小额信贷之违约概率模型:特别考虑异质性

在新巴塞尔资本协议(New Basel Capital Accord)对金融全球化的冲击及金融机构改善资产质量及合并政策的影响下,我国台湾地区金融业进入激烈合并竞争的时代.许多银行颇受降低逾放比率及增加净值报酬率与资产报酬率两难之困扰.消费性信用贷款产品利差大、风险分散,是金融机构授信经营极重要的产品.实证结果显示,采用世代研究(cohort study)建立之模型对样本数据之拟合程度较个案对照研究法(case-control study)的解释变异量为佳,且较符合新巴塞尔资本协议规定及科学程序.虽然Logistic 回归模型在建立逾期概率模型上广泛地被使用,但要求存在于同构型的变异数Var=np(1-p)假设上,且在数据分析上常因为出现变异数之异质性问题,故可采用调整变异数异质性之方法.     

The management of managers: Disputing in an executive hierarchy

This paper focuses on the relationship between organizational rank and respectability and the way top managers handle their interpersonal grievances, conflicts, and disputes in an executive hierarchy. Formal grievance procedures are rarely used. Downward grievances (from a superior to a subordinate) are often settled unilaterally by the superior. Upward grievances are typically handled covertly by subordinates. Titular equals opt for a range of covert and confrontational tactics, many of which evolve into disputes and are settled by a common superior. Respectability within the executive ranks appears to enhance the ability of superiors to impose outcomes on grievances, conflicts, and disputes between and within subordinates, to decrease the hostility of upward grievances, and to decrease vulnerability of subordinates to sanctions by their superiors.An earlier version of this paper was presented at the Annual Meeting of the Law and Society Association, Washington, DC, June 1987.     

Allocation of research and development funds: A zero-one goal programming approach

The research and development project selection process is one of the most difficult and important problems faced by management. It is typically complicated by indivisibility of projects and multiple and conflicting objectives, in addition to limitations on funding, facilities, and qualified researchers. In this paper a case example involving a high technology electrical equipment manufacturer is developed to illustrate this problem using zero—one goal programming to accommodate indivisibility of projects in addition to multiple and conflicting goals. The model presented is an attempt to provide managers with a robust tool for allocating scarce resources among research and development projects.     

Slave Trading in a Republic of Credit: Financial Architecture of the US Slave Market, 1815–1840

Credit facilitated the intra-US slave trade's growth between 1815 and the financial crisis of the late 1830s. Movement of money across geographic space was the enslavers’ chief challenge, and this article details the process of slaving firms’ building credit and remitting funds with which they constructed supply chains in bondspersons. Slave market development was dependent on US and North Atlantic financial integration and comprised three stages. These included use of the Second Bank of the USA, supplemented by domestic bills of exchange, and culminating in the use of southern state banks with northern correspondent ties, which the financial crisis severed.     

Fertility of the jews

The objectives of this paper were to review and summarize the existing literature on Jewish fertility and to discuss the highlights of data on fertility trends and differentials based on survey data obtained on the Jewish population of the metropolitan area of Providence, Rhode Island. The literature consistently confirmed the finding of lower fertility among Jews since the 1880's in the United States and for the last seventy-five years in a variety of European countries.A review of available data on fertility trends and differentials within the Jewish population indicated contradictory and inconsistent findings. The Providence survey data pointed to changing patterns of fertility among Jews and clarified a number of seeming inconsistencies. These data suggested (1) the pre-World War II decline and postwar recovery of Jewish fertility; (2) the change from an inverse relationship of social class and Jewish fertility among first-generation Jews to a direct relationship among second- and third-generation Jews; (3) the changing relationship of religiosity and Jewish fertility, which reflects social class changes.Finally, an attempt is made to clarify the interpretation of these and related findings by placing the analysis of Jewish fertility in the context of assimilation and acculturation.     

Overwhelming Casualties: Medical Ethics in a Time of Terror

Codes of ethics and ethics guidelines define standards of professional conduct, and ways to prioritize or balance ethical principles when these appear to be in conflict. In 1991 an international and interdisciplinary group of scholars met at the University of Toronto to discuss these problems in a Workshop on Ethical Considerations in Scholarship and Science. A document, “The Toronto Resolution”; (TTR), was developed, providing twelve principles for incorporation into scientific and scholarly codes, with the object of ensuring that professionals in science recognize the potential consequences of their work in the broader social context. To examine the extent to which existing codes are consonant with The Toronto Resolution's 12 principles, a content analysis was conducted on the codes of 21 Ontario‐based scientific and scholarly organizations. Criteria used in the content analysis were standardized and determined to be reliable. Only a weak correspondence was found between the contents of the codes of the scientific and scholarly organizations surveyed here and the principles set out in TTR. In particular, guidelines on specific social issues such as environmental effects or conflict resolution are scarcely mentioned at all. This study encourages consideration of The Toronto Resolution by the ethics committees of scientific and scholarly associations, as codes are revised or as new interpretations of principles in the codes evolve.     

Young Adult Migration from a Northern Plains Indian Reservation: Who Stays and Who Leaves

We evaluated how ambitions, community ties, monetary sufficiency, employment, and alcohol consumption related to whether young American Indian adults had moved from their Northern Plains reservation. Of 518 Northern Plains reservation residents in 1993, we located 472 in 2003–2005 and found that 89 lived more than a four-hour drive from the reservation. Coding the 472 as to whether they had stayed on/near the reservation or moved away, we ran logistic regressions on data they reported in 1996 to determine which demographic and attitudinal variables were associated with having moved. We found ambitions and goals were more associated with moving away than were ties to the community, which in turn were more related than monetary and personal characteristics that promote independence and prosperity. The more importance they placed on getting a good education or carrying on the tribe’s traditions, the more likely they were to have moved away. We found too that the odds of moving away decreased with greater alcohol consumption. Tribal council members and college administrators therefore may wish to promote policies that increase opportunities for young adults to achieve higher education goals while remaining on reservation to carry on tribal traditions. Benefits may also come from encouraging and assisting reservation members studying off-reservation to return after completing their education. These findings would argue too for greater investment in alcohol services for reservation-dwelling populations.     

Smooth Estimation of the Reliability Function

Problems with censored data arise quite frequently in reliability applications. Estimation of the reliability function is usually of concern. Reliability function estimators proposed by Kaplan and Meier (1958), Breslow (1972), are generally used when dealing with censored data. These estimators have the known properties of being asymptotically unbiased, uniformly strongly consistent, and weakly convergent to the same Gaussian process, when properly normalized. We study the properties of the smoothed Kaplan-Meier estimator with a suitable kernel function in this paper. The smooth estimator is compared with the Kaplan-Meier and Breslow estimators for large sample sizes giving an exact expression for an appropriately normalized difference of the mean square error (MSE) of the two estimators. This quantifies the deficiency of the Kaplan-Meier estimator in comparison to the smoothed version. We also obtain a non-asymptotic bound on an expected ₁-type error under weak conditions. Some simulations are carried out to examine the performance of the suggested method.