马尔可夫链模型在信用卡账户行为变化预测中的应用

对信用卡账户行为变化的监控是降低信用卡风险的关键.论文在构建马尔可夫模型的基础上,讨论了在信用卡账户无新增贷款、新增贷款固定不变和新增贷款发生周期性变化的情况下,如何预测信用卡账户不同状态的金额、已偿付态和坏账态的金额、全部应收款的现值及它们的方差计算等内容,为信用卡账户行为变化的预测、管理提供了方法和依据.     

基于KMV模型的我国上市公司信用风险研究

在KM V框架的基础上对股权价值计算方法进行了改进,通过改进后的方法,计算出1999年至2006年各年所有上市公司的违约距离、理论违约率、企业价值、股权价值等指标数据.从分析的结果来看,上市公司规模对信用风险有一定影响,上市公司规模越大,信用风险越小,公司规模越小,信用风险越大.从违约风险的变化情况看,2003—2006年上市公司的违约距离呈下降态势,说明近年来上市公司的违约风险加大.对比沪深300上市公司股改前和股改后信用状况,发现股改前后信用状况有显著不同,股改后上市公司的违约风险变大.通过违约距离的敏感性分析,认为股权价值波动率对违约距离最敏感.     

均衡信贷配给的期权定价分析

本文基于期权定价的视角分析信贷配给，以一条全新的思路阐释均衡信贷配给的成因及特征，并试图得出些许启示。     

病毒传播的动态分析

结合最新病毒传播的研究工作,建立了一系列微观病毒传播系统,并对动态系统作了简单的分析,是对宏观疾病传播的内在规律的描述和研究,有利于疾病发展趋势的预测和最优化控制策略的研究.     

不同对流马赫数下光束畸变的实验研究

利用双曝光CCD相机成像技术,研究了小直径光束穿越可压缩混合层流场后所引起的气动光学效应.实验研究结果表明:在不同对流马赫数(Mc=0.17,0.45)下,光束投影(点扩散函数,PSF)发生了不同程度的变形和偏移.此外在不同对流马赫数下细光束投影都存在扩束、缩束和面积几乎不变的现象,但光束投影出现扩、缩束的概率不同.     

Bunch length measurement at Tsinghua Thomson scattering X-ray source

The length of electron beam from a photocathode RF gun is determined by a spectrometer, according to the relative energy spread induced by the bunch length during the acceleration in a linac. For a photocathode RF gun, different laser injected phase and beam charge are studied. The compression is changed for the different laser phases, as from 10° to 30°, and the bunch length is lengthened due to the strong longitudinal space charge force, caused by the increased charge.     

Flame spread over solids in buoyant and forced concurrent flows: Model computations and comparison with experiments

A detailed three-dimensional concurrent flame spread model is tested and compared with three sets of experiments. The parameters varied include: gravity, flow velocity, pressure, oxygen mole fraction, and sample width. In buoyant flows (normal and partial gravities), the computed steady spread rate and flame profiles agree favorably with experiment. The predicted extinction limits are lower but can be improved. Comparison in forced concurrent flow in microgravity shows correct trends. The predicted steady spread rates are lower than the experimental ones if the flames are short but higher than the experimental ones if the flames are long. It is believed that the experimental flames may not have fully reached steady state at the end of the 5-s microgravity drops. Longer duration microgravity experiments in future will be needed to substantiate this belief.     

Optimal credit period and lot size for deteriorating items with expiration dates under two-level trade credit financing

In a supplier-retailer-buyer supply chain, the supplier frequently offers the retailer a trade credit of S periods, and the retailer in turn provides a trade credit of R periods to her/his buyer to stimulate sales and reduce inventory. From the seller’s perspective, granting trade credit increases sales and revenue but also increases opportunity cost (i.e., the capital opportunity loss during credit period) and default risk (i.e., the percentage that the buyer will not be able to pay off her/his debt obligations). Hence, how to determine credit period is increasingly recognized as an important strategy to increase seller’s profitability. Also, many products such as fruits, vegetables, high-tech products, pharmaceuticals, and volatile liquids not only deteriorate continuously due to evaporation, obsolescence and spoilage but also have their expiration dates. However, only a few researchers take the expiration date of a deteriorating item into consideration. This paper proposes an economic order quantity model for the retailer where: (a) the supplier provides an up-stream trade credit and the retailer also offers a down-stream trade credit, (b) the retailer’s down-stream trade credit to the buyer not only increases sales and revenue but also opportunity cost and default risk, and (c) deteriorating items not only deteriorate continuously but also have their expiration dates. We then show that the retailer’s optimal credit period and cycle time not only exist but also are unique. Furthermore, we discuss several special cases including for non-deteriorating items. Finally, we run some numerical examples to illustrate the problem and provide managerial insights.     

A note on “Seller’s optimal credit period and cycle time in a supply chain for deteriorating items with maximum lifetime”

In 2014, Wang et al. (2014) extended the model of Lou and Wang (2012) to incorporate the credit period dependent demand and default risk for deteriorating items with maximum lifetime. However, the rates of demand, default risk and deterioration in the model of Wang et al. (2014) are assumed to be specific functions of credit period which limits the contributions. In this note, we first generalize the theoretical results of Wang et al. (2014) under some certain conditions. Furthermore, we also present some structural results instead of a numerical analysis on variation of optimal replenishment and trade credit strategies with respect to key parameters.