在新资本协议的高级内部评级法框架下，资本要求取决于商业银行的风险水平。 然而，监管当局与商业银行存在严重的信息不对称，为追求利益最大化的商业银行存在隐瞒 其真实风险状况的动机，而监管当局审查和验证银行风险状况的能力也是有限的，这可能导 致银行持有的资本过少，从而危及银行体系的稳定。杠杆率限制可以降低有限负债下的看跌 期权价值，提高银行净值，从而提高资本监管的有效性。次贷危机的教训也要求我国在实施 高级内部评级法过程中应重视初始杠杆率。

This paper examines the effects of the agency costs on firm performance in 156 Chinese publicly listed companies with private ultimate owners between 2002 and 2007. The ultimate owners’ agency costs are measured by the divergence between cash flow rights and control rights. Agency costs are shown to negatively and significantly affect firm performance, as measured by Tobin’s Q. A major contribution of this paper is to identify connected party transactions as a channel through which such agency costs exert negative impact firm performance. Evidence from the public record of law violations of those firms lends further support to the “tunneling” view on the connected party transactions. The paper also shows that the larger the divergence, the less likely that firm managers will implement value-increasing industrial diversification. The last finding remains a puzzle.

The increasingly competitive environment in the financial services market has resulted in pressure to develop and utilize alternative delivery channels. A growing phenomenon in financial services is the use of the Internet as a channel for financial services in many countries and there is wide agreement that this channel will have a significant impact on the banking system. The vast opportunities brought by the Internet to the banking industry have therefore attracted much attention from researchers. This study aims to analyze the role, adoption and barriers of Internet banking in the banking system in China. Using a quantitative approach, this study surveyed a sample of senior manager in three major cities namely, Hangzhou, Shenzhen and Chengdu. Using a number of statistical analyses including analysis including T-test, ANOVA, Factor Analysis and Chi Square Test, The study finds that the main role of Internet banking in China is to Increase to Market Share. Another important finding is to Increase profitability. Maintain Competitive Edge and Improve customer service are the main reasons for the adoption of Internet banking by Chinese banks. However, it appears that Security risk constitutes the main barrier to Internet banking.

This paper investigates the hedging effectiveness of the Copper Futures contracts using daily settlement prices for the period from 23 July, 2008 to 3 July, 2009. Different econometric models are used to estimate the optimal hedging ratios of Copper Futures on the Shanghai Futures Market. The hedging performance is firstly analyzed by the OLS regression model, the Error Correction model (ECM) and the Bivariate-GARCH Model. Then the Minimum-Variance Hedge Strategy is adopted to evaluate the statistical models. Secondly this research uses a non-parametrical method, the Genetic Algorithms to predict the hedging ratio based on the historical data. Then finally whether the Genetic Programming could produce better hedging parameters than the standard hedging model will be revealed.

本文构造人民币隔夜回购利率互换，并计算了三个月期SHIBOR与人民币隔夜回购利率互换的价差（SHIBOR-OIS价差），定量刻画出我国的银行体系风险溢价水平，并分析了美国金融危机以及我国货币政策对SHIBOR-OIS价差的影响。分析表明美国金融危机爆发后，SHIBOR-OIS价差出现了明显的扩大，但不如美元LIBOR-OIS价差的变化强烈。在不同货币政策下，两种价差所反映的风险有所不同。我国货币政策的调整对SHIBOR-OIS价差有显著影响。本文最后以三个月期央票发行利率对比分析人民币OIS，证实了SHIBOR-OIS价差构建的合理性。

In this paper, on the premise that the expropriation of corporate assets by controlling shareholders would generate a residual loss, we studied how the laws of investor protection influenced on the decentralization of corporate ownership, the penalty and the cost of litigation. There are several interested conclusions we reached. At first, the effective protection of minority shareholders will lead to the decentralization of ownership, which is irrelevant to whether there is litigation cost or who should pay the cost. Second, if litigation costs remain unchanged, effective minority shareholder protection laws will evolve along a self-reinforcing path. On the other hand, if the penalty remains unchanged, effective minority shareholder protection laws will cause litigation costs to increase over time. These conclusions are irrelevant to who pays the litigation cost. Last, pay the cost by minority shareholders or controlling shareholders will cause litigation costs to increase or decrease with the penalty.

Based on a compound random process including geometric Brownian motion and Poisson process, we established a model which can describe the environmental uncertainty more flexible. And then, we use a stochastic optimal control model to address the issue of resource allocation. Our study conclusions indicate the following: (1) if rare events can be described using a Poisson process, then the fixed-point theorem can be used to solve resource allocation scheme; and (2) if a certain asset or a certain department’s facing a rare event leads to a reduction in value, then the rare event will not only affect investment in this asset or department but will also have ramifications for investment in related assets or departments. After that, we briefly discuss the resource allocation issues of financial institutions and manufacturing enterprises. The results show that the uncertain, flexible environmental of financial institutions can improve the efficiency of asset allocation. Manufacturing companies can respond effectively and positively to such uncertainty through a flexible asset allocation strategy. The contribution of our paper lies mainly in its use of new methods to describe uncertainty. When we re-define the environment of uncertainty, the flexible resource allocation scheme can effectively mitigate the impact of random adverse effects of the environment. In addition, if the description methods are closer to the facts themselves, then the scheme for flexibility in resource allocation may also bring about an excess return.

信贷和资产价格的繁荣萧条周期，在自我实现机制和金融加速器机制下，会导致金融风险的积累和金融失衡，金融失衡多以金融危机的方式释放。这种繁荣萧条周期与不当的货币政策有紧密关系。奉行“规则优于相机抉择”和以显性的或隐性的通货膨胀目标为最终目标、以利率为操作规则为最大特征的现行货币政策框架对此表现的是宽容和无奈。与多数学者试图把资产价格纳入现行货币政策框架下的目标体系中的主张不同，本文提出一个兼具总量与结构的复合调控特征的贷款准备金政策主张，构建模型来说明贷款准备金政策对资产价格的调控和对货币区内成员货币政策独立性的保持。

著名数学家Bernoulli为解决“圣彼得堡悖论”提出了货币的边际效用递减理论（下称“效用函数解决方案”），本文通过以下两个方面证明了Bernoulli的“效用函数解决方案”是不成立的：1、用Bernoulli和克莱默的“效用函数”构造了新的悖论；2、设计并实施了不存在边际效用递减效应的“新型圣彼得堡游戏”，该游戏同样产生了“圣彼得堡悖论”。本文进一步分析论证了人们面对不确定性前景的风险调整才是导致“圣彼得堡悖论”产生的真正原因，由此给出了不确定性决策的风险调整模型，用此模型解决了“圣彼得堡悖论”及其它相关悖论。本文对基于不确定性的经济学理论研究提出了一个全新的研究思路和方向。

In this paper, based on Acharya and Pedersen’s [Journal of Financial Eco- nomics (2006)] overlapping generation model, we show that liquidity risk could influence the market risk forecasting through at least two ways. Then we argue that traditional liquidity adjusted VaR measure, the simply adding of the two risk measure, would underestimate the risk. Hence another approach, by modeling the liquidity adjusted returns (LAr) directly, was employed to incorporate liquidity risk in VaR measure in this study. Under such an approach, China’s stock market is specifically studied. We estimate the one-day-ahead “standard” VaR and liquidity adjusted VaR by forming a skewed Student’s t AR-GJR model to capture the asymmetric effect, non-normality and excess skewness of return, illiquidity and LAr. The empirical results support our theoretical arguments very well. We find that for the most illiquidity portfolio, liquidity risk represents more than 22% of total risk. We also find that simply adding of the two risk measure would underestimate the risk. The accuracy testing show that our approach is more accurate than the method of simply adding.