U.S. credit union motivation for involvement in the first-mortgage market

U.S. credit union involvement in first-mortgage lending has grown rapidly since extended lending powers were granted through several regulatory changes from 1977 to 1984. The purpose of this study is to examine credit unions that initiated first-mortgage lending programs during the period 1983 through 1988, and attempt to identify factors or variables that influenced the decision to become active in the first-mortgage market. The results indicate that there are certain factors that distinguish credit unions that become involved in first-mortgage lending from those that do not. Specifically, the size of a credit union, a full-service orientation, and a residential type of membership bond were factors consistently significant in their relationship to first-mortgage initiation.     

消费信用中的个人征信问题探析

近年来,消费信贷在我国发展迅速,但个人征信制度的不完善已成为制约消费信贷发展的瓶颈.建立个人征信体系,发展消费信用,应从完善征信的法制环境、加强政府的协调与扶持、完善公共征信数据库、统一个人信用评估标准等方面入手.     

Recent Developments in Credit Markets

We summarize recent developments in the credit derivative markets. We show the role of dependence between individual debtors in portfolio derivatives in a study of implied correlation. The risk of changing dependence structures between stock and bond markets becomes evident in an example of capital structure arbitrage. How credit derivatives can introduce new risks is illustrated by the example of “overlay” in basket derivatives.     

短期融资券信用价差分析

短期融资券的信用价差初具分化趋势,不同评级机构给出同一信用等级的信用价差不同,说明各评级机构在评级标准和评级理念的把握上存在一定的差异。A-1 、 A-1信用等级之间没有形成明显不同的信用价差影射区间。短期融资券的发行利率的大幅上升主要是由于一级市场收益率微薄、流动性风险加剧以及作为定价基准的央行票据利率不断上调等直接原因造成的。     

变量序别化在信用评分模型中的应用研究

本文通过将连续数值变量进行序别化转换赋值,并基于这些变量建立Log- it信用评分模型,通过使用统计量AUC值与条件熵比率来检验序别化转换前后所建立回归模型的违约预测力。结果发现,连续数值变量经序别化转换后可提高模型的违约预测力及其韧性。     

公司治理对企业信用影响的实证研究

企业的信用状况是由多种因素共同作用影响的结果.对于中国上市公司这一群体而言,其公司治理水平的高低可能对其信用水平产生重要影响.这一推测在理论上得到了产权经济学的支持,而实残中的状况如何则需要实证数据的支撑.运用多元线性回归模型研究企业信用的影响因素.运用Logit模型研究公司治理对企业信用的边际影响力.结果表明:(1)我国上市公司的公司治理对企业信用有着显著的影响力.良好的公司治理能在一定程度上提升上市公司的信用水平.(2)公司治理指数对企业信用水平提升的贡献率呈递减的趋势,当企业信用水平较低时,公司治理的改善能在较大程度上提高企业信用水平.     

中国信贷资本配置效率的空间差异:基于四大区域及省际面板数据的实证分析

帕累托式的信贷区域配置对协调区域经济增长有重要意义.对信贷资本的区域配置效率进行的实证研究表明:尽管宏观经济严重依赖银行信贷,但信贷配置效率差强人意;信贷配置效率的区域差异主要体现为省际层面而非区域层面.与区域经济一体化趋势形成鲜明对比的是,四大区域之间的信贷配置效率并无实质性差异.省际层面上,信贷配置效率差异非常显著,西部大多数省份和东部的浙江、江苏对信贷依赖程度较大;东部的上海、广东因多元化的金融体系而降低了对信贷的依赖;中部和东北的信贷配置效率较低且基本处于同一水平.     

Does credit rationing affect residential investment? Déjà vu all over again

This paper develops an empirical model to examine the impacts of credit rationing on residential investment for the 1960–1984 period. Our statistical results strongly support the position that noninterest rate variables affect mortgage activity and housing construction. Though we find a structural change in the housing construction and mortgage markets in the early 1980s, probably attributable to capital market integration and financial institutional deregulation, noninterest rate terms continue to matter. In other words, credit rationing continues to be an allocative device in the housing and mortgage markets.Earlier versions of this article have been presented at the Western Economic Association Conference, Los Angeles, June 1988; the Tenth Pacific Regional Science Conference, Pusan, Korea, July 1987; the AREUEA Annual Meetings New York City, December 1985; and the American Finance Association Annual Meetings, San Francisco, December 1983.     

Valuation of credit default swaps and swaptions

This paper presents a conceptual and general framework for valuation of single-name credit derivatives. The general subfiltration approach of [J-R] to modelling default risk, which includes the Cox-process setting of [L], is integrated with a numeraire invariant approach. Several known results are reformulated and extended in this framework. New concepts and results are presented for change of numeraire in presence of default and valuation of credit swaptions. A new formula on fractional recovery of pre-default value is derived, generalizing that of [D-S]. A Black-Scholes formula for credit default swaptions due to [S] is shown to serve as a least-squares approximation to the general case.Received: 1 November 2003, Mathematics Subject Classification: 91B28, 60G44, 60G40JEL Classification: E43, G13I would like to thank the editor and two anonymous referees for their valuable comments and suggestions.     

关于海南省县域实施生源地助学贷款政策的调查与思考

本文深刻阐述了海南省生源地助学贷款政策的五大优势及特点,深入调查研究了当前海南省县域生源地助学贷款政策实施现状,全面探讨了海南省县域生源地助学贷款政策推行难的根本性原因以及关于在海南省县域全面推行生源地助学贷款政策的基本思路,并对进一步有效增强海南省县域生源地助学贷款政策的实施效应提出了合理化建议.