KMV模型对我国房地产上市公司信用风险度量的实证研究

本文根据我国房地产上市公司独有的特点,运用修正后的KMV模型,选取沪市29家上市公司的数据,对其信用风险进行了度量,并对可能引起信用风险的因素进行实证研究。     

KMV模型对中国上市公司信用风险识别能力的实证研究

KMV模型作为一种结构化信用风险度量和预测工具,在国外成熟市场已被广泛采用。本文选取了66家中国的上市企业作为样本,通过比较其违约距离,检验了KMV模型的信用风险识别能力;同时选取了25家ST企业三年的数据作为样本,通过纵向比较其违约距离,检验了KMV模型的信用风险预警能力。     

基于KMV模型的新疆上市公司信用风险度量研究

本文根据新疆实际修正了KMV模型,以发生亏损的新疆上市公司为违约组,在西北五省中按资产相近原则选取了对照组,验证了修正后模型的有效性,并说明了发生亏损企业的信用风险相对较大。度量新疆上市公司信用风险后发现:股价波动率、债务结构影响新疆上市公司信用风险;产能过剩行业明显大于其他行业的企业信用风险;创新会明显改善企业的信用风险大小;且与我国整体情况不同的是新疆涉农上市公司信用风险较小。建议新疆上市公司应优化债务结构和提升创新能力,尽快完成传统产业转型升级,同时金融机构要关注上市公司信用风险变化,并要大力支持创新型企业发展。     

生命周期视角下并购类型对上市公司信用风险的影响 ——基于KMV模型的实证研究

以2009—2013年沪、深股市发生并购事件的103家上市公司为研究样本，利用KMV模型对不同生命周期、不同并购类型的上市公司并购事件发生前和并购事件发生后的信用风险进行了实证分析。研究发现，不同并购类型的上市公司并购前后的信用风险变化情况呈现生命周期差异。处于成长期的公司，实施相关并购会降低信用风险，实施多元化并购会增加信用风险；处于成熟期的公司，则相反。同时，还从不同角度进行了稳健性检验，发现研究结论不变，进一步验证了结论的可靠性。从企业生命周期视角研究并购类型对上市公司信用风险的影响，补充和拓展了现有上市公司并购风险方面的研究文献，同时也对企业并购决策和公司治理有重要启示。     

非上市公司信用风险的期权定价模型研究

近年来,运用基于期权定价理论的KMV模型测度上市公司的信用风险得到了广泛的应用。但对于非上市公司市场价值V0和波动率σv的估测是非常困难的。PFM模型给出了估计非上市公司市场价值V0和波动率σv的方法。然后针对我国的非上市公司对模型进行了修正并进行了评价。     

我国中小上市公司信用风险评估研究

如何对我国中小企业的信用风险进行准确的衡量一直是我国商业银行所关注的焦点。本文在沪深两市选取40家中小上市公司作为中小企业的代表,根据这40家公司2012年至2014年的违约状况对KMV模型进行修正,修正后的违约点DP=1.50SD+0.77LD,说明我国中小上市公司整体的信用风险大于国外公司的信用风险。依据得出的违约距离值设置出两条信用危机预警线,从而使我国商业银行能够提前发现中小企业的信用危机,提前做好防范措施,使损失最小化。     

现代信用度量方法及其评价

信用风险很早就受到重视,经过几十年的发展,逐步形成了度量信用风险的各种方法。本文将回顾当前国际上流行的信用资产风险管理模型并分析各种模型的优缺点,供金融机构信用风险管理借鉴。     

信用风险度量模型的评述与比较

本文首先对度量信用风险的违约概率(PD)、违约损失率(LGD)等几个基本指标的内涵进行了深入剖析,在此基础上研究了现有的计算这几个指标的商业模型包括CreditMonitor、Credit Metrics等以及巴塞尔协议模型,重点探讨了这几个重要信用风险度量模型的理论来源、模型架构以及适用范围,最后逐一分析了几个信用风险度量模型在我国的可行性,并据此提出在我国开展信用风险度量工作的建议。     

商业银行信用风险管理与VaR风险度量

新巴塞尔协议提倡量化商业银行风险,并强调了商业信用风险管理的重要性,基于VaR的风险度量模型成为商业银行提高信用风险管理水平的重要途径.本文介绍VaR度量风险的含义及基于VaR的风险度量模型Credit Metrics原理,提出提高我国商业银行信用风险管理水平方法.     

商业银行信用风险管理与VaR风险度量

新巴塞尔协议提倡量化商业银行风险，并强调了商业信用风险管理的重要性，基于VaR的风险度量模型成为商业银行提高信用风险管理水平的重要途径。本文介绍VaR度量风险的含义及基于VaR的风险度量模型Credit Metrics原理，提出提高我国商业银行信用风险管理水平方法。     

On the Major Transformation of the Asia-Pacific Regional Structure北大核心CSSCISSCI

Recent years have witnessedsignificant changes in the Asia-Pacific regionalstructure featuring the shift in power balance among related countries as well as adjust-ments in their respective regional strategies. So what is the prevailing trend in thistransformation and what kind of regional order will likely emerge in the future？ To an-swer these questions, the paper tries to explore the following dimensions： the evolvingregional context, shift in power balance and power conversion, geo-political and geo-e-conomic developments and interactions between them, and evolving regional order. Asthe study shows, the broadening of regional geographical scope, the rise in the numberof actors involved, as well as changesin the relations among them, have combined tocast a pluralistic and complex flavor to the regional structure. While the power balanceamong China, the United States and Japan shifts, and power conversion is also occur-ring. China and Japan are paying increasing attention to their security roles, whereasthe United States under the Obama administration laid more stress on expanding itsgeo-economic clout. In spite of the intensifying geopolitical competition among China,the United States and Japan in recent years, a Sino-US strategic compromise-whichholds the key to regional geopolitics-isother front, some kind of geo-economicmore likely to take place in the future. On thecooperation will probably emerge. In the longerterm, it will be the geo-economic trend thatwill prevail over the geopolitical trend inthe region. Finally, the future evolution of regional order wiI1 mainly follow the eco-nomic logic, accompanied by the dilutionof its hegemonic and hierarchical nature.Hence, a pluralistic and complex regional community will emerge.     

The German Hanse and Bergen – new perspectives on an old subject

Abstract

The Hanseatic League and her kontors (trading posts) were an integral part of the medieval trade system in Northern Europe. Hanse merchants dominated many markets in this region and managed to maintain a monopoly-like role in towns like Novgorod and Bergen for many centuries. Consequently, one focus of historical research about the Hanseatic League lay on the mechanisms that enabled the Hanse merchants to keep that strong of a position for such a long time.

This article is part of the discussion about this topic. Based on Lübeck merchants with business interest in the Norwegian town of Bergen, the so-called Bergenfahrers (Bergen travellers), it will give new insights into the Hansards' economical and social organization. The three main points are (a) the integration of the Bergen market in the Hanseatic trade network as an intermediary trading place on the vivid East–West route of Hanse trade; (b) the importance of the Bergenfahrers within the Hanse merchants' economical, social and political networks; and (c) the structure of the Bergenfahrers network patterns in the late Middle Ages.

In addition to new insights into the important role of Bergen and the Bergenfahrers within Lübeck's and the other Wendish Hanse towns' trading system, this articles provides further proof for the usefulness of the methods of Social Network Analysis in medieval economic research.     

Organization and incentives in the age of sail

The British Navy in the age of sail was the most successful bureaucracy of its time. Its organization and incentive structures differed importantly from contemporaneous private sailing ventures, but closely resembled those of today’s large corporations. To induce efficient effort, the navy used a hierarchical tournament, in which sailors competed for higher pay that came with promotions based on relative performance. Promotion probabilities, the option value of future promotions, and the higher effort required of men in higher ranks and on larger vessels, combined to yield a highly skewed pay structure.     

Financial Reporting and Trade Credit: Evidence from Mandatory IFRS Adoption*

We investigate the effect of mandatory IFRS adoption on trade credit. We document that firms in countries that adopt IFRS receive more trade credit from their suppliers, consistent with improved financial reporting quality and comparability playing a role in facilitating informal financing. This increase is larger for countries with a low level of societal trust, a poor pre‐IFRS‐adoption information environment, and stronger legal enforcement. These cross‐sectional results suggest that the conditions under which higher‐quality information is made publicly available affect suppliers' decisions to provide trade credit. This increase is also larger for firms with greater exposure to foreign markets, a finding that highlights the importance of more comparable international financial reporting standards in facilitating cross‐country trade credit. We also find that IFRS adoption has a stronger positive effect on trade credit for firms with greater liquidity needs. Finally, we find that firms in countries that adopt IFRS also extend more trade credit to their customers. Overall, our results support the notion that financial reporting can have a causal effect on trade credit.     

区域工业产业竞争力指标体系的构建及其评价方法研究

文章通过建立省级区域工业产业竞争力评价指标体系,设计竞争力模型,利用SPSS统计软件,对各省工业产业竞争力进行了评价测定。     

中俄经济技术合作面临新机遇

中俄在十年内把各自的GDP翻一番的目标,为发展中俄经济技术合作提供了机遇.仅仅依靠商品贸易的增长很难大幅度提升中俄经贸关系,需要全面开展经济技术合作,特别是加强在自然资源开发、跨国投资、军工技术和产品贸易领域的合作.     

INFRASTRUCTURE POLICY IN INDONESIA, 1965–2015: A SURVEY

This survey, first, provides an overview of the main developments in the infrastructure sector in Indonesia during the past five decades and, second, considers what the main policy and management bottlenecks in infrastructure appear to be. The overview of main developments indicates that, in broad terms, most parts of the sector have expanded considerably but that the needs remain acute for further expansion and for attention to the maintenance of existing facilities. Demand for infrastructure is high, especially since the regulated prices set for infrastructure services are often low. Access is often difficult, however, because of shortages of infrastructure, and quality is often unsatisfactory because of poor maintenance and indifferent management. These problems of access are exacerbated by the regulation of prices. This overview also points to the markedly different performances of industries in which pro-competitive policies have been applied and those in which more traditional policies of close regulation have restricted the operation of markets.