"退而更化":中国合作金融的改良之路

合作金融的现代化从社会哲学上看,涉及到如何处理现代化与传统之间的紧张关系;涉及到否定传统、移植西方体制的思维方式对错的问题.从回答这个基本社会哲学问题入手,检讨中国传统合作金融组织——舍会的珍贵遗产,申明白愿原则是合作金融的灵魂以及这个灵魂对当今中国合作金融的改良所具有的价值.在此基础上,本文提出了以组建中国农村合作银行为核心的政策建议,而中国农业银行出售非农业务、回归农村,与农村信用社进行资本重组与业务整舍,是现实可行的一条最佳途径.     

Information reduction via level crossings in a credit risk model

This paper provides an alternative credit risk model based on information reduction where the market only observes the firm’s asset value when it crosses certain levels, interpreted as changes significant enough for the firm’s management to make a public announcement. For a class of diffusion processes we are able to provide explicit expressions for the firm’s default intensity process and its zero-coupon bond prices.      

对中国信用卡消费群体特征的多元统计分析

本文在北京地区调查问卷的基础上设计了一套信用卡评价量表,通过多元统计中的因子分析、方差分析、卡方检验等手段分析信用卡评价变量与人口统计变量的相互关系,从量化的角度得出中国信用卡市场的基本现状和特点:信用卡各项服务的水平有很大的提升空间,开发潜力很大;信用卡的年费普遍过高;年轻群体相比于其他年龄群体对于信用卡的接受度、认同度、透支程度、及时还款程度都是最高的;信用卡的功能有待进一步开发;新功能的宣传所达到的效果较小;营销的细分市场应该主要通过透支额度和服务程度等来划分.最后文章还提出了相应的政策建议.     

我国信用风险缓释市场发展与创新

随着我国融资市场快速发展,信用风险管理面临严峻挑战,信用风险缓释市场亟待发展创新.然而,受金融危机影响,我国金融从业人员在观念、认识和态度上对信用风险缓释工具(CRM)存在诸多不明.本文通过解析CRM市场结构、CDS定价机制,以及中国CRM市场发展对策,帮助金融从业人员正确认识CRM市场功能,提升CRM市场参与能力,为...     

Austrian Business Cycle Theory, Keynes’s General Theory, Soaring Wheat Prices, and Subprime Mortgage Write-Downs

Keynes’s presentation of own rates of interest on wheat and housing is set within Austrian business cycle theory, to show that soaring wheat prices and subprime mortgage writedowns are expected, when a monetary authority holds interest rates too low for too long. From that basis, further interest rate cuts are an unlikely remedy for a recession whose roots lie in a proliferation of credit.     

我国产学研合作应加强政府信用监管

产学研合作，是促进科技与经济结合，提高企业的科技创新能力，加快科技成果转化的重要方式，也是建设创新型国家和创新型城市的重要内容。产学研合作离不开信用制度的支撑。信用不仅是现代市场经济发展的基础，也是产学研合作有序发展的不可或缺的基本要素。如何加强政府对产学研合作信用的有效监管，并通过有效的制度安排，形成产学研合作的信用制度规范，就成为当前亟待解决的一个重要问题。     

比较视野下论我国征信体系的发展与完善问题

征信在国外已有100多年的发展历史，已形成较为完善的征信体系和完整的征信产业链。通过对信用发达国家征信体系的比较，系统分析当前我国征信体系存在的供求不足和制度短缺等问题，并借鉴国外先进经验和教训，提出发展和完善我国征信体系的思路和措施。     

Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models

As an extension of the standard Gaussian copula model to price collateralized debt obligation (CDO) tranche swaps we present a generalization of a one-factor copula model based on stable distributions. For special parameter values these distributions coincide with Gaussian or Cauchy distributions, but changing the parameters allows a continuous deformation away from the Gaussian copula. All these factor copulas are embedded in a framework of stochastic correlations. We furthermore generalize the linear dependence in the usual factor approach to a more general Archimedean copula dependence between the individual trigger variable and the common latent factor. Our analysis is carried out on a non-homogeneous correlation structure of the underlying portfolio. CDO tranche market premia, even throughout the correlation crisis in May 2005, can be reproduced by certain models. From a numerical perspective, all these models are simple, since calculations can be reduced to one-dimensional numerical integrals.     

中国开行地方政府债券的先决条件研究

是否允许地方政府发行债券是一个颇具争议的话题。本文通过运用宪政经济学和新公共管理理论的分析方法,对开行地方政府债券发行权利的先决条件进行了论述。结合目前中国实际,文章认为目前开行地方政府债券的条件尚不完全具备,并建议下一步推进政府债券的关键在于可行性建设。     

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.