Irreversible investment,ambiguity and equity default swaps

We study the impact of ambiguity on the pricing and timing of the option to invest. There is a funding gap to undertake the investment, which is covered by entering into an equity-for-guarantee swap. Our model predicts that the more ambiguity-averse the agents, the less the option value, the later the investment and the higher the guarantee cost and the leverage. If the entrepreneur is more ambiguity-averse than the insurer, the investment threshold slightly rises as the perceived ambiguity increases, and on the contrary, if the entrepreneur is less ambiguity-averse than the insurer, the investment threshold increases sharply as the perceived ambiguity rises.     

企业、银行和政府三方还贷博弈研究

预算软约束已成为国有企业改革的阻碍因素,并影响经济转型期的政企、银企关系,而政府对于债务的软预算约束是企业信贷违约的原因之一,根据企业还贷过程中相关利益者的相互博弈,建立一个企业、银行、政府之间三方博弈模型来分析它们之间的行为及其目标差异对企业信贷违约的影响。模型分析表明：政府出于政治和经济利益的考虑,通过补贴银行和企业来实施对企业还贷的软预算约束,而银行在衡量了政府补贴和清算得失之后有可能对企业再贷款。解决预算软约束和企业信贷违约的关键在于＂政府、银行、企业＂之间的关系处理,企业完全按市场化运作,建立科学的法人治理结构,让政府从企业中逐步退出,硬化企业的预算约束环境,从而降低企业的信贷违约的概率。     

A mixture model for credit card exposure at default using the GAMLSS framework

The Basel II and III Accords propose estimating the credit conversion factor (CCF) to model exposure at default (EAD) for credit cards and other forms of revolving credit. Alternatively, recent work has suggested it may be beneficial to predict the EAD directly, i.e.modelling the balance as a function of a series of risk drivers. In this paper, we propose a novel approach combining two ideas proposed in the literature and test its effectiveness using a large dataset of credit card defaults not previously used in the EAD literature. We predict EAD by fitting a regression model using the generalised additive model for location, scale, and shape (GAMLSS) framework. We conjecture that the EAD level and risk drivers of its mean and dispersion parameters could substantially differ between the debtors who hit the credit limit (i.e.“maxed out” their cards) prior to default and those who did not, and thus implement a mixture model conditioning on these two respective scenarios. In addition to identifying the most significant explanatory variables for each model component, our analysis suggests that predictive accuracy is improved, both by using GAMLSS (and its ability to incorporate non-linear effects) as well as by introducing the mixture component.     

从次贷危机看消费信贷违约防范机制的失灵

本文以美国次贷危机为例,分析了消费信贷市场违约防范机制失灵的问题。本文指出,政府隐含担保的存在是导致消费信贷市场违约防范机制失灵的真正原因,可能使消费信贷市场出现大范围的违约并威胁整个金融体系的稳定。美国次级抵押贷款市场上爆发的危机不是偶然的,恰恰是消费信贷市场上违约风险防范机制失灵的一个集中反应。     

Lack of successors,firm default,and the performance of small businesses

We investigate the effects of the lack of successors on small businesses with an elderly manager. Using firm-level data from Japan, a country with an aging population, we find the following results. First, smaller, younger, highly leveraged, and nongrowing firms are likely to have no successor. Second, firms with an elderly manager are more likely to exit and default if they have no successors, and this is particularly the case during the global financial crisis around 2009. This result suggests that these firms have less incentive to repay debts because they are not going concerns. As a result of the high probability of default, the annual change in bank borrowing is low if firms with an elderly manager have no successor. Third, the annual change of bank borrowing is lower for firms with no successor during the crisis and post-crisis periods, implying that banks reduce lending to these firms because of their high risk.     

环保压力加大了债券违约风险吗？

文章以2010-2020年我国发行公司债的上市公司为样本,探讨环保压力对债券违约风险的影响.实证研究发现,环保压力加大了我国公司债的总体违约风险.其次,从绿色金融视角进行了异质性检验,基于绿色融资视角,发现发行绿色债券能有效缓解环保压力与债券违约风险之间的关系;基于绿色投资视角,发现企业进行绿色创新投入并不能缓解二者之间的关系,但是企业绿色创新产出能有效缓解二者间的关系.最后,进一步深入探讨其中介机制,发现经营风险和融资约束在二者之间发挥了部分中介效应.     

中小企业联保贷款融资模式违约率研究

通过联保小组成员与银行之间的博弈分析,得出影响违约率的因素,并针对这些影响因素提出相应的建议,以帮助企业继续从银行获得贷款,同时帮助银行降低信用风险和操作风险。     

Cross country linkages and transmission of sovereign risk: Evidence from China’s credit default swaps

China’s climb to a trading powerhouse has changed its position in the world and therefore its relationships with other economies. As a result, its sovereign credit risk, which we measure by the pricing of its credit default swaps (CDS), now has the potential to greatly impact other sovereign CDS spreads. Employing a dynamic approach, we find that changes in China’s sovereign risk has strong contagion effects on its goods and service providers, while China is vulnerable to contagion effects from its major importers, suggesting sovereign risk spills over to other regions via the global supply chain. China’s success hurts some of the weaker countries in Europe by competing for their customers, while China faces strong competition itself from its export-focused neighbors. FDI and portfolio investment also affect the CDS relationships between China and other economies.     

The effects of credit default swaps on corporate investment

ABSTRACT

This paper examines how credit default swaps (CDS) affect the corporate investment of the referenced entities. We document a significant reduction in corporate investment after CDS trading, a result that is robust to alternative model specifications and a set of endogeneity tests. Our findings of the increased firm risk and cost of capital support the costly external capital channel. The cross-sectional variations in CDS effects demonstrate that both reduced monitoring and the empty creditor problem might be the underlying forces driving the costly external capital channel. Our additional analysis implies that CDS trading is associated with an enhancement in investment efficiency for firms that are prone to overinvestment.     

A Multicriteria Approach for Modeling Small Enterprise Credit Rating: Evidence from China

ABSTRACT

As the engine of China’s economy, small enterprises have been the central to the country’s economic development. However, given the characteristics of the small enterprises loan (i.e., short borrowing period, large volume, small amount and incomplete information), it is extremely challenging for financial institutions to assess their creditworthiness. Thus, it seriously delays and restricts the financing access for small enterprises. In an attempt to relieve the financing difficulty of small enterprises, this article makes use of 687 small wholesale and retail enterprises in a regional commercial bank in China, to establish a credit rating indicator system composed of 17 indicators by using both partial correlation analysis and probit regression. It then utilizes TOPSIS together with fuzzy C-means to score the credit ratings of our sample of small enterprises. With the dual test of default discrimination and ROC curve, the prediction accuracy of the established indicator system has reached 80.10% and 0.917, respectively, indicating the robustness and validity of our credit rating system.