关于BOT中“政府保证过度”的实证分析

由于BOT中政府保证风险的时滞性,人们对政府保证风险的关注程度远远低于对于项目公司风险的关注。然而BOT中政府保证的风险是现实存在的。随着早期BOT项目的运行,“政府保证过度”问题所引起的风险逐渐凸现出来。笔者以C市B水厂BOT项目为例,探讨了控制“政府保证过度”的措施,论证了防止“政府保证过度”是控制BOT中政府失信风险的一个重要条件。     

信用违约互换的避险机理及价值分析

近年来国际金融市场最重要的发展之一就是以信用违约互换为主要产品的信用衍生工具的产生和爆炸性增长.通过对信用违约互换的结构的分析,揭示其规避信用风险机理及市场效用,最后给出了基于基权定价理论和KMV的预期违约率的信用违约互换的估值方法.     

基于行业冲击因子矩阵的宏观压力测试方法研究

目前,考虑行业违约相关的宏观压力测试方法较少,而两种主流方法风险传导过程都存在明显不足。因此,从理论上提出一个新的压力传导模型,通过冲击因子矩阵使偏离平均值的行业违约率与宏观经济冲击因子联系起来,将违约的顺周期性和行业违约相关性纳入统一框架内;在技术上避免了分行业多元线性回归方程,使分行业压力测试过程简易可行。实证结果表明:该方法能合理刻画宏观经济冲击对各行业违约率的影响,商业银行为提高抵御系统性风险的能力,可降低顺周期性强的行业贷款占比,或者调整贷款行业结构以避免行业集中度过高。     

Improving Default Risk Prediction Using Bayesian Model Uncertainty Techniques

Credit risk is the potential exposure of a creditor to an obligor's failure or refusal to repay the debt in principal or interest. The potential of exposure is measured in terms of probability of default. Many models have been developed to estimate credit risk, with rating agencies dating back to the 19th century. They provide their assessment of probability of default and transition probabilities of various firms in their annual reports. Regulatory capital requirements for credit risk outlined by the Basel Committee on Banking Supervision have made it essential for banks and financial institutions to develop sophisticated models in an attempt to measure credit risk with higher accuracy. The Bayesian framework proposed in this article uses the techniques developed in physical sciences and engineering for dealing with model uncertainty and expert accuracy to obtain improved estimates of credit risk and associated uncertainties. The approach uses estimates from one or more rating agencies and incorporates their historical accuracy (past performance data) in estimating future default risk and transition probabilities. Several examples demonstrate that the proposed methodology can assess default probability with accuracy exceeding the estimations of all the individual models. Moreover, the methodology accounts for potentially significant departures from “nominal predictions” due to “upsetting events” such as the 2008 global banking crisis.     

公司债务期限结构与违约风险

在资产风险水平、负债比率等因素一定的情况下,短期债务比例与违约概率呈类U形关系,基于风险规避角度的最优债务期限结构是存在的,并且这一最优短期债务比例与资产风险水平正相关,与负债比率负相关.我国上市公司短期债务比例普遍较高,根据理论预测和实证检验得出,进一步提高短期债务比例将会使公司违约风险继续扩大,进而危及我国的信用体系和金融秩序.     

信息噪音、结构化模型与银行违约概率度量

研究在有噪音的信息环境下,银行如何利用结构化模型来预测违约概率问题.根据国内银行的信息获取机制,提出了一种新的信息噪音假设,并利用结构化模型原理建立了违约概率模型.模拟结果表明:(1)该模型的违约概率预测能力高于基本结构化模型和Z′评分模型;(2)国内企业财务报表信息失真的现象较为严重,企业倾向于向银行夸大其信用实力.     

基于期望违约率模型的上市公司财务困境预警研究

本文以现代资本结构理论和期权理论为依据,以企业"资不抵债"作为上市公司陷入财务困境的标志,运用资本市场的信息指标(股价)和上市公司财务数据建立期望违约率(EDF)模型,应用于公司财务困境的动态预警,克服了统计预测方法的时期性和滞后性的缺陷。     

Exploring the Design of Financial Counseling for Mortgage Borrowers in Default

This paper analyzes the effects of counseling provided to borrowers in mortgage default (n = 299). Borrowers receiving more hours of counseling perceive counseling more favorably than those receiving fewer hours of counseling. Using measures of marketing efforts to instrument counseling time confirms the positive effect of counseling duration on borrower ratings of counseling. Borrowers are more likely to attend additional counseling sessions after receiving face-to-face counseling as opposed to telephone counseling, although preference among modes can largely be explained by time in counseling. Each additional hour of counseling reduces the marginal probability of a borrower moving to a more severe stage of foreclosure. Counseling could be more successful if provided for longer durations regardless of the delivery mode.

刑事缺席审判制度被告人异议权的知识解构与改革

2018年《刑事诉讼法》增设刑事缺席审判制度。为弥补刑事缺席审判制度之缺陷,赋予被告人异议权的救济机制实为必要。中国《刑事诉讼法》中规定的被告人异议权,一则立法对被告人异议权的具体规定导致其实际功能无法合理发挥;二则过度绝对化、无限化,被告人无须理由即可提出异议,且能达到足以推翻缺席审判的结果;三则没有明确异议权行使之具体内容,导致司法适用的模糊。这不仅会使刑事缺席审判制度存在的价值令人质疑、冲击中国司法权威,还会有碍党中央反腐败追逃追赃工作的顺利进行。据此,理应对被告人异议权进行有效限定和司法细化,明确其提起的条件、时间、具体行使方式以及相关配套制度的完善,从而对刑事缺席审判制度的有效适用提供助力。     

Stationary Equilibria in Asset‐Pricing Models with Incomplete Markets and Collateral

We consider an infinite‐horizon exchange economy with incomplete markets and collateral constraints. As in the two‐period model of Geanakoplos and Zame (2002), households can default on their liabilities at any time, and financial securities are only traded if the promises associated with these securities are backed by collateral. We examine an economy with a single perishable consumption good, where the only collateral available consists of productive assets. In this model, competitive equilibria always exist and we show that, under the assumption that all exogenous variables follow a Markov chain, there also exist stationary equilibria. These equilibria can be characterized by a mapping from the exogenous shock and the current distribution of financial wealth to prices and portfolio choices. We develop an algorithm to approximate this mapping numerically and discuss ways to implement the algorithm in practice. A computational example demonstrates the performance of the algorithm and shows some quantitative features of equilibria in a model with collateral and default.