师资与研究
高翔
副教授,PhD, CFA, FRM, CAIA, FAIQ

主要研究方向:
金融市场;风险管理

学历:
2011 美国爱荷华州立大学 经济系 经济学 博士
2006 香港科技大学 经济系 经济学 硕士
2005 上海交通大学 管理学院 国际经济与贸易 本科

经历:
副教授,,国际工商管理学院,上海财经大学,2016年-至今
助理教授,国际工商管理学院,上海财经大学,2011年-2016年
中国分会执行官,美国特许另类投资分析师协会,2014年 - 至今
风险管理分析,英杰华北美资产管理公司,2010年 - 2011年
  • gao.xiang@shufe.edu.cn
  • 021-65907206
  • 021-65907458
with Haichao Fan, (2016), "Domestic Creditor Rights and External Private Debt", Economic Journal, 卷 2016, 第 forthcoming 期       
   
This paper unbundles institutions protecting domestic and foreign creditors' rights. We estimate a negative relation between the degree of domestic rights protection and the external stock of private nonguaranteed debt in 85 developing countries. A supply-side explanation is that strong domestic protection supports reliable outside fi nancing options for potential external debt defaulters; foreign investors anticipating this would tighten credit constraints ex ante. Then we formalise the argument in a private borrowing and default model, and show that centralisation is no longer necessarily welfare superior.
with 王 晶晶, 唐 亚琦, and 王 席, (2016), "我国商业银行同业业务规模对盈利性影响的实证分析", 财会月刊, 卷 2016, 第 3(下) 期, pp.65-70       
   
自2010年起,我国商业银行在严格的监管环境下开始选择同业业务作为规避监管和增长利润的主要工具,同业业务因此迅速发展。本文研究表明:同业资产规模和同业负债规模对我国商业银行的盈利性存在非线性影响。一方面,商业银行的经济利润随同业资产规模的上升而减少;另一方面,存在一个同业负债规模临界值,经济利润在此之前随同业负债规模的上升而增多,在此之后,随同业负债规模的上升而减少。基于此,本文认为同业业务应回归其最初的本质作用,即流动性管理。
with 莫 建明, 吴 远洪, and 卿 树涛, (2016), "Weibull分布下操作风险监管的遗漏风险特征", 财经科学, 卷 2016, 第 3 期, pp.24-35       
   
操作风险度量结果存在显著不确定性,若以点估计值来要求监管资本,必然产生风险监管遗漏问题。为此,本文在Weibull分布下通过分析操作风险监管资本度量误差变动规律,探寻监管遗漏风险变动的特征:随操作风险递增,在尺度参数影响下,监管遗漏风险暴露程度增大,在形状参数和频数参数影响下,监管遗漏风险变动趋势呈现出显著不确定性,且存在多个极值风险状态点。当操作风险趋近于极值状态时,监管遗漏风险会趋于无穷大。可见,必须为监管遗漏风险要求监管资本,将监管资本点估计值要求方式改革为缓冲性要求方式。本研究对于解决类似次贷危机的风险监管遗漏问题是一种有益的尝试。
with 唐 亚琦, and 王 晶晶, (2014), "上海自贸区税收政策新解", 财会通讯(综合), 卷 2014, 第 10(上) 期, pp.99-101       
   
纵观一系列由中央、上海市和各部门发布的文件,不可或缺的一部分便是营造与自贸区总体目标相呼应的税收制度环境,同时始终遵循自贸区的总原则经验可全国复制、可推广和国家税制改革的总原则公平、统一、规范。与自贸区相配套的税收新政包括7项已经明确实施的政策,还有3项待探索、研究的政策。7项明确的政策中有2 项是旨在促进投资的税收政策,有5项是旨在促进贸易的税收政策,涉及到企业所得税、个人所得税、增值税、消费税和关税等至少5个税种,既涉及到征税方面优惠,也涉及到退税方面的优惠。3项待探索、研究的政策中有2项是旨在促进向境外投资的税收政策(这2项政策在送审方案中有细则,但是在最终方案中被删除,并改为鼓励继续探索和研究),剩余1项是会间接影响到税收的监管服务模式改革政策。
(2012), "The Extensive Margin of Intrafirm Trade", International Journal of Economics and Business Research, 卷 4, 第 1/2 期, pp.213-232       
   
The firm-level approach to intra-industry trade reveals that the variation in the number of exporters or exported varieties (extensive margin) accounts for a greater share of the changes in aggregate trade than the variation in the average exports per firm variety (intensive margin). This paper shows vertical intrafirm trade follows a similar pattern. The share of intrafirm imports in total US imports is found to be higher, the higher the headquarters service intensity by industry of foreign affiliate. This increase materializes mostly in terms of new affiliates than in terms of more sales per existing affiliate. The endogenous choice of optimal number of affiliates can be rationalized in a theoretical framework that combines three ingredients - a multiproduct setup, Antras' property-rights model and Melitz's heterogeneity view on productivity applied to affiliates.
经济学的新疆域:心理学、社会学与人类学视角, (2014), 诺贝尔经济学奖获得者文库,上海市武东路321号乙,上海财经大学出版社.  
   
《经济学的新疆域:心理学、社会学与人类学视角》是2001年诺贝尔经济学奖获得者乔治·A.阿克洛夫的论文集,论述了理论经济学中最新假设的重要影响。全书共收集了Akerlof的9篇论文。适于广大经济学爱好者研读。本书内容丰富,有助于国内学界了解国外经济学最新发展。
with Haichao Fan, Juanyi Xu, and Zhiwei Xu, (2016), "News Shock, Firm Dynamics and Business Cycles: Evidence and Theory"   .
   
We conduct a structural vector auto-regression analysis to show that news shocks represent a major source of ‡fluctuations in both the aggregate output and fi…rm dynamics. Firm entries positively comove with the aggregate economy in response to a news shock. Then, we develop a dynamic stochastic general equilibrium model with endogenous …firm entry to explain the empirical …findings. We show that fi…xed operating costs and endogenous survival rates are two key features in producing the aggregate comovements. The two-sector extended model shows that these two features are also crucial to generating sectoral comovements.
with Haichao Fan, Yao Amber Li, and Tuan Anh Luong, (2016), "Trade Liberalization and Markups: Micro Evidence from China"   .
   
This paper presents evidence from highly disaggregated Chinese firm-product data that, given productivity, trade liberalization via input tari ff reductions induces an incumbent importer/exporter to increase product markups. This paper provides further empirical evidence to verify underlying mechanisms behind this fi nding: input tariff reductions decrease marginal costs, and tari ff reduction eff ects on markup adjustments are more profound among fi rms of higher import dependence. Moreover, this paper exploits unique features of Chinese data by comparing results for two trade regimes - ordinary trade (wherein fi rms pay import tariff s to import) and processing trade (wherein fi rms are not subject to import tari ffs). While the aforementioned eff ects of trade liberalization and mechanisms only apply to ordinary trade, processing trade samples are used in a placebo test. The paper also shows that more productive fi rms charge higher markups for products. These findings are robust to various estimation speci cations and alternative markup measures including the one based on the estimation using physical-quantity output.
with 莫 建明, (2016), "重尾分布下损失分布法度量误差变动规律"   .
   
在当前的操作风险管理框架中,操作风险度量一般仅为准确计量监管资本,直接以度量结果的变化来监测管理措施的效果,操作风险度量与管理几乎是没有联系的两个独立体系。度量模型不能为管理模型管理对象的确定提供直接信息,在实践上必然导致操作风险管理措施没有针对性,管理缺乏效率。已有实证研究表明操作风险具有显著的重尾性,本文假设操作损失强度为重尾性极值模型Weibull分布和Pareto分布,在导出操作风险监管资本基础上,通过对监管资本相对于损失分布特征参数灵敏度的研究,从损失分布特征参数中分离出了操作风险状态的表征参数形状参数和频数参数,并进一步建立了操作风险度量模型与管理模型连接参数的判别模型。实例分析表明该判别模型不仅能够判别出操作风险的关键影响参数,为当前管理措施的制定提供依据,而且判别出操作风险灵敏度的关键影响参数,从而对操作风险关键影响参数可能的变化进行预测。因此,以该关键管理参数为制定措施的依据,可将度量模型与管理模型联系起来,使两模型的整合成为可能,从而使操作风险管理框架成为一个完整的有机体系,建立操作风险动态管理系统。
with 莫 建明, 卿 树涛, and 贺 炎林, (2016), "损失分布法下操作风险监管遗漏风险"   .
   
操作风险度量具有不可忽视的模型偏差和度量误差。当度量模型确定时,度量误差表征了监管遗漏风险暴露程度。为此,本文在损失分布法下通过分析操作风险监管资本度量误差变动规律,探寻监管遗漏风险变动的特征:随操作风险递增,在尺度参数影响下,监管遗漏风险暴露程度增大,在形状参数和频数参数影响下,监管遗漏风险变动趋势呈现出显著不确定性,且存在多个极值风险状态点。当操作风险趋近于极值状态时,存在着不可忽视的监管遗漏风险。这意味着须为监管遗漏风险要求监管资本,将监管资本点估计值要求方式改革为缓冲性要求方式。本研究对于解决类似次贷危机的风险监管遗漏问题是一种有益的尝试。
with Mo Jianming, (2015), "Regulatory Capital and Measurement Precisions in Modeling Heavy-Tailed Operational Losses"   .
   
Heavy tails, high confidence level, and indirect techniques cause uncertainty in economic capital estimates of financial risk regulated by the Basel Accord. This paper quantifies operational risk using the loss distribution approach and measures capital precision based on the error propagation theory. We find a fickle relationship between regulatory capital and estimation precision, supported by evidence in the empirical literature. Hence, there is a rationale for reform towards quantitative buffer capital requirements that can account for output variations due to model bias and measurement error.
with Yu Jin, and Wang Guojun, (2015), "Donor Advised University Endowments in China"   .
   
The board governing China's university endowments often chooses between hiring professionals to run funds and trusting the donoting entities with the funds. As usual, sophisticated managers can construct a well-diversifed investment portfolio, however, their interests may not be alligned with the university. On the other hand, donors have the advantage of assuming full liabilities for losses, but they only have access to risky projects due to the limitation on their available investment horizon. We show that current capital control regulations imposed by the Chinese authority will reduce donations and encourage universities to establish donor advised funds, in which donors surrender ownership of anything they put in the fund, but retial control over how their money is invested.
with Ding Haoyuan, and Imad Moosa, (2015), "CEO-Director Connectedness and Operational Risk"   .
   
We study the impact of CEO-director social ties on the occurrence of operational risk events in a sample of event and non-event U.S. business organizations during the period 2000-2008. Each organization-year combination is a single observation in our regression analysis. For each organization, a supervisory director (SD) on board is identified as having social connections with the organization’s CEO if the SD and the CEO: (1) currently or previously worked in executive or director roles for at least one common company (excluding the organization itself and subsidiary firms or parent companies closely related to the organization in question); (2) attended the same school during the same time; or (3) have served as trustees or board members (other than ordinary members) at the same not-for-profit institutions such as charities, universities, clubs, and professional associations. Our findings suggest that organizations with a higher proportion of connected SDs are more likely to incur an operational risk event. These findings are robust to alternative ways of constructing the measure for CEO-director ties, and are equally robust to controlling for a host of board-level determinants of operational risk events (including how the executives and directors are socially associated with their peers at other organizations, board size, the composition of the organization’s board in terms of independence and demography, the structure of high ranking executives’ compensation, and macroeconomic indicators). The results indicate that pre-existing social ties among top management team members would weaken the organization’s operational risk management in general.
(2015), "Investment Committee and University Endowments"   .
   
Lerner et al. (2008) suggested that the underlying drivers of university endowments' high returns might be: (1) endowment size through the channel of economies of scale in endowment management; (2) allocation to alternative investments; (3) admission selectivity or student quality (proxied by SAT score in Lerner's JEP paper), through several possible indirect channels; and (4) the way in which endowment investment officers are organized. However, if we focus on point (3), due to data availability, Lerner et al. (2008) cannot pinpoint the exact channel through which more selective schools make better investments. And in their paper, they think admission selectivity plays a very important role. What I propose here is to hand collect investment committee members' information from sources including the websites of university endowments, BoardEx, and Riskmetrics. So that we can identify the most important mechanism that gennerates high returns for university endowment funds.
with Mo Jianming, (2015), "A Solution to the Disconnect between Operational Risk Measurement and Management Models"   .
   
In order to connect the heavy-tailed operational risk measurement model with management model, a theoretical analysis is conducted on the sensitivity of heavy-tailed operational VaR by means of the elasticity analysis method. A discriminative model on the key management parameters of operational risk is set up. And the robustness of this model is also verified by a numerical example. The key management parameters connect the measurement model with management model, making the operational risk management frameworks a full and complete system and also laying a foundation for the establishment of a dynamical operational risk management system. This study is theoretically improving the application of loss distribution approach to the operational risk measurement and management.
with Rajesh Singh, (2014), "International Business Cycles with Incomplete Market and Investment Composition"   .
   
This paper extends Oviedo and Singh's (2013) JIE model, where capital goods comprise multisectroral inputs, by adding incomplete market strucutre. The results show that our model outperfomrs the standard real business cycle models. In particular, it substantially improves (a) the movements of trade balance and relative prices; (b) within country comovements of sectoral and aggregate quantities; (c) cross-country comovements of output vis-a-vis consumpition.
(2014), "A Network Contagion Theory of Operational Losses"   .
   
This paper models the accumulation of operational risk losses via a mechanism of network contagion across distinct procedures within the boundaries of a bank. The resulting loss severity distribution in theory is consistent with the parametric distribution that fits loss data best, as suggested by previous empirical works.

  • 博士:国际经济学专题
  • 硕士:国际经济学,国际金融与风险管理,资本市场与全球经济,国际贸易专题,自贸区专题研究,自贸区改革理论与实践,经济分析的定量方法
  • 本科:货币,银行和金融市场,国际贸易


  • 2011年,爱荷华州立大学杰出研究奖
  • 2011年,CFA注册金融分析师认证考试奖学金
  • 2010年,全球风险管理协会GARP风险管理师认证考试奖学金;2010年爱荷华州立大学研究生协会优秀研究奖
  • 2010年,美国南部经济学年会研究生奖励
  • 2006年到2010年,爱荷华州立大学助学金
  • 2005年,香港科技大学研究生奖学金,排名前1%。
高翔,经济学博士,特许金融分析师(Chartered Financial Analyst, CFA)、金融风险管理师(Financial Risk Manager, FRM)、特许另类投资分析师(Charted Alternative Investment Analyst, CAIA)、国际财务顾问资格认证(Financial Advisors International Qualification, FAIQ);现任上海财经大学国际工商管理学院副教授,美国特许另类投资分析师协会(Chartered Alternative Investment Analyst Association)中国分会执行官;先后获得上海交通大学国际经济与贸易学士学位、香港科技大学经济学硕士学位、美国爱荷华州立大学(Iowa State University)经济学博士学位;曾就职于美国Aviva Investors North America资产管理公司从事风险管理工作;创立了国内首家提供操作风险事件外部数据库的商业情报机构:科德中国金融机构操作风险数据库(www.cord-oprisk.com)。
  • 主持:上海市科学技术协会项目,互联网金融平台的风险测度及监管建议,2015年11月-2016年4月
  • 主持:国家自然科学基金青年科学基金项目,操作风险动态量化方法研究:从微观机构到宏观系统,2016年1月-2018年12月
  • 主持:上海浦江人才计划项目,金融机构中操作风险的网络结构,2012年10月-2014年10月
快速通道: 产经暑期学校  |  国际组织人才培养  |  信息公开  |  精品课程  |  博士生导师  |  科研管理  |  外贸实习  |  导师选择与论文管...  |  网站管理  |  领导信箱  | 
学院地址:中国 上海 国定路777号  邮编:200433  电话:021-65907338(咨询电话) 
网站访问量:
FAX: 021-65907338  Email: wxb@mail.shufe.edu.cn  技术支持:上海时光基业软件有限公司