基于SV-KMV模型的信用风险度量研究

KMV模型是度量信用风险的主要模型,股权价值波动率是KMV模型的重要参数,应用改进KMV模型GARCH-KMV模型与SV-KMV模型对中国上市公司信用质量的实证研究表明:股权价值波动与KMV模型的结果违约距离高度负相关;GARCH-KMV与SV-KMV模型均能度量上市公司信用状况,但SV-KMV模型比GARCH-KMV模型度量效果更好。     

Modelling the dependency between currency and debt crises: An option based approach

The interrelation between currency and debt crises is considered in a model relying on option pricing theory. By capturing uncertainty and time aspects in this stochastic and dynamic framework we analyze parameters that determine the probabilities and dependencies of these crises.     

基于价值链的企业信用风险管理体系

本文在科学把握企业信用风险管理和价值链理论的基础上，将波特价值链分析法应用于企业信用风险管理，以销售——回款过程为主线，构建了企业信用风险管理价值链，探讨了企业信用风险管理的基本理论和管理技术。     

Strategic freedom, constraint, and symmetry in one-period markets with cash and credit payment

Summary. In order to explain in a systematic way why certain combinations of market, financial, and legal structures may be intrinsic to certain capabilities to exchange real goods, we introduce criteria for abstracting the qualitative functions of markets. The criteria involve the number of strategic freedoms the combined institutions, considered as formalized strategic games, present to traders, the constraints they impose, and the symmetry with which those constraints are applied to the traders. We pay particular attention to what is required to make these strategic market games well-defined, and to make various solutions computable by the agents within the bounds on information and control they are assumed to have. As an application of these criteria, we present a complete taxonomy of the minimal one-period exchange economies with symmetric information and inside money. A natural hierarchy of market forms is observed to emerge, in which institutionally simpler markets are often found to be more suitable to fewer and less-diversified traders, while the institutionally richer markets only become functional as the size and diversity of their users gets large.Received: 5 June 2003, Revised: 18 November 2003, JEL Classification Numbers: C7, G10, G20, L10, D40, D50. Correspondence to: Eric SmithEric Smith, Martin Shubik: We are grateful to Lloyd Shapley, Duncan Foley, and Doyne Farmer for discussions in the course of this work.     

中小企业信贷市场的监控研究——基于信息和产品差异化模型

中小企业信用缺损成为中小企业陷入融资困境并制约其发展的重要原因,但中小企业信贷市场风险高,对中小企业信贷市场的监控便成为研究的重要课题.银行监控中小企业信贷市场的有效途径之一是对借主的事前监控.构建监控模型和产品差异化模型在于银行利用资源在发放贷款之前监测企业,通过银行获取信息或者在市场力(产品差异化)投资模型的分析表明两种选择产生不同的预测,即银行加大分支机构和人力资本的投入,有利于提高信息获取的范围以及信息获取的准确性,但对市场力增长不显著;银行对借主资金交易的管理有利于提高借贷风险控制能力.     

金融危机背景下信用违约互换道德风险研究

2007年爆发的金融危机中,信用违约互换蕴含的道德风险使其成为危机发生和发展的助推器。本文通过构建信用违约互换交易的合约设计模型,研究该产品的作用以及控制其道德风险的最优合约设计。分析发现:交易双方资金成本差异决定了信用违约互换具有优化配置信用风险、提高银行收益和拓宽市场主体投资渠道等有利作用,但信用违约互换交易会降低银行监督信贷资产的努力水平,导致信用风险积聚和增加。通过引入不完全保护机制,我们给出了有效控制信用违约互换道德风险的最优合约。本文的研究结论为防范和控制信用衍生品隐含的道德风险提供了借鉴,有利于促进其发挥分散信用风险等积极作用。     

Discretionary policy in a monetary union with sovereign debt

This paper examines the interactions between multiple national fiscal policymakers and a single monetary policy maker in response to shocks to government debt in some or all of the countries of a monetary union. We assume that national governments respond to excess debt in an optimal manner, but that they do not have access to a commitment technology. This implies that national fiscal policy gradually reduces debt: the lack of a commitment technology precludes a random walk in steady-state debt, but the need to maintain national competitiveness avoids excessively rapid debt reduction. If the central bank can commit, it adjusts its policies only slightly in response to higher debt, allowing national fiscal policy to undertake most of the adjustment. However, if it cannot commit, then optimal monetary policy involves using interest rates to rapidly reduce debt, with significant welfare costs. We show that in these circumstances the central bank would do better to ignore national fiscal policies in formulating its policy.     

我国商业银行信用风险模型的国际比较与改进

现代商业银行信用风险管理已发展到以巴塞尔新资本协议IRB法为代表的模型化管理阶段.我国商业银行目前所采用的信用风险管理模型贷款风险度方法仍主要以定性分析和经验判断为主,在风险与资本定量计量上存在许多不足.本文研究遵循"路径依赖"的改进路径思路,在细致考察我国商业银行现有的信用风险管理模型的贷款风险度方法存在的不足和缺陷的基础上,将其与现代信用风险管理模型进行比较分析,从而寻找改进和构建我国商业银行信用风险管理模型的路径选择.     

Inflation targeting credibility and sovereign risk: evidence from Colombia

This article relates to the literature on sovereign risk in developing countries. In particular, we present empirical evidence to address the effect of inflation targeting credibility on sovereign risk based on the Colombian experience. The findings denote that credibility is an important improvement in the institutional framework to reduce the sovereign risk premium.     

基于VaR方法的商业银行信用风险的探究

信用风险管理的核心问题是信用风险的度量。本文重点探究基于统计方法的VaR信用风险模型,通过实证分析可知,以VaR值为核心的CreditMetrics方法,通过适当修正,符合我国商业银行信用风险管理的实际情况。     

Evaluating borrower’s default risk in peer-to-peer lending: evidence from a lending platform in China

Recent years have witnessed the popularity of online peer-to-peer lending, which allows individuals to borrow from and lend to each other on an Internet-based platform. Using data from a large P2P platform in China, this article explores the factors that determine the default risk based on the demographic characteristics of borrowers. Moreover, we propose a credit risk evaluation model, which can quantify the default risk of each P2P loan. Empirical results reveal that gender, age, marital status, educational level, working years, company size, monthly payment, loan amount, debt to income ratio and delinquency history play a significant role in loan defaults. Finally, we analyse the relationship between default risk and these contributory variables, and the possible causes are also discussed in this study.     

商业银行信用卡业务发展与风险管理

回顾信用卡业务在我国的发展历程、分析信用卡业务的发展现状,不难发现中国已成为全球信用卡业务增长最快、发展潜力最大的市场。作为未来消费信贷的重要增长点,在金融行业民间资本准入制度的放开、全球化进程不断深入、移动互联快速普及的大数据时代,民间资本、外资银行对信用卡业务的广泛渗透,以及互联网金融的创新发展,必将导致国内信用卡业务参与方关系日趋复杂,信用卡市场竞争日趋激烈。因此,信用卡业务发展过程中所面临的问题及发行风险不容忽视。文中采用行为概率及效用函数的方法对信用卡消费行为进行博弈分析,应用行为分析的结果,对信用卡业务中诸如个人信用登记评估制度,发卡机构营销、审批机制和产品附加值,消费管理和奖惩制度及法律法规制定等相关问题进行了剖析,系统分析了银行信用卡发行过程中的风险,并对信用卡市场的健康发展提出了几点建议。     

产业升级视角下绿色信贷与环保财政政策协同效应研究

单一的绿色信贷政策或环保财政政策在促进环境治理、产业升级等方面存在局限性。因此,首先在阐述绿色信贷政策和财政政策作用机理的基础上,给出二者可能的政策协同渠道。然后,利用2007—2016年省际面板数据,考察绿色信贷与环保财政政策在促进产业升级方面是否存在协同效应,并对有可能增强二者协同效果的相关因素进行检验。结果表明：绿色信贷与环保财政政策存在显著协同效应,并且绿色信贷与税收政策的协同效果优于其与支出政策的协同效果,而金融发展水平能够显著促进绿色信贷与环保财政政策协同。此外,考察了政策协同与单位能耗及单位污染排放的关联性,得出了相似的结论。