基于动态演化博弈分析的投贷联动创新机制研究

通过一个包含股权投资公司、商业银行以及政府三方主体的动态演化博弈模型,建立了一种由政府引导的投贷联动创新机制。理想状态下,科创企业能够获得商业银行的信贷支持,非科创企业能够通过股权融资降低财务杠杆,政府则通过对投贷联动进行协调获得更高的税收与股权投资收益。研究发现,政府在进一步推动投贷联动中发挥着不可替代的重要作用,提高项目质量、提高对非科创企业的价值提升能力以及适当的政府干预是推动投贷联动顺利开展的三条重要路径。研究结论对进一步推动供给侧结构性改革,缓解科创企业融资困境,降低企业杠杆率具有一定的参考价值。     

Some modified mathematical analytic derivations of the annual total relevant cost of the inventory model with two levels of trade credit in the supply chain system

Several recent studies in supply chain system and related areas explored various economic order quantity (EOQ) models for noninstantaneous deteriorating items with imperfect quality and trade credit financing. In particular, in the year 2007, Teng et al investigated an EOQ model in which the supplier offers the retailer the permissible delay period M and the retailer, in turn, provides the trade credit period N (with ) to his/her customers. The main purpose of this article is twofold: (a) It modifies the annual total relevant cost TVC(T) in the study of Teng et al and presents the correct derivations of TVC(T) by applying mathematical analytic tools and techniques. (b) It exposes some logical and mathematical problems in the proof of Theorem 1 in Teng et al. It also corrects and overcomes all of the errors and shortcomings by systematically presenting the complete and mathematical solution procedures in order to locate all optimal solutions for the model in Teng et al.     

Private equity firm experience and buyout vendor source: What is their impact on efficiency?

Using a dataset comprising 88 Private Equity (PE) backed Leveraged Buyouts (LBOs) completed and exited during the period 1999–2008, this study sheds new light on the impact of buyout vendor source and PE investor experience on post-buyout efficiency during the first 3 years after the transaction. There are three main findings. First, we observe increases in post-buyout efficiency over time, although LBOs from different vendor source differ in terms of post-transaction efficiency levels and improvement trajectories. Private and divisional buyouts are more efficient than the average. Divisional buyouts show higher efficiency improvements than private and secondary buyouts. Secondary buyouts remain below the average. Second, multivariate analyses suggest a positive and significant effect of PE firm experience on post-buyout efficiency. Finally, the observed efficiency patterns seem to be convex, suggesting the major improvements happen in the first 2 years after the transaction.     

考虑投资需求的易损耗物品质押融资决策模型

质押物发生损耗会降低质押物的市场价值,增加中小企业的违约风险,影响质押融资业务参与方的期望收益。同时,中小企业从金融机构获得的资金在扣除各项支出后如有剩余,还可以在资本市场进行短期投资以获利。基于此,本文设定质押物为易损耗物品且中小企业存在投资需求,构建存货质押融资决策模型。考虑两种情形:首先,给定金融机构的融资利率,决策中小企业的最佳投资回报率和物流企业的最优监管努力水平;其次,给定中小企业的投资回报率,决策金融机构的最佳融资利率和物流企业的最优监管努力水平。通过数值算例模拟决策变量的求解过程,敏感性分析验证了文中所给结论。     

基于logit回归模型的顾客资产驱动因素与忠诚意向关系实证研究

国内关于顾客资产驱动因素模型的实证研究较少.将顾客资产三大驱动因素(价值资产、品牌资产和关系资产)与忠诚意向联系起来,用我国银行业688个数据进行了Logit回归建模,研究顾客资产驱动因素分别与忠诚意向之间的关系、驱动因素两两之间的关系以及顾客资产驱动因素组合对忠诚意向产生的协同效应.研究结论表明,首先,价值资产、品牌资产、关系资产均对顾客忠诚意向产生显著正影响;其次,品牌资产对关系资产和价值资产均产生显著正影响,但价值资产对关系资产的直接影响不显著,这可能是因为品牌资产在价值资产和关系资产之间的中介作用;最后,同时投资价值资产和品牌资产或同时投资关系资产和品牌资产反而会使顾客忠诚意向降低.研究结论能够为银行管理者优化营销经费配置提供理论支持.     

预付款融资下基于改进收益共享与回购联合契约的双渠道供应链协调研究

随机需求下,考虑了制造商存在资金约束的双渠道供应链在采用预付款融资时,如何实现供应链协调的问题。在制造商为主方的Stackelberg博弈下,研究了制造商和零售商分散决策时的最优库存决策问题,并通过设计改进收益共享与回购联合契约使得供应链达到协调。在此基础上,讨论了供应链的帕累托改进区间。最后,通过算例验证了联合契约对双渠道供应链协调及帕累托改进的有效性,并分析了契约参数和融资参数对供应链的影响。     

基于零售商过度自信的存货质押博弈决策模型

存货质押是中小企业短期融资的有效手段,而企业对需求的过度自信会影响融资企业和银行的决策,从而影响到企业和银行的预期收益。针对过度自信环境下的存货质押决策问题,建立过度自信零售商和银行的存货质押博弈决策模型,采用Stackelberg博弈分析期望需求和需求波动性两方面过度自信对零售商销售努力、订货量和银行质押率的影响。研究表明:过度自信零售商融资更为激进,过度自信程度越高,对资金需求越大,投入销售努力越高,采购量越大,预期利润与实际利润之间的偏差越大;在低利润市场环境下,质押率随着过度自信的增加而降低,在高利润市场环境下,质押率会随着预测精度过度自信的增加而增加,随着期望需求过度自信的增加而下降。     

考虑风险规避的供应链融资与信用保险组合模型研究

针对供应链的资金约束问题,考虑了由一个资金约束的零售商、资金充足的供应商、风险规避型银行以及保险公司组成的供应链融资系统,分别构建了风险规避型银行融资模型以及银行融资与信用保险的组合模型,给出了两种模型中供应链融资系统成员的最优决策。研究表明:与传统风险规避型的银行融资模型相比,银行融资与信用保险的组合模型能够有效地增加零售商的融资规模,并降低银行的损失风险,从而信用保险能够给整个供应链融资系统带来严格帕累托改进。最后,通过数值算例说明了研究结论的有效性。     

需求依赖价格下港口存货质押业务中质押率研究

港口与银行合作办理质押贷款业务,不仅能增加港口的存储收入和金融收入,同时也能吸引更多的客户,从而增加其主营业务收入。在银行统一授信港口情况下,本文分析了质押物品的需求依赖价格条件下,风险中性的港口质押贷款业务中的最优质押率计算方法。并分别分析了在乘积型和加型随机需求函数条件下,质押产品价格、企业违约概率和质押物品数量以及质押期限对最优质押率和港口最大期望收益的影响,并通过数值分析验证了所有结论。     

Pricing perpetual American catastrophe put options: A penalty function approach

The expected discounted penalty function proposed in the seminal paper by Gerber and Shiu [Gerber, H.U., Shiu, E.S.W., 1998. On the time value of ruin. North Amer. Actuarial J. 2 (1), 48-78] has been widely used to analyze the joint distribution of the time of ruin, the surplus immediately before ruin and the deficit at ruin, and the related quantities in ruin theory. However, few of its applications can be found beyond except that Gerber and Landry [Gerber, H.U., Landry, B., 1998. On the discount penalty at ruin in a jump-diffusion and the perpetual put option. Insurance: Math. Econ. 22, 263-276] explored its use for the pricing of perpetual American put options. In this paper, we further explore the use of the expected discounted penalty function and mathematical tools developed for the function to evaluate perpetual American catastrophe equity put options. We obtain the analytical expression for the price of perpetual American catastrophe equity put options and conduct a numerical implementation for a wide range of parameter values. We show that the use of the expected discounted penalty function enables us to evaluate the perpetual American catastrophe equity put option with minimal numerical work.