CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK

We propose a two-sided jump model for credit risk by extending the Leland–Toft endogenous default model based on the geometric Brownian motion. The model shows that jump risk and endogenous default can have significant impacts on credit spreads, optimal capital structure, and implied volatility of equity options: (1) Jumps and endogenous default can produce a variety of non-zero credit spreads, including upward, humped, and downward shapes; interesting enough, the model can even produce, consistent with empirical findings, upward credit spreads for speculative grade bonds. (2) The jump risk leads to much lower optimal debt/equity ratio; in fact, with jump risk, highly risky firms tend to have very little debt. (3) The two-sided jumps lead to a variety of shapes for the implied volatility of equity options, even for long maturity options; although in general credit spreads and implied volatility tend to move in the same direction under exogenous default models, this may not be true in presence of endogenous default and jumps. Pricing formulae of credit default swaps and equity default swaps are also given. In terms of mathematical contribution, we give a proof of a version of the "smooth fitting" principle under the jump model, justifying a conjecture first suggested by Leland and Toft under the Brownian model.     

累积创新中的内生许可证

本文通过一个不完全信息动态博弈分析了累积创新环境下许可证形式的内生决定机制。我们考察的是成本降低型的过程创新,其中后续创新者的类型是其私人信息。如果发生专利诉讼,法院判决后续创新者是否对先期创新者构成侵权,侵权概率依赖于专利保护宽度的大小。根据专利保护宽度和后续创新者的类型分布,我们给出了相应的贝叶斯精炼均衡。我们发现如下重要结果:第一,对先期创新者而言,事前许可证的重要性在于维护效率,即防止L类型创新的退出,而事后许可证的重要性则在于掠夺租金。如果不存在退出问题,则市场结果和社会福利都与是否存在事前许可证无关。第二,诉讼可以出现在博弈的均衡路径上。诉讼行为和是否存在事前许可证无关,而发生诉讼时先期创新者获胜的概率随专利保护宽度先减后增。第三,如果存在退出问题,则事前许可证对社会福利至关重要;专利保护宽度同时影响市场总利润和利润分配。此时,若仅有事后许可证,先期创新者的利润可能随专利保护宽度的增加而下降。第四,给定存在事前许可证,则依赖于诉讼的成本和反垄断效应,社会福利最大化的专利保护宽度可能对应于内解,也可能对应于边角解。     

政府管制、生态认知与农户有机肥施用行为——基于黄河流域中上游的微观农户数据调查

目的 推进农业有机肥施用代替部分化学化肥,对于减少农业污染,实现黄河流域生态高质量发展具有重要意义。方法 文章基于黄河流域中上游地区1 490户农户微观数据,构建有调节的中介效应模型,探究了以技术推广强度为调节变量,生态认知为中介变量,政府管制对农户有机肥施用行为的影响。结果 （1）政府管制对农户有机肥施用行为影响正向显著;（2）生态认知在政府管制对农户有机肥施用行为中发挥了部分中介作用;（3）技术推广强度在生态认知影响农户有机肥施用行为的过程中存在负向调节作用。结论 （1）政府管制应当继续加强,监管机制与管制措施要恰当完善;（2）继续加强提高农户生态保护意识,不断提升农户对生态污染造成的不良后果的认知水平;（3）多角度、多方位、多层次的优化技术推广方式,有针对性的调整技术推广强度。     

北京市“三城一区”动态监测指标体系的构建研究

构建北京市“三城一区”动态监测指标体系对指导现阶段北京市建设全国科技创新中心主平台，促进北京市产学研互动、南北城协调发展，进一步实现人才战略调整和产业结构的升级转型具有深远意义。本文基于“三城一区”规划发展现状及相关规划区的横向比较，通过深度梳理国内外创新指标体系的理论与实践研究，采用共性指标与特色指标相结合的方式构建了评价“三城一区”规划目标完成度的动态监测指标体系。具体而言，借鉴典型创新能力指标体系的构建原则遴选确定共性指标，结合各区战略定位和自身发展规划确定各区域的特色指标，并同时考虑了“三城一区”的协同联动。北京市“三城一区”动态监测框架能全面反映规划区域创新能力水平，为北京市创新优劣分析以及完成度评价提供新的参考。     

基于三重积分原理的企业三维信用评价模型研究

基于复杂系统理论和三重积分原理,从主观履约意愿、客观履约能力及外部履约环境三个维度设计指标体系,构建WCE三维信用评价模型,将企业信用评价拓展至三维空间内.通过随机抽样选取浙江省20家汽车制造业上市公司进行实证检验,结果表明WCE三维信用评价模型可对企业信用质量进行较为全面的评价,并验证了评价结果的有效性.     

Carbon Peaking,Carbon Neutrality and Green and Low-Carbon Development of China’s Economy

The successively proposed carbon peaking and carbon neutrality have not only set new goals for the green and low-carbon development of China’s economy, but also demonstrated China’s further determination and sense of responsibility for a greater contribution to address global climate change. Considering the importance of carbon peaking and carbon neutrality in the course of achieving the Second Centenary Goal (1949-2049), it is necessary for China to make scientific planning for the roadmap of carbon emission reduction, carbon peaking and carbon neutrality to ensure building a great modern socialist country under carbon constraints. More specifically, the optimization and realignment of energy structure, industrial structure, production and consumption structure, the rational planning of afforestation, and the vigorous development of global carbon emissions trading will be the core strategies for boosting green and low-carbon development of China’s economy.