预期资本短缺、杠杆率波动与股价崩盘风险

本文选取我国16家上市商业银行为样本,研究预期资本短缺与杠杆率波动对商业银行股价崩盘风险的影响,并进一步分析二者在经济政策不确定性冲击下对股价崩盘风险的影响。通过实证分析发现,经济政策不确定性上升会显著加剧商业银行的股价崩盘风险。未考虑经济政策不确定性的情况下,预期资本短缺程度与杠杆率波动对商业银行股价崩盘风险的影响不显著。考虑经济政策不确定性的情况下,预期资本短缺程度与杠杆率波动对商业银行股价崩盘具有显著影响,并且,经济政策不确定性上升会强化预期资本短缺与杠杆率对其商业银行股价崩盘风险的影响。

Volatility forecasting in Chinese nonferrous metals futures market

This paper seeks to model and forecast the Chinese nonferrous metals futures market volatility and allows new insights into the time-varying volatility of realized volatility and leverage effects using high-frequency data.The LHAR-CJ model is extended and the empirical research on copper and aluminum futures in Shanghai Futures Exchange suggests the dynamic dependencies and time-varying volatility of realized volatility,which are captured by long memory HAR-GARCH model.Besides,the findings also show the significant weekly leverage effects in Chinese nonferrous metals futures market volatility.Finally,in-sample and out-of-sample forecasts are investigated,and the results show that the LHAR-CJ-G model,considering time-varyingvolatility of realized volatility and leverage effects,effectively improves the explanatory power as well as out-of sample predictive performance.

基于随机贴现因子方法的权证定价研究

本文应用随机贴现因子方法,考虑了标的资产服从杠杆随机波动率(SV-L)模型下的权证定价问题。首先,基于保险精算中的Esscher变换,设定随机贴现因子为状态变量的指数仿射函数,基于该随机贴现因子能够给出不完全市场中权证唯一的理论价格;然后,假设标的资产服从SV-L模型,结合指数仿射随机贴现因子,推导出风险中性概率测度下标的资产收益的动态过程;最后,给出了基于在沪深交易所上市的认购权证的实证研究。结果表明,提出的权证定价模型的定价效果优于经典的Black-Scholes(B-S)模型的定价效果。