On Models of Default Risk

We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset's filtration, and the intensity of the default time. We finally discuss some examples.     

基于上市公司视角的企业集团财务公司风险

2004年中国银监会降低财务公司的进入门槛以来,企业集团争相组建财务公司,旗下上市公司或加盟,或与之发生交易,但境内股东看好,境外股东看坏,上市公司为此备受困扰。现从上市公司角度,结合财务公司过往情况,探讨财务公司的风险,并在全面风险管理原则下,按风险属性,提出防范风险的建议,以期上市公司更好地维护自身的长远利益和全体股东的合法权益,消除市场误解。     

Tempering effects of (dependent) background risks: A mean-variance analysis of portfolio selection

In a mean variance framework, we analyse risk taking in the presence of a (possibly) dependent background risk, exemplified in a linear portfolio selection problem. We first characterise the comparative statics of changes in the distribution and dependence structure of the background risk. For unfair, undesirable and loss-aggravating increases in background risks (both dependent and independent), we then present necessary and sufficient restrictions on preferences such that greater background uncertainty leads to reduced risk taking. With mean-variance preferences, these restrictions boil down to simple conditions on the marginal rate of substitution between risk and return. They can be easily related to familiar notions such as risk vulnerability, properness or standardness.     

信用视角的消费者破产立法原因分析

现代市场经济条件下，消费信用不断向广度和深度发展，以银行为媒介的消费信用更为普遍。经济周期波动、社会不可抗力、银行管理不善、消费者理财不善及恶意欺诈等是消费信用蕴涵的主要风险。消费信用经济的扩大化，使得很多家庭在遇到就业、医疗、婚姻等问题时的脆弱性增加，导致消费者负债额的不断上升，消费者破产制度无疑是应构筑的最关键的和最后的一道防线。     

Similar financial models： Are they free lunches？

In recent years, the academic and practical circles have paid so much attention to similar financial models because they generated a miracle in GOME （Gome Electrical Appliances Holding Limited） and SUNING （Suning Appliance Co., Ltd.） respectively. But what＇s the influence of such a model on corporate profitability and risk？ Are similar financial models free lunches？ To seek for the answers to the above questions, in this paper, we take Gree （GREE Electric Appliances, Inc. of Zhuhai）, Midea （Guangdong Midea Electric Appliances Co. Ltd. Stores） and GOME for examples to carry out a comprehensive and in depth financial analysis. The conclusions of this paper are： The company with similar financial characteristics has higher profitability and risk level; Only the companies which meet special requirements need or can implement such a model and the identification and control of hidden risk can guarantee its success.     

企业集群的网络性及其风险

企业集群是一种网络组织,它的形成是网络外部化的过程。它具有网络的一般特性。本文从分析企业集群的网络性入手,提出了网络性带给企业集群竞争优势的同时,也带来了巨大的风险。     

风险投资在促进创新型中小企业成长中的作用

风险投资家不仅为创新型中小企业提供了股本支持,而且还运用自身丰富的管理经验、专业能力及社会网络,向创新企业家提供其所缺乏的管理服务。风险投资这一创新的投资方式,使其成为推动创新型中小企业发展的不可替代的力量。要发挥风险投资在推动创新型中小企业发展中的巨大作用,必须遵循风险投资交易的规律,一方面要大力发展我国的风险投资业,另一方面要增强创新型中小企业吸纳风险投资的能力。     

贷款买房热的冷思考——高房价背景下的房贷风险浅析

持续攀升的房价、快速累计的房贷总额以及“房奴”队伍的日益膨胀无不使房地产市场成为当今中国经济最吸引眼球的领域之一,而在这一片繁荣的背后其实蕴含着巨大的风险。     

The valuation of a firm’s investment opportunities: a reduced form credit risk perspective

This paper develops a valuation model for a firm’s investment opportunities. Given standard market imperfections, we show that maximizing the firm’s equity value is consistent with the need to include a capital charge for an investment specific to a firm’s capital structure and in excess of the investment’s market determined risk. A reduced form credit risk perspective is taken to enable a continuous time implementation. This continuous time implementation is illustrated within the paper.      

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。