基于SVM的房地产财务决策风险预测及敏感性分析

本文以房地产上市公司的财务数据为参考依据,结合相关性分析,筛选并建立影响财务风险的指标体系;利用支持向量机建立财务风险分析预测模型;并使用灰色关联理论对指标进行敏感性分析,从而得到影响财务风险最敏感的指标。     

Challenges for the Chilean economy under cyclical shocks, 1999–2016

A brief summary of the evolution of economic policies and growth in Chile since 1973 is presented, distinguishing between four periods: 1973–89 with average growth of 2.9 percent, 1990–98 with 7.1 percent (notably above the 3.2 percent Latin American average), 1999–2013 with 3.9 percent, and 2014–16 with 1.9 percent, explaining the main forces underlying these sharp differences. Analysis focuses on the fiscal and external disequilibrium associated with the fiscal treatment of the copper price and the adoption of a free exchange rate since 1999. Subsequently, the focus is on the macroeconomic situation in 2013 and five sources of accumulated disequilibria that suggested a high probability of significant deceleration of the economy. The article ends with a discussion of the actual deceleration in more recent years, converging with the negative average outcome of the region, and concludes that worsening economic performance has been associated mainly with the shift from the coherent countercyclical policies of the 1990s to the procyclical opening of the capital account, liberalization of the exchange rate, and adoption of sharp inflation targeting overcoming other relevant macroeconomic targets since then.     

Real options and contingent convertibles with regime switching

We consider a firm with no assets in place but an option to invest in a project. The investment is irreversible but delayable in a regime-switching economy. The firm issues equity, straight bonds (SBs) and contingent convertibles (CoCos). We provide the closed-form prices for the firm׳s securities and the pricing and timing of the option. Our numerical analyses discover that issuing CoCos instead of SBs induces much less agency cost of debt. The agency cost is higher in a boom economy than in recession but the difference is small. There is a unique CoCos׳ conversion ratio such that the agency cost arrives at the minimum value zero. The inefficiencies arising from asset substitution and debt overhang are much more significant in recession than in boom. Only if the conversion ratio is not too small, the two inefficiencies disappear during boom periods. While the effects of the conversion rate on optimal capital structure and firm value and those of supervision and jump intensity on optimal CoCos׳ coupon are ambiguous and weak, the stricter the supervision or the longer the economy remains in recession, the less the option value and the optimal SBs׳ coupon.     

REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING

In this paper, we examine irreversible investment decisions in duopoly games with a variable economic climate. Integrating timing flexibility, competition, and changes in the economic environment in the form of a cash flow process with regime switching, the problem is formulated as a stopping‐time game under Stackelberg leader‐follower competition, in which both players determine their respective optimal market entry time. By extending the variational inequality approach, we solve for the free boundaries and obtain optimal investment strategies for each player. Despite the lack of regularity in the leader's obstacle and the cash flow regime uncertainty, the regime‐dependent optimal policies for both the leader and the follower are obtained. In addition, we perform comprehensive numerical experiments to demonstrate the properties of solutions and to gain insights into the implications of regime switching.     

How much is the gap?—Efficient jump risk-adjusted valuation of leveraged certificates

This paper develops a novel and highly efficient numerical algorithm for the gap risk-adjusted valuation of leveraged certificates. The existing literature relies on Monte Carlo simulations, which are not fast enough to be used in a market-making environment. This is because issuers need to compute thousands of price updates per second. By valuing leveraged certificates as multi-window barrier options, we explicitly model random jumps that occur at known times, such as between the exchange closing and re-opening. Our algorithm combines the one-day transition probability with Simpson’s numerical integration rule. This yields a backward induction scheme which requires a significantly coarser spatial and time grid than finite-difference methods. We confirm its robustness and accuracy through Monte Carlo simulations.     

Financialization of Housing in Brazil: New Frontiers

The financialization of housing has been increasingly identified as an important driver of social and economic change in contemporary capitalism. Focusing on the Brazilian context, this article considers the extent to which recent changes in housing regulations, policies and markets confirm or challenge narratives about the financialization of housing in the international academic debate. I argue that while many of the trends stressed in the literature are apparent, more extreme processes of financialization within the Brazilian housing sector remain limited––not only because of institutional and regulatory constraints, path dependence or political resistance, but also because of fundamental structural conditions of Brazil's position as a peripheral economy. Three different but mutually reinforcing processes are scrutinized in order to evaluate the financialization of housing and its limits in Brazil: the re‐regulation of the real estate financial sector initiated in the 1990s; the changing funding patterns among real estate companies since the mid‐2000s; and the increasing commodification of housing induced by a large‐scale and heavily subsidized housing program launched in 2009.     

房价、房产税、土地财政困境的研究综述与思考

本文回顾了近年来有关房产税在立法基础、对于房价的影响、公平性等问题上的一些讨论成果。首先,房产税立法确有瑕疵,需进一步完善法制体系;其次,沪渝试点房产税设计对于房价的抑制作用有限。     

Geometric Asian option pricing in general affine stochastic volatility models with jumps

In this paper, we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which several different valuation problems based on some average process can be cast, and we shall obtain closed form solutions for some relevant affine model classes.     

Rivaroxaban for non-valvular atrial fibrillation and venous thromboembolism in the Netherlands: a real-world data based cost-effectiveness analysis

Background: Non-vitamin K antagonist oral anticoagulants (NOACs) have been included in international guidelines as important alternatives to vitamin K antagonists (VKAs) for the treatment of venous thromboembolism (VTE) and stroke prevention in non-valvular atrial fibrillation (NVAF). Meanwhile, in the Netherlands, NOACs are widely used next to VKAs. The objective of this study is to estimate the cost-effectiveness of treatment with rivaroxaban compared to VKAs in NVAF and VTE patients in the Netherlands, using data from international prospective observational phase IV studies.

Methods: Two models were developed to represent NVAF and VTE patients, populated with patients from the XANTUS (NCT01606995) and XALIA (NCT01619007) international prospective observational studies. The 1-year cost-effectiveness of rivaroxaban use, compared to VKAs, was explored in a population consisting of NVAF and VTE patients (base case) as well as for four scenarios with sub-populations: NVAF patients only, VTE patients only, NVAF patients with unstable international normalized ratio (INR), and NVAF patients using an INR self-measuring device.

Results: In the base case, rivaroxaban saved €72,350 and gained 21 quality-adjusted life-years (QALYs) in a simulation of 2,000 patients over the use of VKAs. Ergo, rivaroxaban was dominant over VKAs. The probabilistic sensitivity analysis showed a probability of 85% for rivaroxaban being dominant and 100% at a willingness-to-pay threshold of €20,000/QALY. Rivaroxaban appeared to be dominant in all scenarios as well, except for the NVAF-patients-only scenario where the incremental cost-effectiveness ratio (ICER) was €157/QALY.

Conclusions: In patients with NVAF or VTE, rivaroxaban treatment is likely to be cost-effective and a potentially cost-saving alternative to VKA in the Netherlands.     

Pricing executive stock options with averaging features under the Heston–Nandi GARCH model

In this paper, we focus on the pricing issue of four types of executive stock options (ESOs) in the Heston–Nandi generalized autoregressive conditional heteroskedasticity option pricing model. Based on the derived benchmark strike prices in the proposed framework, we obtain the closed-form pricing formulae for four types of ESOs. In the numerical part, we investigate the sensitivity and cost efficiency of ESOs and suggest that systematic risk (stock β) and the fraction of wealth invested in restricted stock could impede the cost efficiency of ESOs.