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With the fast development of Chinese insurance industry, insuranceco…

On 17/10/2014, in Economics papers, by rain

With the fast development of Chinese insurance industry, insurancecompanies gradually tend to focus on the quality of the businessdevelopment as well as risk control and prevention to steadily improveeconomic efficiency, As for the insurance industry, Economic Capital isthe capital they should hold to deal with the unexpected risk. EconomicCapital becomes the popular internal capital Management frameworkand ERM tool in global insurance industry, and also already getinsurance companies’ and regulators’ approval in the home. A keyproblem that insurance industry measure total Economic Capital is risksintegration. The traditional measuring methods in the literatures oftenuse simple risks dependent hypothesis to integrate risks, such ascompletely related or linear correlation of risks. In fact, thediversification of modern insurance products and the complicated ofinsurance contracts make risk measurement be not able to accuratelydescribe the various and complex relationship of risks under the linearrelated assumption. So these cant accurately give Economic Capitalvalue.Copula functions (also called connection functions) are widelyused to measure the dependency relationships of variables. Thedevelopment of Copula functions and related theories providestheoretical basis and quantitative methods for insurance industry tocalculate Economic Capital by Copula functions. The accuratemeasurement of the insurance industry’s Economic Capital is helpful tomaintain a reasonable asset scale and reduce unnecessary assets. Itcan also enhance the flexibility of the assets Investment which willincrease assets Investment returns as well as improve shareholders’value and benefits of the insurance companies.Measure the given period expected maximum loss in a confidence level commonly uses VaR(Value at Risk) method. According to describethe characteristics of “risk” or “loss”, we also can calculate TVaR(Tail-VaR). Through collecting, sorting and analysing the compensationdata of the Health insurance and life insurance, we get Frank Copulafunction to simulate dependency structure between the healthinsurance and life insurance. Monte Carlo simulation is used to estimatethe VaR and TVaR of the Economic Capital. When the life insuranceindustry compensation amount to the minimum value, the healthinsurance policies take up the optimal proportion of the whole policiesof life insurance industry. Based on this, we get the amount of EconomicCapital and the proportion it accounts for the premium income of lifeinsurance industry. It is our life insurance industry need in November of2011to cover unexpected loss and face risk impact. The measurementof Economic Capital based on Copula functions provides referenceand basis for insurance supervision department to regulate lifeinsurance companies.

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Bound VaR and EVT Risk Management Model and Its Empirical Research

On 08/10/2014, in Economics papers, by rain

There are different types of financial risks, e.g., market risk, credit risk, operational risk, liquidity risk, business risk, etc. Managing these risks to minimize potential losses is essential to ensure viability, profitability and good reputation for a financial institution, especially when the financial crisis occurs. Value at Risk (VaR) method provides a single risk measure, which can measure the overall risk for financial institutions. However, most of the time financial returns exhibit fat-tails, skewness, kurtosis and other departures from normality. The traditional VaR measure, based on the assumption that portfolio returns are normal distributed, not only overestimates the market risk during market calmness, but also has difficulty in controlling the market risk during market crashes. In order to deal with the fat-tail problem, there are three common approaches. The first one is called nonparametric technique, including historical simulation and Monte Carlo simulation methods. The second is parametric technique. This method constructs a conditional-normal model, based on ARCH/GARCH model. The third is Extreme Value Theory (EVT) method.In recent years, the trading accounts at large financial institutions have grown rapidly and become more complex progressively. In this situation, a portfolio in its trading book may includes hundreds of trade positions, which suffer huge potential losses from hundreds of risk factors. At this time, computing the profit and losses (P&L) distribution of the portfolio will be a tough task. Since the suggested approaches mentioned above are always complex and computationally heavy, we want to find a new approach, which is fast, straightforward and computationally easy. Luciano and Marena presented a quick-to-compute VaR bounds as an alternative to these three methods for VaR assessment. This approach can cope with any distribution for marginal returns, including the fat-tailed ones. We do not require hypothesis on the joint distribution or its dependence structure. This method not only requires little information, but is also easy to compute. In this paper, the VaR bound method and EVT method are applied to study the risk of domestic stock market and the risk of domestic future market. Corresponding policy proposals for risk Management are discussed.The innovation in this paper lies in three parts: First, we evaluate the performance of VaR risk model in domestic market. At the same time, we provide a detailed analysis on the violation clustering phenomenon of domestic market, and discuss the corresponding model back-testing procedure, which is also used to test the performance of bound VaR method during market crisis. In the second part, we incorporate the liquidity risk with the market risk and then evaluate the margin level setting in domestic future exchange by the EVT and bound VaR approaches. In the third part, we consider the diversity effect in the portfolio of future contracts. Considering the diversity, we find a balance for the future margin level setting, in the trade-off between little risk and higher efficiency of the capital.

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Study on Owner’s Risk Management of Overseas Embassy and Consulate Building Projects

On 04/10/2014, in Economics papers, by rain

Overseas Embassy and Consulate Compounds (ECC) not only serve as working and living places for diplomats , but also represent our international image, comprehensive national strength and characteristic culture. The evaluation,approval, design and execution of ECC building projects constitute complicated systematic processes. The factors that ECC building projects are executed abroad and directed by related department in China make them more vulnerable to various risks.Applying the theory of Total Risk Management and the writer’s practical experience in the field of ECC building projects Management,this article identifies and analyzes both subjective and objective risks throughout ECC building projects from the Owner’s perspective,and concludes that all risks eventually belong to the Owner and the Owner shall bear in mind risk Management. On that basis,this article explores optional measures for the Owner and believes:it is fundamental to avoid decision making risks and project evaluation and feasibility study should be more comprehensive; Distributing risks rationally leads to effective risk management, contract management must be strengthened and competent project design, construction and supervision teams shall be selected through scientific processes; Modern risk deflection methods such as bond and insurance shall be applied more actively;It is advised to enhance standardized project management and information technology application for the purpose of minimizing subjective risks. It is decisive to select the right project management strategy based on project risk analysis,which is dealt with in the related chapter.

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The Performance Investigation and Risk Management of the Banking Industry in China

On 04/10/2014, in Finance, by rain

Nowadays,the bank is the core of the financial community in the world, theoperation of a country’s Economic is closely related with the bank’s development. Atpresent, the state-owned commercial banks have restructured already, foreign bankscontinue to emerge, in this case, the bank’s performance have become the issue thatthe financial industry most care about.So improving the bank’s performance is thekey to maintain stable Economic development,also the key to improve the bankingmarket competition.Based on this, this paper discusses the influence factors of the commercialbanks’performance in China.First review the international research’s literature onbank performance, then discuss the measuring indicators and methods of bankperformance. And on this basis,the impact factor of bank performance are studiedbased on the theory and evidence: profitability, Management ability, the developmentof capacity and safety. Then this paper determines which factors play a key role inbank performance,thus proposes on how to improve the performance of commercialbanks in China.In addition, on the basis of the research of the bank performance, this paperassess the banks’ risk by introducting the VaR model. As a kind of the quantitativeanalysis tool, VaR model is, in recent years, widely used as a financial riskmeasurement technology in the international financial domain. That it’s a quantitativeanalysis method,makes risk Management objective and scientific. This paper mainlyby combining the performance and VaR model, assess a bank whether there is anyrisk in China, and put forward the VaR model in China’s banking industry in the useof risk management.The conclusion of this paper is that the bank performance is influenced byprofitability, management ability, the development of capacity and safety. Profitabilityis the most important factor.Management ability is the second one.Next is thedevelopment of capacity.The last one is safety. With the help of the VaR model, theauthor find that the16banks’ performances are good and the market performance isalso good. The risks of these banks are at a low level, the degree of risk managementmay be appropriately lower.

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Calculation of Pledge Ratio in Commercial Banks Based on VaR Method

On 04/10/2014, in Finance, by rain

The NPA (non-performing asset) in China’s banking industry has beenaccumulating from1990s while the booming growth of economy. The whole industryis under the burden of rising NPL (non-performing loan) ratio. In addition, with theto be improved internal credit rating system in China, it is quite difficult to measurecredit risks. As a result, commercial banks in China tend to avoid unsecured creditload and also start to favor carrying out mortgage loan business. Stocks and realestates hold a large proportion in the pledged assets of China’s commercial banks. It isan important task for whole China’s commercial bank industry to identify and preventrisks in stocks and real estates pledged loans by analyzing pledge rates of these assets.The author reviews the research background and significance of credit risk. Thisarticle summarizes the implication of stocks and real estates pledged loan, VaR,EGARCH model, etc. The method of analyzing pledge ratio using VaR is alsoelaborated in this article. An empirical research has been carried out based on finaldaily close prices of54representational stocks and monthly prices of real estates in8different areas. For stock prices with normal distribution, VaR can be calculatedthrough expected yield and volatility estimated from EGARCH model. For real estateprices with unknown distribution, VaR can be estimated by historical simulationmethod, and further calculated the pledge ratio as used for pledge loan.The result indicate that commercial banks will face lower loan risks whilechoosing lower pledge ratio assets, but relatively with less profit. Therefore,determination of optimal pledge ratio will not only help avoiding risks, but also be aneffective method to bolster profits.

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Risk Management Research of the Ubiquitous Telematics Project Based on Mobile Cloud Computing Technology for Beijing

On 04/10/2014, in IT papers, by rain

Ubiquitous Telematics device can make effective oversight of the car runningperformance, and provide integrated information service mainly focuses onreal-time traffic information service for vehicles. The servicesprovided by the ubiquitous telematics system, including the vehicle’s safetyprotection after a collision, accident Management, safety inspection service,emergency assistance service, stolen vehicles positioning service, remote emergencyopen vehicle door, park assist and dynamic intelligent voice navigation. Theintegrated information service which mainly focuses on real-time traffic informationservice can provide a comprehensive intelligent navigation service and safe drivingauxiliary for travelers. The Social benefit of the real-time traffic information service isvery significant, not only shorten the travel time effectively but also reduce carbonemissions and guidance of the urban traffic congestion.The ubiquitous telematics project is a high risk and high investmentin the emerging information services industry, furthermore the profit model andmarket prospects are not clear. Therefore, Risk Management Research of theubiquitous telematics project has very important role. The paper uses riskmanagement tools and techniques to manage risk, provide riskmanagement guidance for the project decision-making.The paper adopts risk breakdown structure to identify risks, and use fuzzycomprehensive evaluation method to quantitative analysis of project risks. Accordingto the results of quantitative analysis of project risks, the paper presents theeffective project risk response strategies. In the risk response strategy, the paper applied cloud computing knowledge toanalyze risk countermeasures, moreover, integrate the new technological which isbased on the development of Computer into risk management. This article is basedon risk identification and quantitative risk analysis, made necessary precautionsagainst the main risks of the project to reduce the disadvantageous influence of riskto the project. High-tech risks and knowledge of risk management are keyelements of the risk management research of ubiquitous telematics.

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Study on Risk Assessment and Measures of N Waterworks Construction Project

On 04/10/2014, in Management, by rain

In construction project Management process, often encounter many risk or manyobstacles, the incidence of these adverse conditions will affect the progress of the project, aswell as causing project delay delivery, or completion of the project results are poor, orfunction design not achieve the project, the project construction costs far exceeded the initialconstruction projects and so on. All this force people to project risk degree of attention paid toascend to the unprecedented levels. Although the construction project risk is morecomplicated and difficult to grasp, but with the level of project risk Management theory andpractice of capacity, Project risk not only can be qualitative and quantitative analysis, but alsothrough the risk aversion, risk control, risk transfer method tries to deal with. As a manager ofthe project, you should control the risk in the project successfully in order to succeed in theproject. In other words, you should research and emphasize particularly on the different riskin the different phases and excogitate the methods to keep away the risk. By these methodsthese loses can be reduced to zero, the project can be succeed and the output can produce thebest possible results.In the contemporary era, the project Management and the method of evolution in theproject management have developed relatively into maturity, but as an important branch theresearch about the risk management in the project is in immaturity. As a result, in this study,based on risk management theory, through practical case study methodology, and analysis ofconstruction project management in N waterworks practical problems, described the impact ofthese problems and these problems summarized as follows: natural risk, Economic risk,management risk, technology risk. In combination with the practice of construction project Nwater accumulated experience and the related theory, to N waterworks construction projectrisk assessment to the mainstream, risk management theory of the Basic measures: riskaversion, risk control, risk transfer, risk retention owned, etc as the foundation, to Nwaterworks construction project risk assessment results to improve N waterworks buildingproject risk management problem measures.Results of the study can provide some new ideas to deal with the risk for the generalconstruction industry project managers. It also helps to improve the construction project ofwater project investors in the development process of risk identification and evaluation in thedevelopment of practice, strengthen risk concept. Water project construction is a dynamicprocess, includes many risk factors. Strengthen risk management helps to many investors toidentify risks and evaluation, recognize risk essence, measures to ensure the success of the project construction of waterworks.

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Collaborative Design Project Risk Management of HVAC System

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

With the rapid development of Economic and Social, the user needs personalizedincreasingly, and market changed faster and faster, so design enterprises should makefull use of network-centric information technology to integrate the various businessand community resources and use all kinds of off-site distributed resources to enhancethe design capability and competitiveness of themselves. By cooperative designapproach, a new collaborative team working model can be formed based on virtualdesigning organizational network to provide an integrated and efficient workenvironment for the HVAC (Heating Ventilation and Air Condition) systemdevelopment. In this paper, collaborative design Management issues of HVAC systemare discussed, and the main are as follows.Firstly, a cooperative design risk Management framework of HVAC system isproposed, with its system implementation. Combined with the HVAC designproblems of designing companies, and issues in synchronization, coordination andmanagement in off-site product development, a cooperative design risk managementsystem of HVAC system is built. The model includes several aspects: project-centereddesign conflict and risk Management, virtual designing organizational system withman-focused design management, management processes including managementprograms and procedures on the basis of work flow, risk-based remote collaborativerisk, quality and cost management system. The system establishes a service-orientedarchitecture and workflow engine technology based on business application practice,to complete the coopeartive design framework of HVAC system for enterprisedeployment management and Engineering applications, to achieve optimum designresource allocation of human, finance, and materials.Secondly, risk identification and assessment model of HVAC system design is put forward. Through empirical research, conflict and risk factors may be in the HVACsystem co-design are summarized. By analyzing related data and risk sources, severalkey risk factors and risk variables in a HVAC system co-design are presented, and asix-demension risk assessment index system of HVAC system co-design is builtinsluding risk probability, harm, proiroty, testablity, controllability and inforamtionasymmetry to quantitativly evaluate risk by Analytic Hierarchy Process(AHP). As forthe inforamtion asymmetry of parties involved in HVAC system co-design, thereasons for the existed conflicts and risks can be further explored by game analysis,and comprehensive risk management measures are proposed to ensure interestbalancing and collaboration of all parties in collaborative design process.Lastly, according to practical problems of collaborative risk management of HVACsystem, a comprehensive cooperative optimizating model considering risk, qualityand cost is proposed. A design quality evaluation system is also built including boththe traditional HVAC design quality requirements, and new quality requirements tocoordinate with environment composing of energy, materials, environmentalprotection, full life-cycle maintenance and others. Then, the game activities betweenquality and risk, and between cost and risk are discussed especially, resulting in acomprehensive optimization objective function of the whole risk management systemsolved by Genetic Algorithm (GA). The proposed model emphasizes customer-centered, constraint by reasonable quality cost, fullly analyze and design the overallrisk of HVAC system in the early stage of product development, to achieve areasonable cost business practice with higher quality and lower risk of HVAC designby multi-objective management.

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Research on the Risk Management of the Real Estate Investment Fund

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

With the rapid Economic development, real estate industry has become China’sbasic industries, and has become the dominant Economic sector. In recent years, realestate has become a new growth point of China’s national economy, the real estateindustry as a pillar industry of China in promoting national Economic developmenthas played a pivotal role, is the country’s economic development thermometer. Tosome extent,China’s economy the healthy and rapid development is depended on thehealthy development of the real estate industry. The rapid development of the realestate industry also led to the development of downstream industries such asconsumer durables, building materials and other consumer, to promote the activeconsumer market, and even the overall economic growth. Real estate is a typicalmoney-driven industry. Since2003,the tightening trend of bank loans for real estatecompanies has emerged. In recent years the state has continuously raised throughmacro-control lending rates, the rising cost of real estate financing. On the otherhand, a large number of domestic private capital, but the lack of reasonableinvestment channels, so many small investors can not invest capital into the realestate industry, real estate industry can not share the benefits of rapid development.Well as an effective tool to resolve these contradictions, REITs will be launched inChina and REITs will be the major driving force of perfecting capital market andpromoting the healthy development. To the real estate industry and investors insignificant benefits at the same time, real estate Investment trusts of the potentialrisks can not be ignored. How to analyse and manage the risk of REITs effectively,for promoting the healthy development of China REITs has important theoreticaland practical significance.In the new century, as China’s financial markets continue to improve anddevelop their professional financial securities Investment fund advantage, securityinvestment fund has become the most influential institutional investors. In recentyears,risk Management of the Fund has become China’s financial theory in thestudy of one of the hot issues, especially the risk of open-end fund research. Thisarticle draw lessons from open-end fund risk measurement methods and use VaRmethods to measure real estate investment trust market risk. Also this articleelaborates a series of real estate investment trust risk factors, including interest raterisk, market risk, legal risk, operational risk and financial risk. Finally,this paper propose the suggestion that include perfecting risk release mechanism in REITs,perfecting policy environment and financial market system.

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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.