中国信用体系建设中的个人信用模糊评估

个人信用体系建设是中国信用制度建设的主要内容之一，个人信用评估是个人信用体系建设的主要应用领域。在信用评分模型和基于先验审批规则法基础上建立起来的模糊推理系统，充分利用了业内人员多年积累的从业经验，是适合我国实际情况的个人信用评估方式。在我国个人信用数据积累到一定程度和一定时期之后，这些数据既可以与专家经验互相补充用于生成模糊推理规则，也可以对模糊推理系统进行检验和修正。     

基于拒绝推论的小企业信用评分模型研究

在小企业信用评分模型的构建中,因数据缺失和样本选择性偏差可能导致模型参数估计有偏,对模型的预测能力和应用会有很大影响。本文利用从万德数据库中筛选出的小企业信息资料,模拟银行信贷筛选,产生带有缺失数据的模拟信贷样本,利用Heckman二阶段模型预测新的信用评分模型,将其结果与忽略缺失数据的审查模型和基于完全信息的标准模型进行比较。结果显示,Heckman二阶段模型的表现优于直接忽略缺失样本数据的审查模型,更接近标准模型的结果。这表明拒绝推论能够有效解决信用评分建模中数据缺失导致的样本选择偏差,提高信用评分模型的有效性和预测能力。     

Financing Constraints and the Timing of Innovations in the German Services Sector

Using newly available data at the firm level, this study provides convincing evidence of the importance of financial constraints in explainingthe timing of innovations in the German services sector. Based on a dynamic model of firms' optimalR & D behavior under financial constraints, we estimate various versions of aneconometric specification of the model with dichotomous innovation data by using a univariateordered probit model. Additionally, a new estimation technique is applied to account forthe scaling of the regressor variables. Our results are consistent with the theoretical view that,because of capital market imperfections, internal finance should be an important determinant ofinnovative activities by private firms not only in the manufacturing sector but as well as inthe services sector.     

Network VAR models to measure financial contagion

Financial contagion among countries can arise from different channels, the most important of which are financial markets and bank lending. The paper aims to build an econometric network approach to understand the extent to which contagion spillovers (from one country to another) aris from financial markets, from bank lending, or from both. To achieve this aim we consider a model specification strategy which combines Vector Autoregressive models with network models. The paper contributes to the contagion literature with a model that can consider bank exposures and financial market prices, jointly and not only separately. From an empirical viewpoint, our results show that both bilateral exposures and market prices act as contagion channels in the transmission of shocks arising from a country to other countries.     

贝叶斯推断与资产组合有效性检验

本文认为,资产组合P的均值-方差有效性能够通过有效性指标ρ的后验分布获得。根据贝叶斯法则,我们选取上证综合指数为样本获得了ρ的后验分布。研究结论表明,如果资产组合集中包含有无风险资产,当先验信仰以标准无信息先验(标准扩散先验)的形式出现时,上证综合指数缺乏有效性,表明资产组合集中加入无风险资产将降低资产组合的均值-方差有效性,这与理论推导结果是一致的。     

No-arbitrage Equilibria with Differential Information: An Existence Proof

On the example of a pure exchange financial economy with two periods incomplete nominal-asset markets and differential information of the adverse selection’s type, Cornet-De Boisdeffre (J Math Econ 38:393-410, 2002) introduced refined concepts of no-arbitrage prices and equilibria, which extended to the asymmetric information setting the classical concepts of the symmetric information literature. We now assess existence issues and extend a standard property of symmetric information models. Namely, we prove that a no-arbitrage equilibrium always exists, as long as financial markets preclude arbitrage, under the same standard conditions, whether agents have symmetric or asymmetric information.     

Calibrating the exponential Ornstein–Uhlenbeck multiscale stochastic volatility model

This paper demonstrates a tractable and efficient way of calibrating a multiscale exponential Ornstein–Uhlenbeck stochastic volatility model including a correlation between the asset return and its volatility. As opposed to many contributions where this correlation is assumed to be null, this framework allows one to describe the leverage effect widely observed in equity markets. The resulting model is non-exponential and driven by a degenerate noise, thus requiring a high level of care in designing the estimation algorithm. The way this difficulty is overcome provides guidelines concerning the development of an estimation algorithm in a non-standard framework. The authors propose using a block-type expectation maximization algorithm along with particle smoothing. This method results in an accurate calibration process able to identify up to three timescale factors. Furthermore, we introduce an intuitive heuristic which can be used to choose the number of factors.     

部分线性单指数动态面板模型的惩罚二次推断函数估计

本文将个体效应与模型的线性部分和非线性部分同时进行估计,构建了惩罚二次推断函数估计法,估计了个体内具有自相关结构的随机效应部分线性单指数动态面板模型。该方法的优点是能够克服由个体效应引起的内生性问题,因此无论滞后因变量处于线性部分还是处于非参数部分均可得到一致有效的估计。进一步,本文证明了该估计方法的一致性和渐近正态性,同时还用Monte Carlo模拟实验评估了该估计方法在有限样本下的表现。     

随机化检验在药物经济学评价中的应用

目前，国内关于药物经济学评价大多采用点估计的方法简单对比不同用药方案的评价指标，但是基于统计推断的理论，这种简单处理并不能反映研究人群总体的比较结果。本文将随机化检验应用于药物经济学评价中，能在一定程度上解决药物经济学疗效评价的问题。