Pricing of swaps with default risk

In this paper, I study the valuation of interest rate and currency swaps with default risk under the contingent claim analysis framework. I demonstrate that the traditional approach of pricing swap contracts as exchanges of loans underestimates the value of such contracts to the counterparty with higher credit rating and exaggerates the credit spread required to guard against default risk. Numerical simulations show that the swap rate is not sensitive to counterparty credit rating: for a ten year interest rate swap, a one hundred basis point increase in counterparty bond yield spread results in only about one basis point increase in the swap rate. (JEL G10, G12, G13)This paper is based on Chapter 2 of my Ph.D. dissertation at Yale University. I would like to thank my dissertation committee, Kenneth French, Roger Ibbotson, and Jonathan Ingersoll, Jr. (chairman), for helpful advice and guidance. I would also like to thank Keny Back, Richard Lindsey, N. R. Prabhala, Ming Huang, Marti Subrahmanyam, three anonymous referees and especially Bob Jarrow, the editor, for helpful comments and suggestions. Any errors that remain are solely mine. This paper won the 1996 Trefftzs Award for best student paper from the Western Finance Association.     

从俄税警职能看中国货物被查抄事件

2003年10月,俄罗斯税务警察突然搜查尤科斯石油公司,成为了震惊俄罗斯乃至全世界的“尤科斯事件”的开端。如果说这还不足以让中国人注意到俄罗斯税务警察的存在,那么2004年2 月12日发生在莫斯科“艾米拉”贸易市场的中国商人货物被税警查封事件以及今年3月13日“萨达沃特”花鸟市场温州鞋事件,其始作俑者——俄罗斯联邦内务部税务警察已经实实在在地吸引了中国人的眼球。     

微服务架构与容器技术探析

随着系统分布式架构技术的发展,微服务成为越来越多大型互联网企业的选择,由于其完美解决了原有单体式应用可扩展、自适应能力不足的问题,成为了当前主流的分布式应用解决方案.本文剖析微服务的优势及特点,详细分析容器基础设施实现微服务的优势,为基层央行有效促进信息系统的分布式架构转型升级探索有效途径.     

保证保险究竟是保证还是保险

保证保险的性质在中外保险理论和实务上均有争议。我国司法实践中也产生了保证保险究竟是保证还是保险的困惑。国内开办的某些保证保险业务,名为保证保险,实为责任保险。保证保险与民法上的保证是两种性质不同的法律制度,不能加以混淆。     

我国央行房贷政策的金融学分析

近年来，中国房地产过热的现象已引起学术界及决策层的高度重视，中央银行也多次采取相关措施试图抑制房地产业的进一步升温，进而最大限度地降低由此带来的负面影响，但预期的政策目标似乎也没有完全达到。从传统的经济学角度看，当前央行政策并无不妥，但若从当代金融学角度来看，目前我们的货币政策的确存在一定问题：未能正确反映投资成本与投资预期的关系、政策对象界定不清、头寸体系过于单一、缺乏相关头寸支持等。     

Marketing resources and performance of exhibitor firms in trade shows: A contingent resource perspective

In spite of the fundamental nature of trade shows as venues for working on webs of vertical and horizontal relationships, the extant trade show literature neglected relationship and network context factors. Specifically, previous studies attributed superior trade show performance to internal resource conditions and hence failed to address the moderating influence of important contexts such as relationship assets and knowledge assets. This study adopts the contingent resource perspective and extends the literature by proposing that the main effect of trade show resources on trade show performance is contingent upon the firm's internal knowledge assets and its external relationship assets. Overall, the empirical evidence supports the contingency models. One major managerial implication for exhibitor managers is the need to adjust allocation of its trade show marketing resources according to market-based assets it possesses.     

宏观教育系统SD模型的构建初探

按照系统动力学建模的理论和方法,分析了宏观教育系统的测量指标,并对查有梁先生的相关理论进行了统计检验和修正,最终构建了宏观教育系统的因果关系图,对实际仿真过程中需要的流图、方程等都作出了必要的估计和说明,为宏观教育系统的研究工作提供了一个新的视角。     

水平及缓倾斜矿层的下沉预计方法

本文介绍一种能应用一般用公式,绘制水平及缓倾斜矿层积分网格的新方法,该方法是应用计算机辅助积分法以确定影响系数的基础.     

直邮广告文案写作技巧分析

文章根据直邮广告的特点,分析了直邮广告文案的写作技巧、写作定位和立意问题,探讨了直邮广告文案写作与目标受众、回应机制、人称使用、起始用语、正文效果、设计风格、价目表述、文字规范和投递方式等的关系以及在文案写作中表现这种关系的技巧。     

我国邮政金融实施客户经理制的方案设计

文章在借鉴商业银行客户经理制的主要内容、特点、实施经验及其教训的基础上,结合我国邮政金融业务要求和发展趋势,提出了我国邮政金融实施客户经理制的方案。