基于模糊厌恶视角的最优固定利率与可变利率贷款组合决策行为研究

分析具有对边际融资成本不确定性存在模糊信念的竞争性商业银行的最优固定利率与可变利率贷款组合决策行为.采用银行的期望收益的正斜率和凹函数表示其模糊厌恶偏好.导出银行可变利率贷款占优于固定利率贷款的条件.表明,如果银行可以同时做出固定利率贷款和可变利率贷款组合决策,那么两类贷款的总额既不取决于银行的模糊厌恶偏好,也不取决于融资成本的不确定性风险.结论指出,银行的模糊厌恶成度的增加将引起其对企业发放更少固定利率贷款和更多可变利率贷款.因此,银行的模糊厌恶偏好在对企业的固定利率和可变利率贷款组合的最优决策行为中起着至关重要的作用.     

考虑借款企业决策行为的供应链CVaR利率决策模型

贷款利率是银行和其他金融机构用于权衡风险和收益的重要指标之一.考虑借款企业的决策行为,采用CVaR的风险度量准则作为决策标准,建立了基于条件风险价值最小的银行贷款利率决策模型,得到了权衡风险和收益条件下的最优利率.通过模型求解和数值分析发现:决策者的风险容忍水平直接对利率决策产生影响,CVaR风险度量准则可以帮助银行权衡收益和风险:借款企业利润率和自有资金是银行规避风险时需要着重考虑的关键因素.     

基于区间效率的贷款定价研究

以存款利息支出率、费用支出率、预期违约损失率、目标利润率等4个定价指标作为输入,以贷款利率作为输出,采用支持向量机回归算法建立基于区间效率的贷款定价模型.创新与特色一是通过区间数形式来反映预期违约损失率、目标利润率、费用支出率等,改变了现有研究将目标利润、贷款费用、违约损失等变量看作确定性数值来定价的现状.使贷款利率更具有竞争性.二是通过比较不同核函数、核参数下的训练样本的贷款效率区间与合理的贷款效率区间的匹配程度,确定贷款定价模型最优的核函数和核参数,进而建立了贷款定价模型.间接解决了在考虑贷款价格能否被银行、客户接受情况下贷款利率确定的问题.     

基于区间数DEA的贷款定价模型研究

在贷款的买方市场或充分竞争的金融环境中,贷款利率不会由银行自己说了算,因此建立银企双方共同接受的贷款利率定价模型在现实中尤为重要。本文采用区间数的形式反映存款利息支出率、违约风险补偿率等定价指标的不确定性,以已结清贷款最小定价效率、最大定价效率组成的贷款定价效率区间为目标,以新贷款的贷款利率为决策变量,通过逆向求解区间数DEA模型反推出新贷款的贷款利率区间,建立了基于区间数DEA的贷款定价模型。本文的创新与特色一是以已结清贷款的存款利息支出率、目标利润率等指标为输入,以已结清贷款的贷款利率为输出,利用DEA模型求得已结清贷款的实际最小效率及最大效率。二是以银企双方均可接受的贷款定价效率区间为目标、以新贷款的存款利息支出率等用区间数形式表示的贷款成本为投入,反推出贷款利率的取值区间。三是通过区间数形式来反映违约风险补偿率、目标利润率等定价指标的不确定性,改变了现有研究将目标利润、贷款费用、违约损失等变量看作常数来定价的不合理现状。研究表明:存款利息支出率、费用支出率、违约风险补偿率及目标利润率均与贷款利率成正比。企业提高在贷款银行中的资金结算比率、存贷比率可以降低贷款利率。     

政府主导下农业供应链金融中补贴与担保机制研究

农户融资难、融资贵问题制约着我国农业的发展，为引导农业的可持续发展政府采取了各种措施，典型的有贷款利息补贴与政策性担保机制。本文建立了由农户、公司、银行和政府组成的供应链模型，探究了政府补贴与政策性担保对农业供应链运营的影响及其差异。研究表明，在政府补贴情景下，当随机产出因子较高和贷款利率较低时，贷款利息补贴率越高，农户、公司、银行的利润以及社会福利越高.在政策性担保情景下，担保费率的降低对农户和社会的发展都有利。政府补贴降低了农户的融资成本，但其最大受益者是银行；而政策性担保则真正作用在农户和企业，通过降低银行贷款风险促使银行降低贷款利率，实现了农户的融资成本降低，提升了农户和公司的利润并增加社会总福利。     

资金约束供应链中最优融资和生产决策研究

研究了由单个生产商和单个零售商所构成的两级供应链的融资和生产决策问题.分别以生产商和商业银行作为供应链上的领导者,研究两者所做出的最优融资/生产决策与放贷策略.研究结果表明:生产商的最优产量相对于经典报童模型下的产量是下偏的,且与银行的贷款利率呈现出负相关的关系;银行获得最优收益时,生产商的产量相对于其最优产量是上偏的,且银行的最优放贷额和贷款利率被显示给出.     

基于银行下侧风险规避的第三方B2B平台激励策略研究

以电子仓单融资为例, 基于银行下侧风险规避角度, 研究联合授信和委托授信下当第三方B2B平台存在行为隐匿的道德风险时, 银行对B2B平台的激励策略设计问题。研究发现:B2B平台的最优努力水平随收益分配比例、回购比例的增大而减小, 随质押率、贷款利率、产品采购量、损失补偿比例的增大而增大;同时银行为规避违约风险, 需设置质押率、贷款利率和贷款额上限及回购比例下限, 并且银行最优收益分配比例与损失补偿比例、最优损失补偿比例与贷款损失率均成正相关关系。此外, 随着B2B平台工作效率的提高, 联合授信下最优收益分配比例将减小, 最优损失补偿比例将增大, 最终近似于委托授信下的最优损失补偿比例。最后给出数值分析。     

质押贷款下的贷款价值比的研究

当零售商以仓单质押的模式向银行申请贷款时,如果零售商面临着报童问题,那么零售商的生产经营决策,就会影响到质押物的价格,从而影响到银行的利润.从企业-银行不合作博弈的角度出发,考虑质押物的处理价不高于储存费用的情况下,银行的贷款价值比的确定问题.研究发现,当银行付予物流企业的监管费用高于某一数值时,银行的贷款行为将使其利润为负.     

存货质押贷款中的信号发送-甄别分离均衡

研究存货质押贷款中,当信贷人对借款人质押前违约概率信息不对称时,考虑借款人信号发送行为时对借款人的甄别.运用信息经济学,在Danny Ben-shahar抵押贷款模型基础上,考虑质物价格风险,证明信贷人以利率和贷款价值工具实现信号发送——甄别分离均衡.结论是借款人首先通过真实信号发送获得真实信用评级,且在每一评级内部,存在高风险借款人选择(高利率,高贷款价值比)合同,低风险借款人选择(低利率,低贷款价值比)合同的分离均衡.     

汽车消费、住房抵押贷款违约特性及对策

本通过对比住房抵押贷款和汽车消费贷款的违约特性，得出在利率由央行统一规定的条件下，对住房抵押贷款和汽车消费贷款，实行同样的首付款政策是不合理的，这导致目前汽车消费贷款的违约率居高不下。对于住房抵押贷款，银行可以适当降低首付款，来提高本银行住房抵押贷款在市场的竞争力，对于汽车消费贷款，可以通过采取提高汽车贷款首付款的措施，来降低违约率，控制抵押贷款风险。     

Expenses and underwriting strategy in competition

An earlier paper [Taylor (1986)] developed optimum underwriting strategies under the assumption of constant unit expense rates. In the discussion of the paper, it was suggested that such a strategy might be substantially affected if marginal expense rates were property taken into account. The theory for doing so is developed in Section 2, and further in Section 4.It is noted that the optimal strategy is not affected by the introduction of a component of fixed expenses, irrespective of the size of that component (Section 2.2).Sections 3 and 4 set limits on the effect of expenses on optimal underwriting strategy. The sharpness of these limits depends on:

• 1.the extent of variation in marginal expense rates as demand varies;
• 2.the price-elasticity of demand.

The case in which the marginal expense rate is constant and price-elasticity is directly proportional with price is a particularly simple one. In this case, the optimal premium rates taking expenses into account are precisely equal to the optimal premium rates ignoring expenses, increased by the marginal expense rates.As factors (i) and (ii) depart from this particular case, the behaviour of optimal premium rates with expenses taken properly into account becomes less predictable relative to the optimal rates ignoring expenses.Some numerical examples are examined in Section 6. The empirical results obtained suggest that the general ‘shape’ of the optimal strategy, in terms of the optimal premium rate as a function of time measured between the present and the planning time horizon, is to a large extent unaffected by whether they incorporate proper allowance for (possibly varyong) marginal expenses or approximate these by assumed constant unit expenses.The general level of optimal premiums may, however, be shifted to a material extent by the proper recognition of expenses. It is found that in examples in which the assumption of constant unit expense rates leads to optimal premium rates of substantial negative profitability, the adjustment to reflect marginal expenses properly can cause very significant changes to these low premium rates.     

A continuous review replenishment–disposal policy for an inventory system with autonomous supply and fixed disposal costs

In this study, we analyze an inventory system facing stochastic external demands and an autonomous supply (independent return flow) in the presence of fixed disposal costs and positive lead times under a continuous review replenishment–disposal policy. We derive the analytical expressions of the operating characteristics of the system; and, construct the objective function to minimize the total expected costs of ordering, holding, purchasing and disposal per unit time subject to a fill rate constraint. An extensive numerical analysis is conducted to study the sensitivity of the policy parameters and the benefit of employing a policy which allows for disposal of excess stock in this setting. We model the net demand process as the superposition of normally distributed external demand and inflows, which is expressed as a Brownian motion process. Our findings indicate that the disposal option results in considerable savings even (i) in the presence of non-zero fixed disposal costs, (ii) large actual demand rates with high return ratios (resulting in small net demands) and (iii) for moderate return ratios with high demand variability.     

K-drop凸空间中的性质

为了阐明何为K 强光滑空间的对偶空间 ,本文定义了K drop凸空间并且讨论了该空间的一些性质。同时借助K 强光滑空间的一个等价定义 ,证明了K drop凸空间与K 强光滑空间是对偶空间。文章最后用单位圆的切片给出了K drop凸空间的一等价命题 ,进而建立了K drop凸空间与drop性之间的关系。     

中国经济增长与环境污染的协整关系研究——基于1991-2007年省际面板数据

利用1991-2007中国29个省市的面板数据,对经济增长与环境污染的长期均衡关系进行了研究,对人均实际GDP及代表环境污染的五类污染物排放指标进行了面板单位根检验和面板协整分析。结果表明,在五类污染物排放指标中,只有工业固体废弃物排放量与人均GDP之间符合EKC特征,工业废水排放量随经济增长而逐渐减少,而工业废气排放量与经济增长不存在协整关系。     

需求变化的多阶段EOQ订购策略

多阶段库存管理是供应链研究的重要课题,其中独立需求的订购策略问题,现有文献一般设定计划期内各阶段需求且计划执行过程中需求不再变化,给出了相应的算法.本文选择EOQ模型作为基本订购策略,研究下面一类需求变化的多阶段订购策略问题：给定费用参数（物资单价、一次订货费用、单位库存保管费用）的情况下,在订购计划执行过程中,在阶段i（1＜i＜m）需要调整阶段m的需求,而其它阶段的需求不变,订购策略如何调整,使得库存总费用最低.     

Two-part fractional regression model with conditional FDH responses: an application to Brazilian agriculture

We extend the notion of a two-part fractional regression model with conditional free disposal hull efficiency responses to accommodate two-stage regression analysis. The two-part regression model includes the binomial model with a nonlinear specification for the expected response in (0,1] and is a more general formulation in the context of fractional regressions. We use nonlinear least squares to assess the effect of covariates in the conditional efficiency response. The approach is applied to Brazilian agricultural county data, as reported in the Brazilian agricultural census of 2006. The efficiency measure is output oriented and assumes variable returns to scale. Output is rural gross income and inputs are land expenses, labor expenses and expenses on other technological inputs. The covariates affecting production are credit, technical assistance, a rural development index, income concentration, measured by the Gini index, and regional dummies. Overall Brazilian rural production performance responds positively to all covariates.

     

刀具问题的仿真及灵敏度分析

本文通过计算机模拟仿真 ,搜索到了 CMCM-99A题中换刀间隔与检查间隔的近似最优解及单位正品最小费用 ,并对 p1(好刀生产正品的概率 ) ,p2 (坏刀生产正品的概率 ) ,k,f,d进行了灵敏度分析 ,得出 u(换刀间隔 )是最重要的优化参数的结论     

我国居民年人均收入与消费支出宏观分析与预测

用logistic曲线方程模拟我国居民人均收入、消费支出变化情况,并用该模型对其作短期预测,同时用该模型对居民收入和消费支出变化状况作出了阶段分析,进一步为经济发展作宏观分析和预测提供信息和根据。     

Power Law Condition for Stability of Poisson Hail

The Poisson hail model is a space-time stochastic system introduced by Baccelli and Foss (J Appl Prob 48A:343–366, 2011) whose stability condition is nonobvious owing to the fact that it is spatially infinite. Hailstones arrive at random points of time and are placed in random positions of space. Upon arrival, if not prevented by previously accumulated stones, a stone starts melting at unit rate. When the stone sizes have exponential tails, then stability conditions exist. In this paper, we look at heavy tailed stone sizes and prove that the system can be stabilized when the rate of arrivals is sufficiently small. We also show that the stability condition is, in a weak sense, optimal. We use techniques and ideas from greedy lattice animals.     

Sparse Approximation of Singularity Functions

We are concerned with the sparse approximation of functions on the d-dimensional unit cube [0,1]^d, which contain powers of distance functions to lower-dimensional k-faces (corners, edges, etc.). These functions arise, e.g., from corners, edges, etc., of domains in solutions to elliptic PDEs. Usually, they deteriorate the rate of convergence of numerical algorithms to approximate these solutions. We show that functions of this type can be approximated with respect to the H¹ norm by sparse grid wavelet spaces V_L, (V_L) = N_L, of biorthogonal spline wavelets of degree p essentially at the rate p: \[ \|u - P_Lu\|_{H^1([0,1]^d)} \leq CN_L^{-p}\,(\log_2 N_L)^s \|u\|, \qquad s = s(p,d), \] where || · || is a weighted Sobolev norm and P_Lu \in V_L.