ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

We develop an arbitrage‐free valuation framework for bilateral counterparty risk, where collateral is included with possible rehypothecation. We show that the adjustment is given by the sum of two option payoff terms, where each term depends on the netted exposure, i.e., the difference between the on‐default exposure and the predefault collateral account. We then specialize our analysis to credit default swaps (CDS) as underlying portfolios, and construct a numerical scheme to evaluate the adjustment under a doubly stochastic default framework. In particular, we show that for CDS contracts a perfect collateralization cannot be achieved, even under continuous collateralization, if the reference entity’s and counterparty’s default times are dependent. The impact of rehypothecation, collateral margining frequency, and default correlation‐induced contagion is illustrated with numerical examples.     

Do sovereign rating announcements affect emerging market exchange rate correlations? A multivariate DCC-GARCH approach

This article investigates the effects of sovereign credit rating announcements on time-varying exchange rate return correlations for a sample of 11 emerging market countries over the period 2002–2015. The data set covers daily exchange rates and long-term foreign currency sovereign ratings, outlooks and watch list. The pairwise time-varying correlations are derived by corrected Dynamic Conditional Correlation (cDCC) modelling which is a member of multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models family. Furthermore, to capture the global factor effect, a dynamic-weighted index is created by using dynamic principal component (DPC) analysis. Findings suggest that some of the emerging market exchange rate co-movements are affected by rating announcements. Upgrades of Moody’s and downgrades of Fitch lead to spillovers. Main source of these spillovers are sovereign credit rating changes of European countries, especially Czech Republic and Turkey. Countries with high amount of external debt, large current account deficit and speculative grade are more prone to be influenced by announcements on a foreign country’s long-term sovereign rating.     

我国收入分配领域存在的问题及解决的办法

目前,我国收入分配领域存在收入分配不公平和收入分配秩序混乱等问题,必须从以下几个方面入手加以解决:一、惩治腐败,严厉打击非法收入。二、加快对垄断行业的改革,规范垄断行业的收入分配。三、加快税收制度改革,缩小收入分配差距。四、建立和完善覆盖全民的基本公共服务体系,推进基本公共服务均等化。     

基于公共选择视角的“灰色收入”防控机制创新

灰色收入即为非法收入及其他来源不明的收入，具有参与范围扩大化、标的形式多样化、实地操作隐蔽化、实现标准奢侈化、实现手段智能化等趋势特点。产生原因有法律缺失、教育缺位、监管失严、权力信息不明等，对应的防控措施有严格法律界定、加强生活圈管理、加强多方监管、推进收入和财产公示等。     

Probabilistic assessment of fleet-level noise impacts of projected technology improvements

Demand projections for civil aviation have forecast increases in operations in future decades. Increases in demand are beneficial to the growth and advancement of the aviation industry, but also come with the threat of significant increase in environmental impacts. In response, the industry is focusing on programs to develop technologies for reductions in fuel burn, NO_x emissions, and noise. While aircraft-level impacts are an obvious metric of success, it is difficult to make informed robust technology investment decisions with respect to noise without understanding the fleet-level impacts. Fleet-level predictions of noise for technology explorations are especially complicated because it is computationally expensive, highly combinatorial, and airport-specific. Recently, rapid automated airport noise models have been developed, which can be simulated using Design of Experiments (DOE). The results of these simulations are used to generate surrogate models for airport noise contour area, which can be summed to yield a fleet-level impact. These models make use of simplifying assumptions to provide estimates of airport-level noise that are substantially cheaper to compute. They can be used to perform parametric trade-off analyses in conjunction with the equivalency assumption. Equivalency asserts that environmental impacts of a technology infused aircraft can be represented by scaled operations of the baseline aircraft in the same class. This simple assumption allows for the modeling of technology and market penetration factors under the same units: operations. This research uses surrogate models in conjunction with the equivalency assumption to examine two potential technology scenarios in a target forecast year, simulating technology and market performance factors to identify vehicle classes that could have the greatest impact in reducing contour area. Results show that technology and market performance of future notional Small Single Aisle and Large Single Aisle vehicle aircraft have the highest positive correlations with potential reductions in contour area.     

环渤海地区区域经济空间网络关联结构研究

采用网络分析方法，对1995—2014年环渤海地区区域经济空间网络关联结构进行分析，研究发现：环渤海地区区域经济空间网络关联特征显著，分为“辽宁”和“京津冀鲁”两个子网络；网络密度稳步上升，但仍然较低；核心区域的经济比重有所降低，但份额始终较大；网络效率在波动中趋降，空间溢出效应趋于显著。其中，北京、天津、济南等9地属于“主受益”板块，石家庄、保定、潍坊等19地属于“经纪人”板块，沈阳、大连、鞍山等4地属于“双向溢出”板块，而秦皇岛、承德、葫芦岛等12地属于“净溢出”板块。产业结构转型升级、控制FDI区域差异以及投资多元化等有利于环渤海地区增强区域经济空间关联。应多途径构建区域经济关联通道，打造“环型”网状关联经济，并通过产业转型升级和经济多元化发展增进区域经济空间关联。     

中国利率体系中主要利率间的关系研究

当前，我国正处于利率市场化改革的关键时期。利率市场化改革要求中央银行有完善的价格调控手段，并体现在基准利率体系的完善和利率传导机制的畅通上。本文对我国主要利率品种之间的关系进行实证研究发现，我国货币市场利率、央票利率、贷款利率等相关性不断增强。据此，本文对我国进一步推进利率市场化改革提出了政策建议。     

Corporate bond market interdependence: Credit spread correlation between and within U.S. and Canadian corporate bond markets

This study investigates the correlation and interdependence between and within the U.S. and Canadian corporate bond markets. The empirical framework adopted allows credit spreads to depend on common systematic risk factors derived from structural models and incorporates dynamic conditional correlations (DCC) between spreads. Results show that there is a surprisingly weak correlation between the two markets in normal times. However, during crises, there is a sudden and strong increase in the correlation between U.S. and Canadian credit spreads. The analysis of credit spread correlation within each market also shows an unusual increase in credit spread correlations between sectors and between risk classes in the U.S. during the 2007–2009 global financial crisis. This increase persists over the post-crisis period. By contrast, in Canada, credit spread correlations between sectors remain remarkably stable over time, suggesting an interdependence of credit spreads within the Canadian market.     

电力市场效率评估与碳市场价格设计——基于电碳市场关联视角下的传导率估计

厘清并量化电力市场与碳市场间的关联关系,是深化电力市场改革与实现"双碳"目标的重要抓手。本文基于2006—2018年中国100个地级及以上城市的面板数据,使用似不相关回归模型评估了电力市场效率,在此基础上研究了电、碳市场关联条件下碳价对电价的传导率,并对不同场景下全国碳市场的碳价进行了优化设计。研究发现:(1)与非试点地区相比,碳市场试点地区中电力市场的无谓损失率更低,并且市场效率的提高具有更高的碳减排作用。(2)电、碳市场关联条件下,碳价对电力市场中居民电价的传导率高于对工业电价的传导率,但均远低于完全竞争条件下的传导率水平。(3)传导率的提升能够缓解"降电价"与"碳减排"之间的矛盾。当前传导率下电力市场效率目标与碳减排目标的协同实现需要碳价的大幅提升,而在完全传导的理想情况下最优碳价约为40元/吨。(4)长期而言,当前传导率下碳排放总量下降场景、经济增速放缓场景对应的最优碳价分别为255.05元/吨、173.63元/吨,而人口老龄化场景并未对最优碳价的设置形成约束。本文的研究不仅为电力市场与碳市场之间的关联奠定了理论基础,也为全国碳市场价格机制的优化设计提供了政策参考。     

新疆国内游客综合满意度影响因子及发展对策分析

从旅游业各组成要素的角度,运用灰色综合关联度分析法以及满意度四分图模型对影响新疆国内游客综合满意度的主导因子及其影响力的大小进行了探讨。研究结果表明,各因子对综合满意度的影响程度存在明显差别,可分为三个层次:长途交通、景区游览的满意度与综合满意度的关联度最高,在0.9以上,是目前影响新疆国内游客综合满意度的关键因子;购物和导游是主要因子,关联度在0.8以上;而娱乐、餐饮和住宿的关联度最低,是次要因子。因此,今后应把重点放在各类交通的发展和景区的建设和提高上。处于提升区的购物和导游是目前新疆旅游业发展急待改进的因子,也是新疆国内游客满意度提高的关键所在,要加大对这两方面的投入,争取在短时间内提高服务水平,改善购物环境,以扩大国内旅游客源市场份额。