Bonus—Malus模型在银行贷款机制中的应用

将Bonus—MalLis模型应用到银行贷款业务,通过调整银行的Bonus-MalLis贷款利率来减少贷款欺诈行为。主要是建立借款人的银行个人信用体系,通过借款人上阶段的还款利率和表现决定其下阶段还款利率,这样就提供了一种与完全审计机制不同的奖惩机制。在一些简单假设下可证明Bonus—Malus利率将会消除所有欺诈行为,而非仅仅减少欺诈行为。     

我国城市商业银行跨区域发展与经营效率提升研究—基于理论分析及美国的经验启示

城市商业银行是现代金融业和区域经济发展的产物,相对于传统的商业银行,其经营灵活、成长性强、创新性高。但城市商业银行由于其发展时间较短,经营管理及风险控制存在一定的问题。从风险管理、区域限制、产业依赖等角度,运用SBM-Undesirable模型及Bootstrap纠偏技术分析测算了我国54家城市商业银行2010~2014年的经营效率及特征。研究发现：城市商业银行经营效率与风险管理水平存在阶段性正相关关系;城市商业银行经营效率对当地产业有较强的依赖性;跨区域经营有利于城市商业银行的资源优化配置,实现经营效率的提高。     

专业银行商业化的障碍及所需的社会配套条件

银行体制的改革是我国经济体制改革的深化，专业银行商业化是金融改革的目标。要使专业银行转轨为商业银行，不仅涉及到银行内部体制的管理，更重要的是，要为它营造一系列社会配套条件．     

机构设置导致的跨国银行操作风险度量研究

操作风险的准确度量是操作风险有效管理的前提。风险损失包括预期损失和非预期损失,对于可示损失采用Delta方法进行度量,对于控制失效或外部事件引起的超额损失,则用EVT方法进行计算,再利用门槛值将两者结合起来,可以较准确地度量分行在经营过程和向总行传递过程中由于机构设置不合理导致的操作风险,从而更合理地为这部分的操作风险分配经济资本。     

Rushes in Large Timing Games

We develop a continuum player timing game that subsumes standard wars of attrition and pre‐emption games, and introduces a new rushes phenomenon. Payoffs are continuous and single‐peaked functions of the stopping time and stopping quantile. We show that if payoffs are hump‐shaped in the quantile, then a sudden “rush” of players stops in any Nash or subgame perfect equilibrium. Fear relaxes the first mover advantage in pre‐emption games, asking that the least quantile beat the average; greed relaxes the last mover advantage in wars of attrition, asking just that the last quantile payoff exceed the average. With greed, play is inefficiently late: an accelerating war of attrition starting at optimal time, followed by a rush. With fear, play is inefficiently early: a slowing pre‐emption game, ending at the optimal time, preceded by a rush. The theory predicts the length, duration, and intensity of stopping, and the size and timing of rushes, and offers insights for many common timing games.     

Search for Yield

We present a model of the relationship between real interest rates, credit spreads, and the structure and risk of the banking system. Banks intermediate between entrepreneurs and investors, and can monitor entrepreneurs' projects. We characterize the equilibrium for a fixed aggregate supply of savings, showing that safer entrepreneurs will be funded by nonmonitoring banks and riskier entrepreneurs by monitoring banks. We show that an increase in savings reduces interest rates and spreads, and increases the relative size of the nonmonitoring banking system and the probability of failure of monitoring banks. We also show that the dynamic version of the model exhibits endogenous boom and bust cycles, and rationalizes the existence of countercyclical risk premia and the connection between low interest rates, tight credit spreads, and the buildup of risks during booms.     

Central bank credibility and monetary policy in Indonesia

This paper examines the role of central bank credibility in achieving an inflation target and proposes monetary policy rules for Indonesia. Towards that end, we construct and estimate a forward-looking small scale macroeconomic model (SSMM) of the Indonesian economy by adapting the theoretical underpinnings of the well-known Batini–Haldane model, along with the Taylor policy rule. Our results indicate that it is crucial for the Indonesian central bank to bolster its credibility in order to achieve a lower inflation rate. The inflation–output volatility trade-off frontier we derived from the SSMM shows that a monetary policy rule that targets both inflation and output gaps will result in less macroeconomic volatility. We also found that the inclusion of the exchange rate into the rule as an additional feedback variable warrants consideration in the future course of monetary policy management.     

论中国投资银行的成长之路

资本市场的开放包括服务性开放和投资性开放。在我国,投资性的开放在某种程度上还先于服务性的开放。此外,资本市场的开放不仅仅意味着“请进来”,还意味着“走出去”的双向开放。无论是何种形式的开放,在很多情况下我们都需要投资银行机构的参与,而与国外发达国家的成熟投资银行的市场运作相比,我国的投资银行存在相当大的差距。我国的投资银行必须向国际知名的投资银行学习,争取与它们合作的机会,在学习、合作中不断成熟、壮大自己,成长为中国本土真正的投资银行。     

当前我国数据库营销存在的问题及对策

数据库营销在西方发达国家的企业里已相当普及,因为它已成为一个企业在新的时代建立新的竞争优势的有力工具。而在国内,很多企业对数据库营销存在着不同程度的误解甚至完全不知,在我国已经加入WTO、世界经济一体化的今天的确让人担忧。这也是我们对该问题进行分析研究的动因。     

金融机构非中介化之反思

伴随网络和数字化时代的到来,金融机构越来越出现非中介化(脱媒)的趋势,传统商业银行面临着前所未有的危机,一些银行纷纷忙于向网上移植业务以度过危机。传统银行危机,从根本上并不源于网络这一纯技术上的原因,而是源于其作为金融媒介体基本功能的退化和主要业务的错位,是导致金融机构非中介化的根源。