Determinants of Mortgage Default and Consumer Credit Use: The Effects of Foreclosure Laws and Foreclosure Delays

The mortgage default decision is part of a complex household credit management problem. We examine how factors affecting mortgage default spill over to other credit markets. As home equity turns negative, homeowners default on mortgages and home equity lines of credit at higher rates, whereas they prioritize repaying credit cards and auto loans. Larger unused credit card limits intensify the preservation of credit cards over housing debt. Although mortgage nonrecourse statutes increase default on all types of housing debt, they reduce credit card defaults. Foreclosure delays increase default rates for housing and nonhousing debts. Our analysis highlights the interconnectedness of debt repayment decisions.     

房地产开发企业违约概率压力测试研究——现金流蒙特卡洛模拟方法在银行中的应用

本文采用蒙特卡洛模拟方法,根据现金净额是否为负这一标准来判断房地产开发企业是否违约,在对企业的现金流进行随机模拟的基础上来计算企业的违约概率。压力测试的场景为房价下降,利率上升。压力传导途径为房价与利率变动导致企业销售收入变动,销售收入的改变导致企业的现金流量表发生变化。房价和利率对销售收入的冲击是随机的,企业的现金流也是随机的,本文通过随机模拟估算了企业的现金流为负的频率,以此作为企业违约的概率。压力测试表明,当房价下降幅度到达15%附近时,房地产开发商的违约概率开始急剧上升。     

Tranching and Rating

In this paper we analyse the source and magnitude of marketing gains from selling structured debt securities at yields that reflect only their credit ratings, or specifically at yields on equivalently rated corporate bonds. We distinguish between credit ratings that are based on probabilities of default and ratings that are based on expected default losses. We show that subdividing a bond issued against given collateral into subordinated tranches can yield significant profits under the hypothesised pricing system. Increasing the systematic risk or reducing the total risk of the bond collateral increases the profits further. The marketing gain is generally increasing in the number of tranches and decreasing in the rating of the lowest rated tranche.     

使用信用违约互换产品化解信贷集中风险

信贷集中风险已经成为我国银行业亟待解决的问题,本文在分析了我国银行业信贷集中风险的现状和危害后,提出了使用信用违约互换产品化解银行信贷集中风险的建议。并对信用违约互换产品的基本原理以及在我国的实施方法提出了建议。     

无单放货法律问题探讨

对海上货物运输无单放货现象产生的原因进行了分析,从法律性质、责任归属等方面对其进行了研究,最后提出了规避无单放货风险的对策。     

聚合信用风险模型在我国商业银行应用的方法论探讨

根据《巴塞尔新资本协议》的要求并结合我国的现实情况,本文对聚合信用风险模型在商业银行的应用进行了系统的研究,旨在提供一种计量贷款组合非预期损失的有效方法。本文指出了国外聚合信用风险模型频带划分方法的缺陷,对频带的划分做了创新性的设计,提出了具有可操作性的确定违约概率和违约损失率等参数的方法。同时采用某国有控股商业银行一地级市分行公司贷款数据对文中提出的计量非预期损失方法的科学性进行了论证,指出这一方法应用于我国商业银行可提高经济资本管理的效率。     

住房抵押贷款的违约风险分析

本文运用期权数值方法分析住房抵押贷款借款者的违约行为,主要是分析抵押贷款违约期权的最优实施边界。这使得我们能够解释哪些房价和利率组合会引发借款者违约以及未来的违约概率。我们发现导致违约的房产价格高度依赖于同期市场利率,而且违约与贷款类型高度相关。我们考察了次优出售和再融资的情形,还考察了借款者面临违约声誉损失的情形,结果表明期权数值方法是稳健可靠的。本文的分析还使我们对美国次贷危机有更为客观理性的认识。     

助贷违约学生行为成因及防范对策研究

国家助学贷款为高校贫困生完成学业、促进教育公平起到很大的作用,但我国在实施国家助学贷款政策过程中,由于有的学生偿还能力较低、偿还意愿较差,贷款制度设计欠缺,社会信用环境不佳等原因,发生学生助学贷款违约行为,贷款违约率较高,加大了政府、高校和银行管理成本,制约着助学贷款的持续良性发展。解决这些问题,应从提高高校教育质量、增强学生诚信意识、建立社会信用体系、完善贷款制度设计、健全高校资助制度等方面采取有效措施。     

刍议民事案件缺席审判之规范——从程序与实体的维度出发

民事案件缺席审判是弥补一方缺席而导致的非常态化审理模式的有益补充。缺席审判的功能在于保障审判权正常行使,实现诉讼制度所追求的公正与效益两大价值内核。现阶段,缺席审判遭遇诸多困境,制约了缺席审判制度功效之发挥。实践中,需进一步规范民事案件缺席审判,从程序与实体方面人手,确保缺席审判的正当性、公正性、高效性,实现法律效果与社会效果的统一。     

The German Capital Markets Model Case Act (KapMuG): a European role model for increasing the efficiency of capital markets? Analysis and suggestions for reform

Abstract

The purpose of this study is to examine the determinants of the sovereign credit ratings provided by the three major rating agencies: Fitch Ratings, Moody’s and Standard and Poor. A principal component analysis is employed in order to identify the common factors affecting these ratings. The impact of the variables correlated with these factors on ratings is then assessed through an ordered logistic model. Results show that sovereign ratings are mostly influenced by per capita income, government income, real exchange rate changes, inflation rate and default history. The study also highlights the importance of corruption, as measured by Transparency International’s Corruption Perceptions Index, which appears as a proxy for both economic development and the quality of the governance of a country.