Supply chain finance: From traditional to supply chain credit rating

Traditional credit rating models, adopted by financial institutions to assess the credit risk of a company, adopt a purely financial perspective, and often fail to properly assess small and medium enterprises. On the other hand, buyers usually assess suppliers by means of comprehensive vendor ratings, considering a broad range of operational performance. This paper investigates whether financial and vendor ratings can be integrated into a supply chain credit rating model that jointly considers financial indicators of the supplier and its operational evaluation provided by buyers; the paper also investigates the benefits and the challenges of such a model for all the stakeholders involved (buyers, suppliers, financial institutions, and technology providers), adopting the lenses of the stakeholder theory. We adopted both multiple case studies and an iterative focus group, involving representatives from suppliers, buyers, financial institutions, and technology providers. The results confirm the potential value of such an integrated rating, mainly for strategic suppliers, showing the expected benefits for all stakeholders and highlighting the potential challenges to face.     

Long-term finance and entrepreneurship

This paper investigates whether long-term finance affects firm entry worldwide. We construct a new database on short- and long-term credit provided by commercial banks to the private sector in 85 countries over the period 1995–2014. We then analyze whether differences in entrepreneurship are related to the provision of short- and long-term bank credit. Data on entrepreneurship are extracted from two frequently used databases: the Global Entrepreneurship Monitoring dataset and the Entrepreneurship Database, each of which captures different aspects of firm creation. The econometric results indicate that long-term credit does not stimulate firm entry. By contrast, we find that short-term credit is positively related to firm creation, from birth to registration. Controlling for potential endogeneity by implementing an instrumental variables approach does not affect our conclusions. Our findings suggest that better provision of short-term credit allows entrepreneurs to apply for formal loans instead of having to rely exclusively on informal loans or internal funds. The absence of impact of long-term loans can be explained by the difficulty entrepreneurs face in getting access to long-term credit.     

A systematic and efficient simulation scheme for the Greeks of financial derivatives

Greeks are the price sensitivities of financial derivatives and are essential for pricing, speculation, risk management, and model calibration. Although the pathwise method has been popular for calculating them, its applicability is problematic when the integrand is discontinuous. To tackle this problem, this paper defines and derives the parameter derivative of a discontinuous integrand of certain functional forms with respect to the parameter of interest. The parameter derivative is such that its integration equals the differentiation of the integration of the aforesaid discontinuous integrand with respect to that parameter. As a result, unbiased Greek formulas for a very broad class of payoff functions and models can be systematically derived. This new method is applied to the Greeks of (1) Asian options under two popular Lévy processes, i.e. Merton's jump-diffusion model and the variance-gamma process, and (2) collateralized debt obligations under the Gaussian copula model. Our Greeks outperform the finite-difference and likelihood ratio methods in terms of accuracy, variance, and computation time.     

天津市中小企业信用评级及其规范发展问题研究

目前信用体系不健全已经成为中小企业融资难的根源之一.因此,加快中小企业信用评级体系建设已成为缓解中小企业融资难问题的根本所在.本文通过对全国特别是天津市中小企业信用贷款体系建设现状的分析,并结合当前存在的一些问题,有针对性的提出了进一步完善天津市中小企业信用贷款体系的对策.     

Expected utility inequalities: theory and applications

Suppose we know the utility function of a risk averse decision maker who values a risky prospect X at a price CE. Based on this information alone I develop upper bounds for the tails of the probabilistic belief about X of the decision maker. In the paper I also illustrate how to use these expected utility bounds in a variety of applications, which include the estimation of risk measures from observed data, option valuation, and the study of credit risk. I would like to thank John Cochrane, Tom Cosimano, Amanda Friedenberg, George Korniotis, Markus Brunermeier and Paul Schultz for helpful discussions and to participants at two Notre Dame seminars, at the 2006 Spring Midwest Economic Theory and International Economics Conference, and at the 2006 Australasian Meeting of the Econometric Society for their very useful comments. I began working on this project during a year-long visit to the Central Bank of Venezuela. I gratefully acknowledge their hospitality and financial support.     

商业银行信用风险控制在助学贷款中的运用

实行助学贷款是发展教育的一项重要政策，但在实施的过程中却出现了“银行有钱贷不出”和“学生没钱贷不到”的尴尬局面，这引起了人们对这项政策的再思考。通过对产生这种现象的内在原因的分析和对银行和学生二者之间预期效用的比较分析，以及对银行和学生行为选择的分析，认为缺乏有效的抵押担保机制和良好的社会信用体系是导致这种现象的重要原因，最后从制度约束和道德约束两方面思考，减少信息不对称现象，增加学生不还贷成本，降低银行风险，不断完善助学贷款制度。     

透视中国的美国形象变迁——以《世界知识》(1980-2009年)为样本的内容分析

作者以《世界知识》为研究样本,按照前后一致的内容分析法研究程序,在定性和定量相结合的基础上,对30年(1980-2009年)来《世界知识》杂志中美国形象的变化过程进行了研究。作者从整体和侧面两个维度,借助关注强度和关注的波动强度两个指标,衡量了美国重要性的变化过程;借助认可度和认可度的波动强度两个指标,揭示了美国受认可度的变化情况。在重要性方面,与英国、俄罗斯、日本等三个大国相比,美国是对中国最为重要的国家;在认可度方面,美国的整体形象不被中国认可。     

滨海新区中小企业信用担保机制建设的探讨

滨海新区的建立带来了大量中小企业的发展,但是没有解决中小企业融资难的问题。而信用担保机制是解决这个问题的方法之一,本文通过分析滨海新区中小企业信用担保机制的发展现状,借鉴国外信用担保体系的发展经验,提出通过健全中小企业信用担保体系来缓解中小企业融资难问题。     

我国资信评估业发展滞后的供求机理探讨

资信评估业的发展是社会主义市场经济健康发展的内在要求。本文从资信评估业发展的理论基础入手,对我国资信评估业的发展前景、发展滞后的供求机理进行了深入剖析。针对这些滞后原因,从市场需求与供给角度提出了相应的发展对策。     

一个古典经济周期波动模型——对Goodwin古典周期模型的重构

基于古典主义思想对于劳动与资本这一经济运行核心关系的论述,本文对Goodwin周期模型进行了重构,构建一个由工资份额与资本存量组成的二维古典经济周期波动模型.稳定性分析结果表明,模型的均衡状态为非稳定焦点均衡,一旦脱离均衡点,经济将在工资份额与资本存量相互作用的驱动下围绕均衡点做周期性波动,且波动的幅度逐步加大.产生这一现象的根本原因在于工资性收入与资本性收入即资本存量之间比例结构的波动.