In this paper the insurer＇s solvency ratio model with or without jump diffusion process in the presence of financial distress cost is constructed, where an insurer＇s solvency ratio is characterized by a Markov-modul...In this paper the insurer＇s solvency ratio model with or without jump diffusion process in the presence of financial distress cost is constructed, where an insurer＇s solvency ratio is characterized by a Markov-modulated dynamics. By Girsanov＇s theorem and the option pricing formula, the expected present value of shareholders＇ terminal payoff is provided.展开更多
Background:The dramatic loan growth and changes in the Pakistani banking system in mid-2000s have led to significant research attention on borrowers and lenders.This expansion and diversification in financial sector w...Background:The dramatic loan growth and changes in the Pakistani banking system in mid-2000s have led to significant research attention on borrowers and lenders.This expansion and diversification in financial sector was driven by structural reforms,political stability and significant economic growth.Against this background,this study investigates the loan growth and risk-taking behavior of the banks during the expansionary periods of lending.Method:This study used dynamic two-step system generalized method of moment’s estimation technique,based on data taken from 32 banks in Pakistan over 2006-2014.Result:Loan growth has a significant effect on bank-specific and macroeconomicspecific variables.Loan growth in the previous year raises non-performing loans and decreases the solvency of banks with a time lag of many years.The driving force behind this phenomenon is weak prudential regulation among competitors,the asymmetric information of the borrowers,and,most importantly,that banks underestimate the risk of lending during credit booms.Conclusion:More regulatory measures are required to ensure a strong financial system when the volume of non-performing loan grows significantly.An increase in the capital requirement policy for rapidly growing banks is also needed because the problem of abnormal loan growth cannot be detected at the current time.At the same time,strong supervision is necessary to avoid the adverse consequences of borrower selection.展开更多
The insurer's solvency ratio model in a class of fractional Black-Scholes markets is studied. In this market,the price of assets follows a Wick-It stochastic differential equation,which is driven by the fraction...The insurer's solvency ratio model in a class of fractional Black-Scholes markets is studied. In this market,the price of assets follows a Wick-It stochastic differential equation,which is driven by the fractional Brownian motion. The market coefficients of market model are deterministic functions. By the stochastic calculus of the fractional Brownian motion and the pricing formula of European call option for the fractional Brownian motion,the explicit formula for the expected present value of shareholder's terminal payoff is given. The model extends the existing results.展开更多
This paper studies the insurer’s solvency ratio model in a class of mixed fractional Brownian motion(MFBM) market, where the prices of assets follow a Wick-It? stochastic differential equation driven by the MFBM, by ...This paper studies the insurer’s solvency ratio model in a class of mixed fractional Brownian motion(MFBM) market, where the prices of assets follow a Wick-It? stochastic differential equation driven by the MFBM, by the method of the stochastic calculus of the MFBM and the pricing formula of European call option for the MFBM, the explicit formula for the expected present value of shareholders’ terminal payoff is given. The model extends the existing results.展开更多
Medical care is a livelihood needs,and the solvency directly affects the survival and development of pharmaceutical companies.Therefore,it is important to study the solvency of pharmaceutical companies.This article se...Medical care is a livelihood needs,and the solvency directly affects the survival and development of pharmaceutical companies.Therefore,it is important to study the solvency of pharmaceutical companies.This article selects six listed Tibetan pharmaceutical companies as research cases,adopts a comparative analysis method to analyze their solvency,and explores the advantages and disadvantages of the solvency of Tibetan pharmaceutical companies in order to enhance the solvency of Tibetan pharmaceutical companies for reference.展开更多
The real estate industry is a capital-intensive industry and capital has become a particular concern for real estate enterprises.For a long time,China’s real estate enterprises rely on high-leverage development and c...The real estate industry is a capital-intensive industry and capital has become a particular concern for real estate enterprises.For a long time,China’s real estate enterprises rely on high-leverage development and carry out high-debt and high-risk operations.The solvency of real estate enterprises has been the focus of stakeholders’attention.In August 2020,China’s regulatory authorities introduced new financing regulations for real estate enterprises.They set up“three red lines,”which brought real estate enterprises’solvency into focus once again.This article takes A-share listed companies in China’s real estate industry as an example,analyzes and evaluates its debt solvency,and gives suggestions based on new policies and regulations,hoping to provide specific references to the enterpriser’s manager and external decision-makers.展开更多
In life insurance business, longevity risk, i.e. the risk that the insured population lives longer than the expected, represents the heart of the risk assessment, having significant impact in terms of solvency capital...In life insurance business, longevity risk, i.e. the risk that the insured population lives longer than the expected, represents the heart of the risk assessment, having significant impact in terms of solvency capital requirements (SCRs) needed to front the firm obligations. The credit crisis has shown that systemic risk as longevity risk is relevant and that for many insurers it is actually the dominant risk. With the adoption of the Solvency II directive, a new area for insurance in terms of solvency regulation has been opened up. The international guidelines prescribe a market consistent valuation of balance sheets, where the solvency capital requirements to be set aside are calculated according to a modular structure. By mapping the main risk affecting the insurance portfolio, the capital amount able to cover the liabilities corresponds to each measured risk. In Solvency II, the longevity risk is included into underwriting risk module. In particular, the rules propose that companies use a standard model for measuring the SCRs. Nevertheless, the legislation under consideration allows designing tailor-made internal models. As regards the longevity risk assessment, the regulatory standard model leads to noteworthy inconsistencies. In this paper, we propose a stochastic volatility model combined with a so-called coherent risk measure as the expected shortfall for measuring the SCRs according to more realistic assumptions on future evolution of longevity trend. Finally empirical evidence is provided.展开更多
Purpose:This study empirically analyzes whether the rapid growth of loans and risktaking behavior during the expansion of loans affected non-performing loans(NPLs)and the solvency of financial institutions in the Turk...Purpose:This study empirically analyzes whether the rapid growth of loans and risktaking behavior during the expansion of loans affected non-performing loans(NPLs)and the solvency of financial institutions in the Turkish banking system.Design/methodology/approach:Using the GMM Generalized Method of Moments,this study used data on Turkish banks from 2011 to 2017 to test two hypotheses on the effects of loan growth on NPLs and solvency.Findings:This study finds significant results for the effect of loan growth on NPLs and solvency.NPLs rose from the previous year’s loan growth,which tended to reduce solvency.Research limitations/implications:Due to selected research methods,the results may lack generality.Therefore,future studies should test the propositions herein further.Practical implications:The results indicate that careful allocation behavior is required when lending.Additionally,these findings may be helpful to financial managers and decision makers.Originality/value:This study confirms the need to determine how to allocate loans during the loan boom periods.展开更多
基金Supported by National Natural Science Foundation of China (10671182)Anhui Natural Science Foundation (090416225)+1 种基金Anhui Natural Science Foundation of Universities (KJ2010A037, KJ2010B026)Anhui Natural Science Foundation (10040606Q03)
文摘In this paper the insurer＇s solvency ratio model with or without jump diffusion process in the presence of financial distress cost is constructed, where an insurer＇s solvency ratio is characterized by a Markov-modulated dynamics. By Girsanov＇s theorem and the option pricing formula, the expected present value of shareholders＇ terminal payoff is provided.
文摘Background:The dramatic loan growth and changes in the Pakistani banking system in mid-2000s have led to significant research attention on borrowers and lenders.This expansion and diversification in financial sector was driven by structural reforms,political stability and significant economic growth.Against this background,this study investigates the loan growth and risk-taking behavior of the banks during the expansionary periods of lending.Method:This study used dynamic two-step system generalized method of moment’s estimation technique,based on data taken from 32 banks in Pakistan over 2006-2014.Result:Loan growth has a significant effect on bank-specific and macroeconomicspecific variables.Loan growth in the previous year raises non-performing loans and decreases the solvency of banks with a time lag of many years.The driving force behind this phenomenon is weak prudential regulation among competitors,the asymmetric information of the borrowers,and,most importantly,that banks underestimate the risk of lending during credit booms.Conclusion:More regulatory measures are required to ensure a strong financial system when the volume of non-performing loan grows significantly.An increase in the capital requirement policy for rapidly growing banks is also needed because the problem of abnormal loan growth cannot be detected at the current time.At the same time,strong supervision is necessary to avoid the adverse consequences of borrower selection.
基金National Natural Science Foundations of China(Nos.71271003,71571001,11326121)Natural Science Foundation of Anhui Province,China(No.1608085M A02)+1 种基金Teaching Research Project of Anhui Province,China(No.2013jyxm111)Opening Project of Financial Engineering Research and Development Center of Anhui Polytechnic University,China(No.JRGCKF201502)
文摘The insurer's solvency ratio model in a class of fractional Black-Scholes markets is studied. In this market,the price of assets follows a Wick-It stochastic differential equation,which is driven by the fractional Brownian motion. The market coefficients of market model are deterministic functions. By the stochastic calculus of the fractional Brownian motion and the pricing formula of European call option for the fractional Brownian motion,the explicit formula for the expected present value of shareholder's terminal payoff is given. The model extends the existing results.
基金Supported by National Natural Science Foundation of China(71171003,71271003,and 11326121)Natural Science Foundation of Anhui Province(1508085MA02)+1 种基金Teaching Research Project of Anhui Province(2013jyxm111)Opening Project of Financial Engineering Research and Development Center of Anhui Polytechnic University(JRGCKF201502)
文摘This paper studies the insurer’s solvency ratio model in a class of mixed fractional Brownian motion(MFBM) market, where the prices of assets follow a Wick-It? stochastic differential equation driven by the MFBM, by the method of the stochastic calculus of the MFBM and the pricing formula of European call option for the MFBM, the explicit formula for the expected present value of shareholders’ terminal payoff is given. The model extends the existing results.
文摘Medical care is a livelihood needs,and the solvency directly affects the survival and development of pharmaceutical companies.Therefore,it is important to study the solvency of pharmaceutical companies.This article selects six listed Tibetan pharmaceutical companies as research cases,adopts a comparative analysis method to analyze their solvency,and explores the advantages and disadvantages of the solvency of Tibetan pharmaceutical companies in order to enhance the solvency of Tibetan pharmaceutical companies for reference.
文摘The real estate industry is a capital-intensive industry and capital has become a particular concern for real estate enterprises.For a long time,China’s real estate enterprises rely on high-leverage development and carry out high-debt and high-risk operations.The solvency of real estate enterprises has been the focus of stakeholders’attention.In August 2020,China’s regulatory authorities introduced new financing regulations for real estate enterprises.They set up“three red lines,”which brought real estate enterprises’solvency into focus once again.This article takes A-share listed companies in China’s real estate industry as an example,analyzes and evaluates its debt solvency,and gives suggestions based on new policies and regulations,hoping to provide specific references to the enterpriser’s manager and external decision-makers.
文摘In life insurance business, longevity risk, i.e. the risk that the insured population lives longer than the expected, represents the heart of the risk assessment, having significant impact in terms of solvency capital requirements (SCRs) needed to front the firm obligations. The credit crisis has shown that systemic risk as longevity risk is relevant and that for many insurers it is actually the dominant risk. With the adoption of the Solvency II directive, a new area for insurance in terms of solvency regulation has been opened up. The international guidelines prescribe a market consistent valuation of balance sheets, where the solvency capital requirements to be set aside are calculated according to a modular structure. By mapping the main risk affecting the insurance portfolio, the capital amount able to cover the liabilities corresponds to each measured risk. In Solvency II, the longevity risk is included into underwriting risk module. In particular, the rules propose that companies use a standard model for measuring the SCRs. Nevertheless, the legislation under consideration allows designing tailor-made internal models. As regards the longevity risk assessment, the regulatory standard model leads to noteworthy inconsistencies. In this paper, we propose a stochastic volatility model combined with a so-called coherent risk measure as the expected shortfall for measuring the SCRs according to more realistic assumptions on future evolution of longevity trend. Finally empirical evidence is provided.
文摘Purpose:This study empirically analyzes whether the rapid growth of loans and risktaking behavior during the expansion of loans affected non-performing loans(NPLs)and the solvency of financial institutions in the Turkish banking system.Design/methodology/approach:Using the GMM Generalized Method of Moments,this study used data on Turkish banks from 2011 to 2017 to test two hypotheses on the effects of loan growth on NPLs and solvency.Findings:This study finds significant results for the effect of loan growth on NPLs and solvency.NPLs rose from the previous year’s loan growth,which tended to reduce solvency.Research limitations/implications:Due to selected research methods,the results may lack generality.Therefore,future studies should test the propositions herein further.Practical implications:The results indicate that careful allocation behavior is required when lending.Additionally,these findings may be helpful to financial managers and decision makers.Originality/value:This study confirms the need to determine how to allocate loans during the loan boom periods.
