| 1. |
- Choi, Yongrok, et al.
(författare)
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Optimizing enterprise risk management : a literature review and critical analysis of the work of Wu and Olson
- 2016
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Ingår i: Annals of Operations Research. - : Springer Science and Business Media LLC. - 0254-5330 .- 1572-9338. ; 237:1-2, s. 281-300
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Tidskriftsartikel (refereegranskat)abstract
- Risks exist in all aspects of our lives. Using data in both Scopus and ISI Web of Science, this review paper identifies pioneer work and pioneer scholars in enterprise risk management (ERM). Being ranked the first based on the review data, Desheng Wu has been active in this area by serving as a good academic network manager on the global research network, His global efforts with diverse networking have enabled him to publish outstanding papers in the field of ERM. Therefore, this paper also conducts a literature review of his papers and critical analysis of the work of Wu and Olson, from the perspective of the ERM, to glean implications and suggestions for the optimization and customization of the ERM.
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| 2. |
- Luo, Jian, et al.
(författare)
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Counter-Credit-Risk Yield Spreads : A Puzzle in China’s Corporate Bond Market
- 2016
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Ingår i: International Review of Finance. - : Wiley. - 1369-412X .- 1468-2443. ; 16:2, s. 2013-241
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Forskningsöversikt (refereegranskat)abstract
- In this paper, using China's risk-free and corporate zero yields together with aggregate credit risk measures and various control variables from 2006 to 2013, we document a puzzle of counter-credit-risk corporate yield spreads. We interpret this puzzle as a symptom of the immaturity of China's credit bond market, which reveals a distorted pricing mechanism latent in the fundamental of this market. We also find interesting results about relationships between corporate yield spreads and interest rates and risk premia and the stock index, and these results are somewhat attributed to this puzzle.
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| 3. |
- Ye, Xiaoxia, 1980-
(författare)
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A New Approach to Measuring Market Expectations and Term Premia
- 2015
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Ingår i: Journal of Fixed Income. - : Pageant Media US. - 1059-8596 .- 2168-8648. ; 24:4, s. 22-46
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Tidskriftsartikel (refereegranskat)abstract
- This article develops a novel approach for measuring market expectations and term premia in the term structure of interest rates. Key components of this approach are generic impact measures of state variables in a Gaussian dynamic term structure model. These measures are inherent in a particular state variable regardless of how other state variables are defined within the model. With the help of these measures, the approach gives rise to market expectations that predict yield changes well, and term premia with a legitimate impact on the forward curve. In my empirical analysis, I show the generic impact of the short rate on the yield curve, and present observations of the historical dynamics of market expectations and term premia. The calibrated model is also employed to study the impacts of recent unconventional monetary policies.
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