Modelling international tourism and country risk spillovers for Cyprus and Malta

Small Island Tourism Economies (SITEs) are developing sovereign countries that rely on tourism as a source of exports, and need a consistent inflow of foreign investment in order to facilitate economic growth. Access to international capital markets helps SITEs smooth out their consumption over time, while absorbing adverse domestic production shocks. This paper provides a comparison of tourism growth, country risk returns and their associated volatilities (or uncertainty) for 2 SITEs, namely Cyprus and Malta. Monthly data are available for both international tourist arrivals and composite country risk ratings compiled by the International Country Risk Guide (ICRG) for the period May 1986 to May 2002. The time-varying conditional variances of tourism growth and country risk returns for the 2 SITEs are analysed using multivariate models of conditional volatility. Empirical results show that Cyprus and Malta are complementary destinations for international tourists. Changes to tourism patterns in Cyprus lead to changes to tourism patterns in Malta. Hence, tour operators and national tourism promotion authorities in Cyprus and Malta should collaborate closely in marketing and promoting joint tourism products. Moreover, foreign entities interested in investing in the tourism sectors of Cyprus and Malta should consider investment projects that span a long period of time. The performance of the tourism sector and the associated composite risk are independent of each other for the two countries. However, there is a direct relationship between the tourism sectors of Cyprus and Malta and their respective country risk settings.     

信用风险测量指标体系研究

在现代商业银行经营中,信用风险是影响其安全高效运营的主要原因。信用风险管理中最重要的就是信用风险测量。自从20世纪80年代末期以来,人工智能技术如神经网络、专家系统也被应用于商业银行信用风险测量中。但预测指标的研究则相对滞后,成为研究的一个难点。     

Open economy and financial burden of corruption: theory and application to Asia

We discuss why corruption remains high and show that corruption contributes to the Banking distress and to the rapid transmission across international stock and currency markets. Undeveloped ‘derivative securities’ markets make the risk from stress-induced volatility difficult to manage. Vinod’s (1999) closed economy model is extended to indicate the asymmetry of ‘home bias’ and the effect of corruption on the value at risk (VaR). Our theory predicts that capital flight controls will be many, foreign direct investment (FDI) will be low and cost of capital will be high in corrupt developing countries, which is supported by Asian data. We include some policy recommendations regarding financial institutions and markets.     

创业企业贷款组合风险管理研究——基于不同生命阶段的视角

投资品种的多样化与分散化是金融风险管理的核心方法,它可以有效地防范和控制各类风险。对银行业来说,将贷款分散地投放给不同行业、不同区域或处于不同生命阶段的企业,可以减少其因借款企业违约而可能遭受的损失。因此,银行在贷款投放过程中,如何进行多样化和分散化,以达到整个贷款组合收益的最大化和风险的最小化是一个决策难题。本文通过对贷款组合风险和预期收益的度量,提出针对不同生命阶段创业企业的贷款组合优化模型,并进行了相关实证研究,研究结果表明模型具有较强的适用性。     

International Housing Markets and the U.S. Subprime Crisis

We propose a novel decomposition approach to study the degree of co-movement of international housing markets while distinguishing among different economic drivers. We find that the housing market variability for an average country was mainly driven by the common housing risk premium components during the years leading up to the 2007–08 subprime financial crisis. A decrease in the common housing risk premium was followed by a housing boom and economic expansion in the United States prior to the crisis. Our findings add to the understanding of the role of common risk factors across international housing markets before the crisis.     

Secured Loans and Risky Assets in a Monetary Economy

We study the implication of secured credit with a default option for monetary equilibrium. The intermediary structure has the feature of costly state verification, with the monitoring cost interpreted as the cost of foreclosing assets once a default occurs. Without monitoring costs, uncertainty in asset payoffs does not matter for allocation. The asset price can exhibit a liquidity premium because more assets as collateral raises the borrower's credit limit. When there are monitoring costs, the asset's liquidity premium is strictly positive because pledging more assets reduces the default probability and thus the chance to incur monitoring costs. Under some circumstances, increased risk to dividends of the pledged asset may decrease the marginal borrowing cost to such an extent that bank lending rises, and higher default rates are accompanied by larger aggregate liquidity.     

Unraveling the Genetic Component of Multifactorial Diseases: Dream or Reality

The etiology of many human diseases is complex and very likely involves a combination of genetic and environmental risk factors. A popular strategy to detect genetic risk factors is to perform a systematic screening of the genome searching for linkage. The power of such and approach depends very much on the unknown characteristics of the genetic factors and the main difficulty is to establish a good trade-off between false positives and false negatives. Besides, a precise localisation of the risk factor will generally not be obtained. The set up of a candidate gene stratery is necessary to go further in genetic factor identification. It is likely that for multicfactorioal diseases the only genetic risk factors that can be detected are those with fairly strong effect. Even in that case, it is important to design strategies which increase the power of detection and provide for a better evaluation of the associated risks.     

A New Decision Making Model for Subcontractor Selection and Its Order Allocation

All experts agree on the importance of subcontracting. The high impact of subcontractors on the construction process means that the selection of subcontractors is a sensitive activity. Previous investigations documented the selection of subcontractors based on criteria but did not consider the number of subcontracted tasks. This paper explores allocating the best portion of tasks to subcontractors while optimizing the risk and cost in the fixed project schedule. The study's main finding demonstrates that subcontractor selection without attention to the order allocation is not a realistic approach; therefore, a hybrid model that applies continuous ant colony and fuzzy set theory is proposed.     

中国银行业不良资产证券化信用风险评价研究

本文首先论述了国际通用的各信用风险模型的适用条件,提出改进的KMV模型作为度量我国不良资产证券化信用风险的模型。同时,提出了计算其违约概率的方法。然后根据我国不良资产的实际情况,建立了一个具有普遍性的模拟的不良资产包,分析其证券化中各个不同发债规模下的信用风险,得出其资产变现收入在对数正态分布下和真实分布中的违约概率,为我国不良资产证券化的风险控制在一定程度上提供了理论依据和技术支持。     

工程分包的财务风险管理

分包工程在建筑领域中广泛的存在,其管理也存在了很多问题,存在合同风险、资金风险、税务风险等财务方面的风险,施工过程中应使分包工程的财务风险控制更加切合施工企业管理的实际,进而完善风险防范机制,提高施工企业经济效益。