Non-linear Gaussian sovereign CDS pricing models

Prior literature indicates that quadratic models and the Black–Karasinski model are very promising for CDS pricing. This paper extends these models and the Black [J. Finance 1995, 50, 1371–1376] model for pricing sovereign CDS’s. For all 10 sovereigns in the sample quadratic models best fit CDS spreads in-sample, and a four factor quadratic model can account for the joint effects on CDS spreads of default risk, default loss risk and liquidity risk with no restriction to factors correlation. Liquidity risk appears to affect sovereign CDS spreads. However, quadratic models tend to over-fit some CDS maturities at the expense of other maturities, while the BK model is particularly immune from this tendency. The Black model seems preferable because its out-of-sample performance in the time series dimension is the best.     

A hybrid information approach to predict corporate credit risk

This study proposes a hybrid information approach to predict corporate credit risk. In contrast to the previous literature that debates which credit risk model is the best, we pool information from a diverse set of structural and reduced‐form models to produce a model combination based on credit risk prediction. Compared with each single model, the pooled strategies yield consistently lower average risk prediction errors over time. We also find that while the reduced‐form models contribute more in the pooled strategies for speculative‐grade names and longer maturities, the structural models have higher weights for shorter maturities and investment grade names.     

On the test of the correction mechanism for mis-pricing between assets using a statistical yield spread model

This paper investigates the existence of a correction mechanism for mis-pricing between Japanese stock and bond. By this correction mechanism we mean that when deviations occur from the equilibrium levels of the expected return differentials between stock and bond — the risk premium differentials, the market will tend to correct the mis-pricing and bring the expected return differentials back to the equilibrium levels. We assume that the yield spread between the predicted earnings price ratio of stock and the yield to maturity of bond reflects the risk premium between stock and bond, and estimate the equilibrium risk premium differentials and mis-prices between stock and bond by modelling their behaviors with a statistical yield spread model (SYS). Empirical results strongly indicate the existence of the mis-pricing correction mechanism, suggesting the inefficiency of securities markets.     

马铃薯在中国传播的技术及社会经济分析

本文从生物、技术及社会经济的角度考证马铃薯在中国传播的过程，重点对传播条件和传播障碍进行阐述，分析了20世纪中国的社会变迁和科技进步对马铃薯传播的影响，并进一步讨论马铃薯扩种对我国粮食生产和社会生活的作用。     

Do investors in Green Bond market pay a premium? Global evidence

We examine the pricing difference of Green Bonds (GB) and conventional bonds (CBs) in capital markets worldwide. Credit spread is used to observe whether investors would like to pay a premium for GBs over CBs. This study uses panel data regression with hybrid model to analyse daily observations over the period 2016 to 2017. We employ Option-Adjusted spread (OAS) to measure the credit spreads of bonds while controlling for bond specific, macroeconomic and global factors that influence the spread. With the hybrid model used in the panel data analysis, we were able to capture the fixed-effects of variables in a random effect model. We find that GBs are traded at a premium of 63 basis points (BPS), compared with a comparable corporate bond issue. We find that the green label provides issuers an incentive to raise funds through issuing GBs while providing investors an opportunity to diversify their investments returns. Our findings provide several implications to the major stakeholders driving the GB market to scale up the market to finance the required level of global green investment needs. We stress an urgent need to support the growth of the GB market to achieve sustainable development through mitigating climate change challenges.

Abbreviation GB: Green Bond; CB: Conventional Bond; YS: Yield Spread; BPS: Basis Points; OAS: Option-Adjusted Spread; PCSE: Panels Corrected Standard Errors; CPI: Consumer Price Index; GBPs: Green Bond Principles; CBS: Climate Bond Standard     

中国金融垄断的一个例证--实际利差扩大化

随着股份制商业银行的壮大和中小金融机构的兴起以及外资银行的进入，我国国有商业银行一统天下的局面有了很大改观，但是国有商业银行的垄断地位却没有发生根本性改变。国有商业银行依然凭借其垄断地位，直接或间接地获取垄断利润。本从国有商业银行存贷款利差分析入手，阐述了实际利差扩大化的产生机理，指出国有商业银行垄断地位是实际利差扩大化的制度基础，从而表明实际利差扩大化正是我国金融垄断的一个有力证据。     

Eurobond underwriter spreads

We examine the determinants of underwriter spreads on straight/fixed rate Eurobonds issued by US firms between 1990 and 1998. We find that underwriter spreads are influenced by: (i) the governing law as it influences the timely and orderly renegotiation of contract terms, with bonds governed by English law having significantly lower spreads; (ii) the distribution mechanism, with spreads higher on public issues than private placements; (iii) underwriter reputation, with more reputable underwriters charging higher spreads; and (iv) the choice of currency, with spreads higher in the less frequently used currencies and/or in currencies where underwriting activities are more concentrated.     

Spillovers among CDS indexes in the US financial sector

By employing the robust cross-correlation function approach proposed by Hong (2001), and conducting pre-tests for structural breaks in the variances as well as removing the causality-in-mean effects in the causality-in-variance tests, we investigate volatility and mean transmissions between the credit default swaps (CDS) indexes of three US financial sectors. We use daily series on five-year banking, insurance, and financial services sector CDS indexes at the sector level from January 2004 to December 2011. We find evidence of significant causality-in-mean effects running from the banking sector to the insurance and financial services sector CDS indexes and from the financial services to the insurance sector CDS indexes, suggesting the leading role of the banking and financial services sectors in terms of price discovery. Moreover, we find significant causality-in-variance effects from the financial services sector CDS index to that of the banking sector, implying the existence of information transmission and contagion from the former, the least regulated of the three. The implications of these findings on traders and policymakers are also provided.     

辩证分析信用衍生品功能的利与弊——以07金融危机为例

Stewart Jones和Maurice Peat认为信用衍生品是一种有效管理风险的工具,有利于对冲风险（hedging）,以及提供多元分散化投资的机会。然而,次贷危机也正是滥用这种方便廉价的衍生品的产物。一方面,信用衍生品有自己的先天设计缺陷,另一方面,当它们被滥用时,原本金融体系中产生的错误与压力会被放大而导致最终的金融危机灾难。本文试图客观分析金融衍生品的利与弊,为我国逐步开放信用衍生品市场借鉴经验。