Optimal Threshold from ROC and CAP Curves

Receiver Operating Characteristic (ROC) and Cumulative Accuracy Profile (CAP) curves are used to assess the discriminatory power of different credit-rating approaches. The thresholds of optimal classification accuracy on an ROC curve and of maximal profit on a CAP curve can be found by using iso-performance tangent lines, which are based on the standard notion of accuracy. In this article, we propose another accuracy measure called the true rate. Using this rate, one can obtain alternative optimal thresholds on both ROC and CAP curves. For most real populations of borrowers, the number of the defaults is much less than that of the non defaults, and in such cases using the true rate may be more efficient than using the accuracy rate in terms of cost functions. Moreover, it is shown that both alternative optimal thresholds by using the true rate are the identical, and this single threshold coincides with the score corresponding to Kolmogorov–Smirnov statistic used to test the homogeneous distribution functions of the defaults and non defaults, whereas the optimal threshold by using the accuracy does not the same as the score corresponding to Kolmogorov–Smirnov statistic. These facts are explored with some simulation and illustrative examples.     

Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models

This paper studies the asymptotic properties of the quasi‐maximum likelihood estimator of (generalized autoregressive conditional heteroscedasticity) GARCH(1, 1) models without strict stationarity constraints and considers applications to testing problems. The estimator is unrestricted in the sense that the value of the intercept, which cannot be consistently estimated in the explosive case, is not fixed. A specific behavior of the estimator of the GARCH coefficients is obtained at the boundary of the stationarity region, but, except for the intercept, this estimator remains consistent and asymptotically normal in every situation. The asymptotic variance is different in the stationary and nonstationary situations, but is consistently estimated with the same estimator in both cases. Tests of strict stationarity and nonstationarity are proposed. The tests developed for the classical GARCH(1, 1) model are able to detect nonstationarity in more general GARCH models. A numerical illustration based on stock indices and individual stock returns is proposed.     

基于 EM聚类和用户评分的产品营销与推荐策略研究

网络技术的发展,特别是最近几年来“互联网＋”和大数据的发展,给企业产品营销带来了极大的机遇和挑战。相较于传统的通过简单粗暴的价格战来达到营销目的,一些企业通过对数据的充分利用和挖掘而在商战中获胜。利用数据融合技术从互联网大数据中挖掘用户的行为信息,通过分析消费者的个性化需求,利用 EM聚类算法构建基于模型的协同过滤推荐算法,给消费者推荐可能喜欢的产品,开展个性化主动营销服务;制定相应的个性化产品营销策略,从而提高产品销售的数量及产品推荐的成功率。利用从亚马逊网上书城获取的数据进行实验,验证了综合 EM聚类和用户评分方法具有较好的推荐效果。     

收视率与电视艺术审美的哲学思考

收视率作为媒介产业化的必然产物,代表的是拥有巨大力量的市场法则,是电视媒体运作管理和节目考评的核心指标。电视艺术审美作为电视艺术的"质"和"魂",是塑造电视节目品质的关键。通过探讨电视艺术审美与收视率的矛盾交互关系,一方面希望促进电视产业的发展,为电视艺术提供必要物质支持和广阔发展空间;另一方面希望通过净化电视文化生态环境,正确地引导和提升观众的审美文化素养,以实现收视率的科学、健康、协调的可持续增长。     

Rush and Procrastination Under Hyperbolic Discounting and Interdependent Activities

We analyze the decision of individuals with time-inconsistent preferences to invest in projects yielding either current costs and future benefits or current benefits and future costs. We show that competition between agents for the same project mitigates the tendency to procrastinate on the first type of activities (i.e. to undertake them too late) and to rush on the second one (i.e. to undertake them too early). Competition can therefore increase the expected welfare of each individual. On the contrary, complementarity of projects exacerbates the tendency to rush and to procrastinate and therefore it can decrease the expected welfare of each individual.     

中外合作企业中引入有限合伙的相关问题

中外合作企业的数量在改革开放 2 0多年后大大落后于外商投资与中外合资企业 ,其原因部分是中外合作企业法律制度的问题。为促进中外合作企业的发展 ,应引入有限合伙。有限合伙能适应风险投资的发展 ,能解决非法人型中外合作企业法的问题。五部门的规章规定了有限合伙制度 ,是一大发展 ,但在多方面存在缺陷     

期望不一致、游客情绪和游客满意度的关系研究述评

期望不一致、游客情绪和游客满意度三者的关系研究一直是旅游消费行为研究领域中备受关注的话题。本文介绍了期望不一致、游客情绪和游客满意度的理论背景和概念内涵,评述了三者关系研究的主要模型和代表性观点,并针对模型介绍了有代表性的实证研究成果,最后指出当前研究的不足、造成差异性结论的原因以及未来研究的发展方向,以期能为国内相关研究提供参考和启示。     

付费主体差异对信用评级结果的影响机制研究

2010年我国首家投资人付费评级机构——中债资信成立,由于我国投资人付费评级机构成立时间不长,目前国内鲜有研究投资人付费与发行人付费评级差异及产生原因的文献,并且国外相关文献主要关注评级方式对某一类债券评级结果的影响,而没有探讨两种评级方式对不同类型债券的影响之间是否存在差别。本文针对投资人付费与发行人付费评级之间的差异,基于声誉效应、竞争机制对发行人付费评级机构迎合选择进行了博弈分析,并分别以信贷资产支持证券和企业债主体的评级数据为样本,对评级差异及其产生原因进行了实证检验。研究结果表明：投资人付费评级结果显著低于发行人付费评级结果;不同付费模式下评级结果的差异受到是否为首次评级和发行人付费评级机构市场份额的影响,发行人付费评级机构对发行人的迎合是产生评级差异的主要原因;两种付费评级方式在企业债主体中的评级差异显著高于在信贷资产支持证券中的评级差异,表明付费评级方式对企业债主体的影响更大。本文较为全面地研究了我国投资人付费与发行付费评级之间的差异,使投资人、监管机构对不同付费模式下的评级结果有更加清晰的认识。     

Can We Use Human Judgments to Determine the Discount Rate?

It has been suggested that the long-term discount rate for environmental goods should decrease at longer delays. One justification for this suggestion is that human judgments support it. This article presents an experiment showing that judgments concerning discount rates are internally inconsistent. These results point to potential problems with the use of judgments referenda for determining discount rates in cost-benefit analyses.     

Flood Risk Management: Exploring the Impacts of the Community Rating System Program on Poverty and Income Inequality

Flooding remains a major problem for the United States, causing numerous deaths and damaging countless properties. To reduce the impact of flooding on communities, the U.S. government established the Community Rating System (CRS) in 1990 to reduce flood damages by incentivizing communities to engage in flood risk management initiatives that surpass those required by the National Flood Insurance Program. In return, communities enjoy discounted flood insurance premiums. Despite the fact that the CRS raises concerns about the potential for unevenly distributed impacts across different income groups, no study has examined the equity implications of the CRS. This study thus investigates the possibility of unintended consequences of the CRS by answering the question: What is the effect of the CRS on poverty and income inequality? Understanding the impacts of the CRS on poverty and income inequality is useful in fully assessing the unintended consequences of the CRS. The study estimates four fixed‐effects regression models using a panel data set of neighborhood‐level observations from 1970 to 2010. The results indicate that median incomes are lower in CRS communities, but rise in floodplains. Also, the CRS attracts poor residents, but relocates them away from floodplains. Additionally, the CRS attracts top earners, including in floodplains. Finally, the CRS encourages income inequality, but discourages income inequality in floodplains. A better understanding of these unintended consequences of the CRS on poverty and income inequality can help to improve the design and performance of the CRS and, ultimately, increase community resilience to flood disasters.