Market-Based Credit Ratings

We present a methodology for rating in real-time the creditworthiness of public companies in the U.S. from the prices of traded assets. Our approach uses asset pricing data to impute a term structure of risk neutral survival functions or default probabilities. Firms are then clustered into ratings categories based on their survival functions using a functional clustering algorithm. This allows all public firms whose assets are traded to be directly rated by market participants. For firms whose assets are not traded, we show how they can be indirectly rated by matching them to firms that are traded based on observable characteristics. We also show how the resulting ratings can be used to construct loss distributions for portfolios of bonds. Finally, we compare our ratings to Standard & Poors and find that, over the period 2005 to 2011, our ratings lead theirs for firms that ultimately default.     

Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches

We devise simulation/regression numerical schemes for pricing the CVA on CDO tranches, where CVA stands for Credit Valuation Adjustment, or price correction accounting for the defaultability of a counterparty in an OTC derivatives transaction. This is done in the setup of a continuous-time Markov chain model of default times, in which dependence between credit names is represented by the possibility of simultaneous defaults. The main idea of this article is to perform the nonlinear regressions which are used for computing conditional expectations, in the time variable for a given state of the model, rather than in the space variables at a given time in diffusive setups. This idea is formalized as a lemma which is valid in any continuous-time Markov chain model. It is then implemented on the targeted application of CVA computations on CDO tranches.     

On the Evolution and Asymptotic Analysis of Open Markov Populations: Application to Consumption Credit

In this paper, we study, by means of randomized sampling, the long-run stability of some open Markov population fed with time-dependent Poisson inputs. We show that state probabilities within transient states converge—even when the overall expected population dimension increases without bound—under general conditions on the transition matrix and input intensities.

Following the convergence results, we obtain ML estimators for a particular sequence of input intensities, where the sequence of new arrivals is modeled by a sigmoidal function. These estimators allow for the forecast, by confidence intervals, of the evolution of the relative population structure in the transient states.

Applying these results to the study of a consumption credit portfolio, we estimate the implicit default rate.     

多级评分模型中的分部评分模型

本文通过对分部评分模型与等级反应模型、评定量表模型的比较,对分部评分模型的特色作了较为深入的剖析,从而为其在现代测验领域的应用在理论上进行了抛砖引玉的阐述。     

Linear regression analysis with inequality constraints on the regression parameters via empirical likelihood

An empirical likelihood ratio test is developed for testing for or against inequality constraints on regression parameters in linear regression analysis. The proposed approach imposes no parametric model nor identically distributing assumption on the random errors. The asymptotic distribution of the proposed test statistic under null hypothesis is shown to be of chi-bar-squared type. The asymptotic power under contiguous alternatives is also briefly discussed. Moreover, an adjusted empirical likelihood method is adopted to improve the small sample size behaviour of the proposed test. Several simulation studies are carried out to assess the finite sample performance of the proposed tests. The results reveal that the proposed tests could be valuable for improving inference efficiency. A real-life example is discussed to illustrate the theoretical results.     

大系统观下降解率与均衡价格的联络——资源有界引致的市场逻辑

资源稀缺下的市场定价,由于要素循环是必需的,故市场价格在受上变量和侧变量影响的同时,还受下变量的影响。通过构造劳动力—功能空间图,把表征为下变量的未来因子引入对均衡价格的决定中,并认为当期均衡价格由"未来商品供给和当前商品供给生成的总供给"与"未来商品需求和当前商品需求生成的总需求"联合决定,由此引入影响未来供给的降解率因子。因此,资源稀缺社会里,社会机制的设计和社会法则的提取应放在更大系统内探究。     

Social Inclusion or Market Competitiveness? A Comparison of Rural Development Policies in the European Union and the United States

The language of EU rural development policy appears more interested in social inclusion and that of US policy more interested in market competitiveness. We seek to determine why policies directed at rural development in the EU and the USA differ. In both contexts new rural development policies emphasize partnership and participation but we find local participation is used to promote social inclusion in the EU and market competitiveness in the USA. An examination of these dimensions illustrates important transcontinental differences and similarities in rural development policies. We explore the socio‐historical reasons for differences in the commitment to social inclusion, while also noting similarities in the priority of market competitiveness.     

怒江大峡谷区域旅游业发展问题诊断

作者探讨了怒江大峡谷旅游开发现状中所呈现的问题,认为旅游资源在质和空间分布上所存在的局限性是制约怒江大峡谷旅游业发展最根本的问题。在此立论基础上,针对怒江大峡谷旅游业发展的问题现状,提出相应的解决措施。     

The Higher Education White Paper: The Good,the Bad,the Unspeakable – and the Next White Paper1

This article argues that reforms of higher education finance for undergraduates in England introduced by the Blair government in 2006 provided a progressive strategy for achieving the central objectives of higher education of quality (better), access (wider) and size (larger). Reforms in 2012 are a not a strategy but a collection of ad hoc arrangements. They include the good (a higher fees cap, a higher interest rate on student loans, better information and improved support for part‐time study), the bad (abolishing most taxpayer support for teaching in the arts and humanities and the social sciences, and raising excessively the threshold at which loan repayments start) and the unspeakable (abolishing Education Maintenance Allowances and AimHigher). The reforms are fiscally costly and hence perpetuate the central problem of capped student numbers, and will not stand the test of time. The concluding section outlines the next White Paper.     

中国地方政府债务的结构性风险

在或有债务不确定触发地方政府代偿的现实背景下,本文对地方政府显性债务和或有债务的结构性风险进行了模型刻画,给出了两类债务违约概率的显示解及其估计方法。基于地方政府报告的显性债务和审计署的有关公告等,本文对地方政府的显性债务和或有债务规模进行了结构性分解和估算,多视角估计了不同久期（或平均债务到期时间）下的两类债务的结构性风险状态,同时对比分析了其变动趋势。模型估计表明：地方政府债务风险的主要形态是或有债务的不确定触发,在部分时段内,地方政府的结构性代偿压力明显较大,但债券置换等旨在拉长债务久期的政策设计有助于缓释地方政府债务的信用风险边界,降低地方政府的结构性代偿压力。本文用具体数字揭示了地方政府债务的结构性风险状况及其变动趋势,以及地方政府债务久期之伸缩与其代偿压力之间的定量关系。