tax reform, which contained the legality, placement of the reform and the position in the whole taxes system. As well as, the thesis proposed some policy recommendations that the support demand should be protected and the difficulties of taxation administration should be considered.

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