银行信用与商业信用的桥接匹配：渤海“票据池”案例

银行承兑汇票等票据传统的融资变现渠道是分散型的零售交易模式。某银行设计应用票据池质押融资业务模式,将点状随机的市场交易纳入理性预期统筹的范围,通过“池化”市场存量票据,打包质押,开展信贷融资业务。这种新模式创造并利用了“集约担保”与“或有担保”的理念,灵活桥接了商业信用与银行信用,实现了信贷市场营销关系的渠道化创新。     

Validation of modeled pharmacoeconomic claims in formulary submissions

Abstract

Modeled or simulated claims for costs and outcomes are a key element in formulary submissions and comparative assessments of drug products and devices; however, all too often these claims are presented in a form that is either unverifiable or potentially verifiable but in a time frame that is of no practical use to formulary committees and others who may be committed to ongoing disease-area and therapeutic-class reviews. On the assumption that formulary committees are interested in testable predictions for product performance in target populations and ongoing disease area and therapeutic reviews, the methodological standards that should be applied are those that are accepted in the natural sciences. Claims should be presented in a form that is amenable to falsification. If not, they have no scientific standing. Certainly one can follow ISPOR-SMDM standards for validating the assumptions underpinning a model or simulation. There is clearly an important role for simulations as an input to policy initiatives and developing claims for healthcare interventions and testable hypotheses; however, one would not evaluate such claims on the realism or otherwise of the model. The only standard is one of the model’s ability to predict outcomes successfully in a time frame that is practical and useful. No other standard is acceptable. This sets the stage for an active research agenda.     

The status of modeled claims

Abstract

The only acceptable modeled claims for costs and outcomes are those that are testable and can be validated in a timeframe that is acceptable to a formulary committee. This issue provides four papers which explore the methodological issues in validation, the UK experience with NICE, the questions a formulary committee should ask of modeled claims, and the role of Big Data in validating modeled claims.     

Willingness to Pay for Golden Rice in India: A Contingent Valuation Method Analysis

We estimated students’ willingness to pay for golden rice by using the double-bounded contingent valuation method. We found that nearly 55% of the students are willing to buy golden rice at the same price as that of conventional rice, and around 85% at a certain discount. The estimated mean willingness to pay is a 4% price premium. Furthermore, we found that global (food security) and personal (health) benefit perceptions have a positive significant influence, and risk perceptions and sociodemographic variables have an insignificant influence on willingness to pay for golden rice. Overall, our findings indicate that India has a potential market for golden rice.     

Bayesian approach to yield curve modelling with application to the simulation of EMU environments: generating scenarios by modelling yield curve movements

A Bayesian approach to yield curve modelling is developed where information on the current and recent yield curves is used to generate yield curve scenarios, and a model is proposed that generates return distribution for bonds. The predictive power of the model is developed by comparing out-of-sample lagged realized yields with forecast yields, and it is demonstrated that the returns generated by this scenario approach and those generated using the standard time series approach are consistent. The model is applied to pre-EMU and post-EMU environments. This paper assesses the implications of different assumptions on the early post-EMU environment for international bond portfolio selection, as well as the immediate short-term effect of EMU on risk and return.     

A risk-based approach for pricing American options under a generalized Markov regime-switching model

This paper considers a risk-based approach for pricing an American contingent claim in an incomplete market described by a continuous-time, Markov, regime-switching jump-diffusion model. We formulate the valuation problem as a stochastic differential game and use dynamic programming. Verification theorems for the Hamilton–Jacobi–Bellman–Issacs (HJBI) variational inequalities of the games are used to determine the seller's and buyer's prices and optimal exercise strategies.     

CoCo Bonds,Conversion Prices and Risk Shifting Incentives. How Does the Conversion Ratio Affect Management's Behaviour?

The aim of this paper is to analyze risk shifting incentives for managers and shareholders of the financial institution issuing a CoCo bond. We assess the role of the conversion price settlement in enhancing both shareholders’ and management's discipline. Three recent contingent reverse convertible deals are analyzed, with the intention of showing how shareholder conversion returns are linked to the conversion ratio. The findings demonstrate that, in the case of an ingoing or ongoing crisis, a poor settlement of the conversion ratio could exacerbate both debt overhang and risk shifting issues. This will end in discouraging bank management from issuing new equity and from investing in low risk assets. We argue that a contingent bond triggered on Basel III capital requirement ratios and having a significantly discounted conversion price reduces risk shifting incentives. Moreover, we illustrate how the unexpected wealth transfers between CoCo bondholders and shareholders tends to zero when the bond face value is higher than the current stock market price and there is a concentration of bond subscribers. Accordingly, regulators should consider and oversee not only the conversion trigger but also all the other features of a contingent capital security, especially the conversion ratio.     

Moment generating functions of compound renewal sums with discounted claims

Léveillé & Garrido (2001a, 2001b) have obtained recursive formulas for the moments of compound renewal sums with discounted claims, which incorporate both, Andersen's (1957) generalization of the classical risk model, where the claim number process is an ordinary renewal process, and Taylor's (1979), where the joint effect of the claims cost inflation and investment income on a compound Poisson risk process is considered.

In this paper, assuming certain regularity conditions, we improve the preceding results by examining more deeply the asymptotic and finite time moment generating functions of the discounted aggregate claims process. Examples are given for claim inter-arrival times and claim severity following phase-type distributions, such as the Erlang case.     

Ethical claims and labelling: An analysis of consumers' beliefs and choice behaviours

Abstract

Although consumers' growing interest in ethical consumption has been well-documented, their understanding of specific claims, and the link between their stated concerns and behaviour, has not. Using a framework from systematic-heuristic and behaviour modification theory, this study explored consumers' understanding of varied ethical claims and a specific eco-label, and then estimated the effect these stimuli had on their choice behaviours. In-depth interviews revealed a strong interest in environmental and social attributes but considerable scepticism about specific claims. However, a choice modelling experiment found ethical attributes nevertheless influenced respondents' choices. Two distinct clusters whose views and choice behaviours differed markedly existed: one was primarily price-driven and the other more responsive to specific claims. Discrepancies between the qualitative and quantitative studies appear attributable to differences in information processing; many consumers respond strongly to heuristics, even though they believe themselves sceptical of the claims these communicate. The findings raise important policy questions about the scientific basis of many ethical claims, since consumers were strongly influenced by these, despite their views to the contrary.