企业间相互拖欠问题的成因及对策

企业资金相互拖欠是困扰多数企业乃至国民经济发展的一个突出问题。指出了问题的成因主要有 :结算制度改革滞后 ;货币投向不合理 ;产品积压加大资金占用 ;投资扩张 ,建设资金缺位。其对策主要是建立现代企业制度 ,深化管理体制改革 ,加强和完善对资金的宏观管理     

A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk

Reduced-form credit risk models are widely used in pricing and hedging credit derivatives. Generating default dependency is the key element in any such model. In this article, we use Markov copulae approach to model the dependence structure of defaults between the three obligors, one is the reference entity, another is the protection seller, the other is the protection buyer(the investor), so we can consider the bilateral counterparty risk of credit default swaps(CDS). In this Markov chain copula model, we obtain the explicit formulas of the CDS premium rates C ₁(T) (with unilateral counterparty risk) and C ₂(T) (with bilateral counterparty risk). And then we perform some numerical experiments to analyze the difference of the fair spreads between the unilateral case and the bilateral case.     

Derivative Pricing With Wishart Multivariate Stochastic Volatility

This paper deals with the pricing of derivatives written on several underlying assets or factors satisfying a multivariate model with Wishart stochastic volatility matrix. This multivariate stochastic volatility model leads to a closed-form solution for the conditional Laplace transform, and quasi-explicit solutions for derivative prices written on more than one asset or underlying factor. Two examples are presented: (i) a multiasset extension of the stochastic volatility model introduced by Heston (1993), and (ii) a model for credit risk analysis that extends the model of Merton (1974) to a framework with stochastic firm liability, stochastic volatility, and several firms. A bivariate version of the stochastic volatility model is estimated using stock prices and moment conditions derived from the joint unconditional Laplace transform of the stock returns.     

英国古典自由观念论析

英国古典自由观念①是英国独具特色的历史文化背景与现代化发展道路的产物。这种自由有着别具一格的观念内涵,即自由主体的个体性、自由内容的权利性和自由存在形式的保守性。个人主义、自然法思想、普通法精神是这种自由观念产生的价值预设。对英国古典自由观念内涵和价值预设的梳理与分析,是我们站在时代高度深刻理解和把握英国古典自由观念与现代化发展之间关系的基础。     

The Ability of Women to Repay Debt After Divorce

SUMMARY

This study uses questions on household repayment problems from the Panel Study of Income Dynamics to examine how the transition from marriage to divorce affects default rates by gender. The results show that divorced women are more likely to have repayment problems than divorced men and married-couple households. Further analysis reveals that divorced women who are receiving welfare are significantly less likely to default. Because average welfare benefits decreased in the early 1990s, the results suggest that this decrease provides a partial explanation for why the default rate increased between 1991 and 1995 for divorced women. The effect of welfare on the default rates of divorced men and married couples is insignificant. And there is no evidence that receiving child support and alimony payments significantly affects the probability of default.     

关于构建中国刑事缺席审判制度的思考

中国正式批准<反腐败公约>后,即应当按照公约资产追回机制的要求建立刑事缺席审判制度.目前国内学术界对于进行缺席审判还存在一些质疑,但经过评析以后发现,只要在刑事诉讼程序上加以精心安排,建立这种制度利大于弊,并且不致损害被告人的基本人权.     

Bayesian credit ratings: A random forest alternative approach

Cerciello and Giudici (2014 Cerciello, P., Giudici, P. (2014). Bayesian credit ratings. Commun. Stat. Theory Methods. 43:867–878.[Taylor &; Francis Online], [Web of Science ®] , [Google Scholar]) proposed a Bayesian approach to improve the ordinal variable selection in credit rating assessment. However, no comparison has been made with other methods and the predictive power was not tested. This study proposes an integrated framework of random forest (RF)-based methods and Bayesian model averaging (BMA) to validate and investigate the ordinal variable importance in evaluating credit risk and predicting default in greater depth. The proposed approach was superior to the Cerciello and Giudici method in terms of predictive accuracy and interpretability when applied to a European credit risk database.     

Monitoring foreclosure rates with a spatially risk-adjusted Bernoulli CUSUM chart for concurrent observations

Frequently in process monitoring, situations arise in which the order that events occur cannot be distinguished, motivating the need to accommodate multiple observations occurring at the same time, or concurrent observations. The risk-adjusted Bernoulli cumulative sum (CUSUM) control chart can be used to monitor the rate of an adverse event by fitting a risk-adjustment model, followed by a likelihood ratio-based scoring method that produces a statistic that can be monitored. In our paper, we develop a risk-adjusted Bernoulli CUSUM control chart for concurrent observations. Furthermore, we adopt a novel approach that uses a combined mixture model and kernel density estimation approach in order to perform risk-adjustment with regard to spatial location. Our proposed method allows for monitoring binary outcomes through time with multiple observations at each time point, where the chart is spatially adjusted for each Bernoulli observation's estimated probability of the adverse event. A simulation study is presented to assess the performance of the proposed monitoring scheme. We apply our method using data from Wayne County, Michigan between 2005 and 2014 to monitor the rate of foreclosure as a percentage of all housing transactions.     

中小企业违约风险系统性和异质性测度——基于违约风险成分分析法的研究

与大中型企业相比,经济环境恶化或突发事件冲击使中小企业资产价值更易大幅下降,不仅单个企业违约风险急增,企业间的违约相关性也明显变大。然而不同类型中小企业违约风险变化特征仍有较大差异。为了更好测度中小企业违约风险、分析其相关性和差异性,本文在资产价值满足跳-扩散过程假定下,将或有权益分析法、组合违约风险分析与系统波动风险测度β相结合,把违约风险分解为系统成分和异质成分。系统成分越大,表明企业违约风险越易受外部经济环境和相关违约风险影响。异质成分越大则表明企业违约风险与自身异质性特征更为相关。实证研究表明,违约风险成分分析能较好解释中小企业违约风险的相关性和差异性,有助于违约风险分类管理。     

论我国累积投票制的立法模式选择

在现代公司法中,累积投票制逐渐从强制性规则向任意性规则演变。我国公司法将累积投票制设为任意性规则顺应了这一立法趋势。但是,将累积投票制设为赋权性规则是不妥当的,累积投票制应为缺省性规则。