基于Kolmogorov-Smirnov(KS)统计量的信用评分模型选择方法

信用评分系统在商业,金融,工程和健康等许多领域具有重要意义。Kolmogorov-S mirnov(KS)统计量是一种常用的评估信用评分模型的指标,Directly Maximizes the KolmogorovSmirnov (DMKS)是一种首次将KS统计量作为目标函数进行优化的信用评分方法。本文提出了一种基于DMKS信用评分方法以及交叉验证的模型选择方法,用于选择具有合适特征的信用评分模型,并且证明了该模型选择方法在理论上具有渐近最优性。本文使用Iterative Marginal Optimization (IMO)算法加速了模型选择准则的计算,使得本文所提模型选择方法可以适用于样本量较大的情形;同时利用前向变量选择方法的思想进一步地减少了本文所提模型选择方法的计算,从而加快了选取具有合适特征的信用评分模型的速度。模拟数据和实际数据分析表明了所提模型选择方法的有效性。     

Peer-to-Peer环境下基于分布式Kalman滤波的信用管理

Peer-to-Peer(P2P)环境下的信用管理对鼓励节点间的资源共享和抵制恶意节点的行为有重要的作用.针对目前P2P信用管理系统中全局信用值需要迭代计算,网络通信开销较大等问题,借鉴多传感器目标跟踪中的信息融合思想,提出了一种新的P2P环境下信用管理机制.建立了节点信用变化方程和测量方程,给出了节点全局信用值的分布式Kalman滤波估计方法,并讨论了恶意节点抑制问题.理论分析和仿真计算表明本文方法的信用值计算精度高、收敛速度快、资源开销小、对动态节点的适应性强并具有很好的可扩充性.     

融入社会关系强度的个人信用价值度量模型研究

融入社会关系数据的信用评估已成为国内外信用研究热点,文章以三维信用中个人信用理论为基础,嵌入在线社会资本理论,提出了一种融入社会关系强度的个人信用价值度量方法.通过引入节点间的信任强度量化在线社会资本,根据自身节点属性、网络中所处位置、关联节点影响力、以及关联节点间的直接和间接关系强度等要素构建个人信用价值度量模型,实验结合个人支付宝芝麻分经验数据,从实践角度验证了模型对修正个人信用的有效性.研究提出的度量模型对互联网金融服务、大数据征信系统建设,在线社会资本理论研究具有重要意义.     

TOPSIS-GRA法下的企业动态信用评价方法及其应用

针对传统信用评价方法较少考虑到时间的延续性,且只注重信用基础值而忽视其发展趋势的问题,本文提出了一种具有风险抗性信用奖惩特征的TOPSIS-GRA的动态信用评价方法。首先,利用指标信息量诱导密度算子对静态数据进行综合集成,得到静态综合信用评价值,在此基础上构造动态信用评价加权决策矩阵;其次,在对矩阵进行TOPSIS法验算的过程中嵌入企业风险抗性信用奖惩点,进而得到包含奖惩性质的相对贴近度;再以GRA方法得到各受评企业理想的信用发展趋势关联度,结合两者最终得到融合风险抗性奖惩量、信用基础值和信用发展趋势三项特征的稳定科学的企业动态信用评价结果。最后,给出了一个实证分析,验证了该方法的有效性及合理性。     

民营企业信贷能力评价指标体系构建——基于广东省12个行业与300家企业的调研问卷

结合国务院常务会议最新提出的"支持有市场、有前景、技术有竞争力的民营企业融资"政策出发,通过调研、专家访谈、问卷调查等方式,运用层次分析法对民营企业信贷能力评价进行模型构建,并以广东省为例,进行模型设计.研究结果显示,民营企业获得银行贷款,最重要是做好企业产品,在经营过程中重视企业本身的各项信用记录,如纳税信用等.此评价指标体系也可作为银行业放贷的重要参考,加强信贷扶持民营企业的效果.     

一种融合 SOM 与 K-means 算法的动态信用评价方法及应用

针对传统信用评价方法多是静态评价的不足,本文提出了一种融合SOM与K-means算法的动态信用评价方法。文章首先对动态信用评价问题进行了介绍,并利用E-TOPSIS方法对单时点下的静态信息进行集结,以确定被评价对象的信用评价值;然后在融合SOM算法和K-means算法各自优势的基础上,提出了SOM-K算法的原理和步骤;最后以SOM-K算法对被评价对象进行聚类,并确定相应信用等级。文章最后进行了实例验证。验证结果表明,该方法能够较好地克服静态信息下由于信息突变造成评价结果失真的问题。     

涉农企业信用评价动态指标隶属度向量判别研究

对涉农企业信用评价中的动态指标的隶属度向量进行判别研究.首先借鉴X-12-A砒MA季节调整法的思想对信用数据进行剥离,构建一种过程连续性的动态信用指标;其次通过时间序列三指数平滑模型对动态信用数据的变化进行预测,得到动态信用指标隶属度向量;再次,结合熵权-AHP法确定的权重,确定动态信用指标的综合隶属度向量;最后实证检验了方法在企业信用评价中应用的有效性.     

区间值信息系统在变精度优势关系下的粗集模型

借助于属性区间值的优势程度在区间值信息系统中定义了一种具有变精度的优势关系,给出了这种变精度优势关系下的属性约简与判定,得到了区间值信息系统上属性约简的具体操作方法.考虑对象的属性值具有优劣顺序,基于变精度优势度提出了对象排序的方法.     

基于KMV模型的农业上市公司信用风险测度研究

通过构建改进后的KMV模型,设定三种不同违约情境,对2010-2012年我国农业上市公司的信用风险进行测度与比较研究,并确定其隶属的风险类型,以揭示现阶段农业上市公司的信用状况.研究结果表明:不同农业上市公司的资产价值均高于股权价值,其未来发展具有较好的价值增值空间;农业上市公司的资产价值波动率总体呈下降趋势;农业上市公司信用状况相对较差,且风险类型主要集中于"∩"型和↘型".由此得出农业上市公司未来的发展,应在推进"股权分置"改革、建立可量化的风险管理机制、实现风险管理与业务流程融合等方面采取措施,从而有效降低我国农业上市公司的信用风险.     

信用违约互换的定价方法

通过对信用违约互换的结构的分析,在Merton的结构化方法框架下,用偏微分方程求出公司的违约概率密度,最后给出信用违约互换的一种定价方法.     

Seller’s optimal credit period and replenishment time in a supply chain with up-stream and down-stream trade credits

In practice, a supplier often offers its retailers a permissible delay period M to settle their unpaid accounts. Likewise, a retailer in turn offers another trade credit period N to its customers. The benefits of trade credit are not only to attract new buyers who consider it a type of price reduction, but also to provide a competitive strategy other than introduce permanent price reductions. On the other hand, the policy of granting credit terms adds an additional cost to the seller as well as an additional dimension of default risk. In this paper, we first incorporate the fact that trade credit has a positive impact on demand but negative impacts on costs and default risks to establish an economic order quantity model for the seller in a supply chain with up-stream and down-stream trade credits. Then we derive the necessary and sufficient conditions to obtain the optimal replenishment time and credit period for the seller. Finally, we use some numerical examples to illustrate the theoretical results.     

Optimal trade credit and order quantity when trade credit impacts on both demand rate and default risk

In practice, to attract new buyers and to avoid lasting price competition, a seller frequently offers its buyers a permissible delay in payment (ie, trade credit). However, the policy of granting a permissible delay in payment adds an additional dimension of default risk to the seller. In contrast to previous researchers for finding optimal solutions to buyers, we first propose an economic order quantity model from the seller's prospective to determine its optimal trade credit and order quantity simultaneously. In addition, we incorporate the important and relevant fact that trade credit has a positive impact on demand rate but a negative impact on receiving the buyer's debt obligations. Then the necessary and sufficient conditions to obtain the seller's optimal trade credit and order quantity are derived. An algorithm to determine the seller's optimal trade credit is also proposed. Finally, we use some numerical examples to illustrate the theoretical results and to provide some managerial insights.     

Seller’s optimal credit period and cycle time in a supply chain for deteriorating items with maximum lifetime

Due to evaporation, obsolescence, spoilage, etc., some products (e.g., fruits, vegetables, pharmaceuticals, volatile liquids, and others) not only deteriorate continuously but also have their expiration dates. To attract new buyers and increase sales, a seller frequently offers its buyers a trade credit period to settle the purchase amount. There is no interest charge to a buyer if the purchasing amount is paid within the credit period, and vice versa. On the other hand, granting a credit period from a seller to its buyers increases default risk. In this paper, we propose an economic order quantity model for a seller by incorporating the following relevant facts: (1) deteriorating products not only deteriorate continuously but also have their maximum lifetime, and (2) credit period increases not only demand but also default risk. We then characterize the seller’s optimal credit period and cycle time. Furthermore, we discuss a special case for non-deteriorating items. Finally, we run several numerical examples to illustrate the problem and provide some managerial insights.     

Study on the coordination contract in supply chain under trade credit based on risk compensation

Trade credit changes the inventory risk between supplier and retailer. This leads to failure in the coordination of the supply chain. Considering that the supplier bears the retailer’s inventory risk under the credit condition, in this paper, the contract is constructed by combining the risk compensation and quantity discount contract to re-coordinate the supply chain and analyze the contract. The results show that the contract can achieve voluntary supply chain coordination; and when the seller’s funds is within a certain range, the coordinate contract can perform in the form of the wholesale price contract, and the wholesale price is influenced by its own funds and product value. In the end, a numerical example is given to verify this conclusion.     

制造商与销售商双向选择与利益分配

分别建立制造商和销售商主导的供应链的利润分配模型,阐明为什么制造商和销售商都努力使自己成为供应链的主导企业,说明销售商主导型供应链竞争存在优势的原因.制造商主导的供应链中,制造商通过决定产品的批发价格最优化自身的利润分配;在销售商主导的供应链中,销售商通过决定批量折扣率达到对产品批发价格的控制,为销售商带来更大的利润.制造商和销售商在各自主导供应链的利润分配均大于供应链总体利润最大时的利润平均分配.给出一个具体的算例验证模型的结论.     

Designing win-win financial loan products for consumers and businesses

With the many possible designs that a financial company can offer to a consumer (eg terms, price, quality, features), a company can identify win-win products for both the consumer and the company. A key to identifying win-win products is to explicitly integrate the consumer's preferences for price and quality with the company's preferences for profit and market share. This paper builds a model that identifies the set of win-win products by integrating the preferences of buyer and seller. For any product not in this set, there is at least one product in the set that is better for both buyer and seller. The company's preferences are then used to select the optimal offer from the win-win set. Our development logically derives the results by focusing on financial products (eg loans, mortgages, credit cards) to consumers in the multitrillion dollar retail credit business.     

Default swap games driven by spectrally negative Lévy processes

This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the study of an optimal stopping game subject to early default termination. Under a structural credit risk model based on spectrally negative Lévy processes, we apply the principles of smooth and continuous fit to identify the equilibrium exercise strategies for the buyer and the seller. We then rigorously prove the existence of the Nash equilibrium and compute the contract value at equilibrium. Numerical examples are provided to illustrate the impacts of default risk and other contractual features on the players’ exercise timing at equilibrium.     

The infinite time horizon dynamic pricing problem with multi-unit demand

This paper studies a dynamic pricing problem for a monopolist selling multiple identical items to potential buyers arriving over time, where the time horizon is infinite, the goods are imperishable and the buyers’ arrival follows a renewal process. Each potential buyer has some private information about his purchasing will, and this private information is unknown to the seller and therefore characterized as a random variable in this paper. Thus, the buyers may have multi-unit demand. Meanwhile, the seller needs to determine the optimal posted price such that his expected discounted revenue is maximized. This problem is formulated as a stochastic dynamic programming in this paper and then how to obtain the solution is explored. A numerical study shows that the optimal posted price performs better than that of optimal fixed price, and this advantage becomes obvious as the interest rate and/or the number of initial items increases.     

不透明销售的顾客退货政策选择

本文探讨从事不透明销售的零售商对顾客退货政策的选择问题。分别针对零售商垄断和竞争两种市场情况,建立不透明零售商与其它供应链成员(制造商或普通零售商)之间的博弈模型,获得唯一均衡解;对均衡结果进行结构化分析,给出不透明销售方式下采用全额退款政策的判别条件;针对均衡结果,分析零售商垄断情况下产品不透明参数的最优设计,以及零售商竞争情况下的市场分化情况;鉴于净残值参数在退货政策选择中的决定性作用,本文进一步探讨了净残值为正时全额退款政策对各参与方利润及产品需求和价格的影响,分析了净残值在其中的作用机理。本研究能够为不透明零售商制定退货政策和价格以及其它供应链成员制定相关决策提供支持。     

Auctions with an asking price

This paper studies a sales mechanism, prevalent in housing markets, where the seller does not reveal or commit to a reserve price but instead publicly announces an asking price. We show that the seller sets an asking price such that, in equilibrium, buyers of certain types would accept it with positive probability. We also show that this sales mechanism, with an optimally chosen asking price set prior to the seller learning her value, does better than any standard auction with a reserve price equal to the seller’s reservation value. We then extend the analysis to the case where the asking price reveals information about the seller’s reservation value. We show that in this case there is a separating equilibrium with fully-revealing asking prices, which is revenue-equivalent to a standard auction with a reserve price set at the seller’s reservation value.