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We study yield spreads between government bonds in the European Monetary Union. This segment of the global fixed income market is of particular importance for insurance companies in Europe. Our empirical research strategy is inspired by Gunay (2020) who has analyzed the relationship between credit and liquidity risk in the United States using Granger causality tests. More specifically, we employ the procedure developed by Toda and Yamamoto (1995) to test for Granger causality among yield spreads in five different member countries of the European Monetary Union (namely Austria, Belgium, France, Italy and Ireland) relative to Germany. We examine interest rate data from bonds with three different maturities (5, 10 and 30 years). Given the importance of long-term bonds as asset class for European life insurers and pension funds, the empirical results from the often ignored market for government bonds with a maturity of 30 years should be of interest. With regard to long-term sovereign debt, there is no evidence for Granger causality among the time series examined here. Consequently, the risk premia required by investors to hold government bonds of one specific member country of the EMU do not help to forecast the risk premia that have to be paid by other countries. Given the structure of their liabilities, this empirical finding should be of high relevance for portfolio and risk managers in the European life insurance industry and in pension funds. With regard to the yield spreads to be observed in the market for 10-year government bonds, there seems to be no clear picture. Focusing on fixed income securities with a maturity of 5 years, there is one very interesting empirical finding. The test results reported here seem to imply that there is unidirectional Granger causality running from the yield spreads in all other four countries to Austria. Given that Austria is a comparably small country which is assumed to be in a fiscally stable position, this result could be interpreted as evidence for credit risk premia as being helpful to forecast liquidity risk premia in the market for medium-term government bonds issued by member states of the European Monetary Union., Diese Studie untersucht Zinsdifferenzen am Markt von Staatsanleihen der Mitgliedsländer der Europäischen Währungsunion. Dieses Segment des globalen Rentenmarktes hat eine besondere Bedeutung für europäische Versicherungsunternehmen. Unsere empirische Studie ist von Gunay (2000) inspiriert, der den Zusammenhang zwischen Kredit- und Liquiditätsrisiko in den Vereinigten Staaten mittels Grangerkausalitätstests untersucht. Genauer gesagt findet hier der Ansatz von Toda und Yamamoto (1995) Anwendung. Untersucht werden die Zinsdifferenzen von fünf Ländern (Österreich, Belgien, Frankreich, Italien und Irland) zu Deutschland. Dabei wird auf drei Laufzeiten (5, 10 und 30 Jahre) geblickt. Der häufig in empirischen Studien ignorierte Markt für Staatsanleihen mit einer Restlaufzeit von 30 Jahren dürfte aufgrund der Struktur der Verbindlichkeiten von besonderem Interesse für Lebensversicherer und Pensionsfonds sein. In diesem Segment des europäischen Staatsanleihemarktes konnten wir keine Hinweise auf Grangerkausalität zwischen den Zinsdifferenzen finden. Die von den hier betrachteten Ländern für ihre Schulden zu zahlenden Risikoprämien helfen somit nicht, die Risikoprämien in den jeweils anderen untersuchten Nationen vorherzusagen. Dieses Ergebnis sollte von hoher Bedeutung für Kapitalanleger und Risikomanager bei europäischen Lebensversicherungen und Pensionsfonds sein. Im Laufzeitsegment 10 Jahre ergibt sich kein klares Bild. Bei den Zinsdifferenzen der Papiere mit einer Laufzeit von 5 Jahren zeigt sich dagegen klar, dass die Risikoprämien in allen anderen Ländern helfen, die Zinsdifferenz von Österreich zu Deutschland vorherzusagen. Da Österreich eher ein kleines Land mit relativ soliden Staatsfinanzen ist, mag dieses Ergebnis ein Hinweis darauf sein, dass das Kreditrisiko in diesem Segment des europäischen Rentenmarktes zur Prognose des Liquiditätsrisikos verwendet werden kann.

As we have already mentioned above (Sect. 22.4), international liquidity and international reserves are often used as synonyms, although they are not. International reserves are financial assets representing liquid international purchasing power in the hands of the monetary authorities. International liquidity is a broader concept and also includes access to loans as well as the monetary authorities’ ability to convert illiquid assets into liquid purchasing power through international asset markets. A further distinction is made between “owned” and “borrowed” reserves. The former, unlike the latter, have no offsetting foreign liability of the monetary authorities. There is a last distinction to be recalled: that between official and private international liquidity. The former only includes liquid international assets held by the monetary authorities, while the latter includes all the foreign liquid assets held by residents of the country.

The online lending industry emerges with the development of the internet, and is currently still in the early stage of its development in China without laws and regulations designed specifically for online lending industry. As a result, there are no entry barriers in online lending industry. Some platforms can get online hastily by simply purchasing and modifying some less expensive website templates. Lacking clear industrial standards, the fast development of P2P online lending industry in China cannot guarantee the quality of the platforms at the very beginning. At present, the high quality and low quality platforms co-exist, which highlights the risks involved day by day in the industry. This chapter will analyze several types of risks confronted by participants in online lending from the perspective of the whole industry.

Basing on the return rate monthly Effect, the informed trading probability was combined with return rate for research in sight of market structure, and percentage monthly risk-adjusted return using Fama and French three-factor model, regressing the multi-factor on two-stage. PIN of September is the lowest in the year, showing negative relationship with percentage monthly return, the result is different with empirical results in foreign market. Impact factors for PIN monthly effect are analyzed including size of company, liquidity risk.

As an unique phenomenon in China’s rapid industrialization and urbanization, agglomeration of minority floating population into the central cities not only brings positive developments but also associates with risks and vulnerabilities. Management innovation is a core aspect of societal risk mitigation. Regarding that Xi’an City takes the representative of typical significance of the China Northwest Minority floating population, the paper presents constant dilemmas of three long-standing management contradictions in the aspects of current urban minority floating population, and attributes them to city risk source derived from the flowing disturbances and deep obstacles for the urban development, security as well as stability of ethnic relations. Details have been provided on the case representation scheme and management mechanism. The proposed operational methods increase the applicability to many real-world settings, where the liquidity risk mitigation depends on more qualitative management innovations.

The pricing is done with the help of a variety of methods and tools. A few examples are given here.

Operational risk is the second major risk faced by the commercial banking of China and is inherent in all banking products, activities, processes and systems. So, how to manage it effectively has always been a fundamental task for commercial banking of China. We must deal with it seriously. According to the principles of risk management, it is important for us to understand operational risk. In this paper, based on qualitative analysis, the main financial risks including operational risk have at first been listed, and then the relationship and difference between operational risk and other risks such as credit risk, market risk, liquidity risk and compliance risk have been analyzed. At last, we think that the operational risk is a kind of comprehensive risk and has very close relations with other risks and is often the cause of other risks. Therefore, we should pay special attention to it.

This paper provides pioneering risk assessment techniques that can be applied to investment portfolios in emerging financial markets, such as in the context of the Gulf Cooperation Council (GCC) and other Middle East and North African (MENA) stock markets. As such, this paper develops a rigorous approach for the assessment of risk exposures for structured financial portfolios in light of the aftermaths of the sub-prime global financial crisis. Our comprehensive risk analysis model can conduct Liquidity-Adjusted Value-at-Risk (LVaR) simulation and risk forecasting under normal and adverse market conditions besides it takes into account the effects of illiquidity of traded equity securities under the supposition of different crisis-driven correlation factors. This research paper has important practical uses and applications for financial institutions, financial regulators, risk managers, portfolio managers, treasury managers and policymakers operating in the GCC and other emerging MENA markets, and particularly in the wake of the most recent financial crisis. In fact, the proposed analytical methods can be put into practice in virtually all GCC and other emerging MENA markets, if they are custom-made to be compatible to every market’s initial level of complexity. Ultimately, this will contribute in providing a benchmark setting for compliance with contemporary regulatory requirements on capital adequacy; and can ultimately aid in the international financial integration of the economies of the GCC and other developing MENA countries.

This chapter discusses the weaknesses of the currently prevailing supervisory paradigm (“audit supervision”) and makes the case for another model, called “analytical supervision”. The latter is characterised by the use of supervisory judgment, forward-looking assessments and proactive supervisory responses. These different supervisory approaches are illustrated by some actual Swedish supervisory experiences. Finally, the preferred supervisory model of the future is discussed.

This paper reviews some recent applications of flow network theory to the modelling of financial systems and of interbank liquidity networks. Three features of network flows have proven to be particularly useful in this field: i) the modularity of the transmission of flows across a network; ii) the constancy of a flow across all cuts of a nertwork; iii) the known ‘max flow - minimum cut’ theorem by Ford and Fulkerson. These properties of flow networks have been applied to evaluate the exposition to contagion of financial networks and the carrying capacity of interbank liquidity networks.

This paper introduces comprehensive factors to study their influence on shareholder value efficiency of China’s four state-owned commercial banks and 10 joint-stock commercial banks. An empirical analysis found that capacity to expand income, liquidity risk, asset size, loan growth, concentration in the banking industry, GDP per capita significantly enhance the ability to create value for shareholders of the commercial banks, and operational risk, leverage ratio result in significant adverse effects. Finally proposals are offered to enhance shareholder value efficiency of Chinese commercial banks.