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考虑违约风险的贷款组合管理 总被引:1,自引:0,他引:1
目前商业银行的主要业务还是集中在信贷业务,如何对贷款进行组合管理是银行所面临的问题。传统的马柯维茨均值——方差模型贷款组合模型,是以收益的方差作为风险度量指标,只考虑了市场风险,而没有考虑到企业的违约风险。本文用Merton模型根据企业财务数据估算出企业的预期违约概率,考虑了企业在违约情况下的收益率,把企业的违约概率纳入到组合模型中。用估算出来的违约概率和违约损失率计算出银行收益的波动性,再运用企业收益的相关性代替企业违约的相关性,根据现代组合分析模型得出收益-风险的有效前沿,从而使银行可以根据收益和风险承受能力对企业进行授信。 相似文献
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从违约鉴别和特征选择视角出发,采用机器学习算法,对我国信息技术企业信用评级问题进行了研究。研究表明,通过SMOTE方法对非均衡样本数据进行处理,解决了样本数据类别不平衡导致预测模型存在类别偏好问题;通过Logistic-Lasso方法进行指标筛选和计算企业违约概率,并根据违约概率进行信用分级,保证了信用评级模型的精简和违约预测可靠性,改善了信用评级与违约概率不匹配问题。构建的信用评级模型采用39个指标,总体鉴别精度在98%以上,模型的可靠性和实用性优于其他常见的机器学习模型。此外,根据企业信用级别情况,分别从企业自身、投资者和监管部门角度,提出了控制风险的相应对策。 相似文献
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本文采用随机模拟的方式分析了基础资产违约率、相关系数以及资产回收率等参数对结构融资评级模型的影响,结果发现模型产生的优先层级违约概率和预期损失传递的信息不一致,并且常规情况下得出的结论在高违约概率和高相关系数的危机背景下并不成立.此外,本文分析还表明,结构融资工具的违约变动模式显著不同于基础资产.因此,对结构融资工具和传统债务工具采用相同的评级标识可能会对投资者产生误导. 相似文献
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伴随股市波动加剧,证券公司融资融券业务信用风险形势日趋严峻。违约概率被用于客户准入管理、风险定价与信贷组合管理等多个方面,处于信用风险管理的基础性地位。本文使用Probit、Logistic与Extreme Value模型,讨论融资融券业务个人客户的违约概率计量。在融资融券业务开展时间较短、数据积累与整理工作尚不完善的情况下,本文重点使用信用账户的资产负债结构信息计量违约概率,并从模型准确性与拟合性的角度,使用ROC曲线与Brier评分方法对三种模型进行比较与验证。研究结果表明:三种模型均具有较强的区分能力,但Extreme Value模型准确性最强,拟合效果最好,最适合于计量融资融券业务的违约概率。 相似文献
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Roberts LM Spreitzer G Dutton J Quinn R Heaphy E Barker B 《Harvard business review》2005,83(1):74-80, 117
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When to ally & when to acquire 总被引:3,自引:0,他引:3
Acquisitions and alliances are two pillars of growth strategy. But most businesses don't treat the two as alternative mechanisms for attaining goals. Consequently, companies take over firms they should have collaborated with, and vice versa, and make a mess of both acquisitions and alliances. It's easy to see why companies don't weigh the relative merits and demerits of acquisitions and alliances before choosing horses for courses. The two strategies differ in many ways: Acquisition deals are competitive, based on market prices, and risky; alliances are cooperative, negotiated, and not so risky. Companies habitually deploy acquisitions to increase scale or cut costs and use partnerships to enter new markets, customer segments, and regions. Moreover, a company's initial experiences often turn into blinders. If the firm pulls off an alliance or two, it tends to enter into alliances even when circumstances demand acquisitions. Organizational barriers also stand in the way. In many companies, an M&A group, which reports to the finance head, handles acquisitions, while a separate business development unit looks after alliances. The two teams work out of different locations, jealously guard turf, and, in effect, prevent companies from comparing the advantages and disadvantages of the strategies. But companies could improve their results, the authors argue, if they compared the two strategies to determine which is best suited to the situation at hand. Firms such as Cisco that use acquisitions and alliances appropriately grow faster than rivals do. The authors provide a framework to help organizations systematically decide between acquisition and alliance by analyzing three sets of factors: the resources and synergies they desire, the marketplace they compete in, and their competencies at collaborating. 相似文献
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Fitschen F 《Hospital financial management》1976,30(11):44-8, 50
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商业银行如何应对利率市场化 总被引:6,自引:0,他引:6
最近,中国央行的利率政策传达出利率市场化步伐骤然加快的信号,沉浸在央行利率管制环境下的国内商业银行突然感到"利基"竞争的性质发生了重要变化。那么.在利率市场化环境下商业银行应采取怎样的风险偏好,才能使贷款定价覆盖风险溢价?这是银行管理者必须回答的问题。 相似文献
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Standard tax multipliers are a widespread feature of fiscal equalization systems. A simple theoretical model shows that actual tax multipliers respond positively to changes in standard tax multipliers. This theoretical prediction is tested empirically using data on municipalities in Germany. A quasi-experiment in the state of North Rhine-Westphalia is exploited to identify the incentive effect. The empirical results confirm that local business tax policy is shaped by standard tax multipliers. They provide a straightforward practical tool to avoid a race to the bottom in local business tax rates. 相似文献
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