1. 报告题目：Estimating spatial contagion effects for mortgage defaults (抵押贷款违约的空间传染效应估计)

　　报告人：Calabrese Raffaella 副教授

　　主持人：石宝峰  副教授

　　报告时间：2019年7月9日（周二） 下午14:30-16:00

　　报告地点：经管园林大楼C315会议室

　　内容简介：本文为抵押贷款违约决策开发了一个灵活的二元选择模型，该模型考虑了扰动项的邻域效应。模型的主要优点在于，一方面它能更好地估计风险抵押贷款的违约概率，另一方面该模型还可应用于贷款数量较多的投资组合。假设抵押贷款决策具有空间相关扰动性，本文利用广义极值分布灵活地对误差项进行估计建模。为了在大样本情况下提升模型估计的准确性，本文采用了Geweke-Hajivassiliou-Keane算法的一个变体，将提出的模型和对比算法应用于美国400多万笔抵押贷款的大型数据集，结果表明：本文所建模型大大提高了识别违约贷款的预测精度。 【We develop a flexible binary choice model for mortgage default decisions that incorporates neighbourhood effects in the disturbances. The main advantage of the model lies in its performance in providing improved estimates of the probability of default for risky mortgage loans. In addition, it can be applied to portfolios with a high number of loans. Assuming mortgage decisions with spatially dependent disturbances, the proposed approach uses the generalized extreme value distribution to flexibly model the error terms. To estimate the model on a large sample size, we use a variant of the Geweke-Hajivassiliou-Keane algorithm. We apply the proposed model and its competitors to a large dataset on almost 4 millions mortgages in the US. The results show that our proposal greatly improves the predictive accuracy of identifying loans that will default.】

　　报告人简介：Raffaella Calabrese，英国爱丁堡大学(University of Aberdeen) 终身副教授、博士生导师，意大利米兰比可卡大学（University of Milano-Bicocca）方法学和应用统计学博士。曾先后在米兰比可卡大学（University of Milano-Bicocca）、都柏林大学（University College Dublin）做统计学博士后研究员、空间计量经济学博士后研究员，和埃塞克斯大学（University of Essex）金融学讲师。目前Raffaella Calabrese 博士已在《Risk Analysis》、《Journal of the Operational Research Society》、《European Journal of Operational Research》、《Journal of Regional Science》等国际知名的SSCI、SCI检索源期刊上发表学术论文14篇。

　　2. 报告题目：When does the market overprice or underprice analyst forecasts? A comparison of market expectations with consensus earnings forecasts (投资者在什麼情況下会高估或者低估分析师预测？来自市场预期与会计利润预测的比较)

　　报告人：Yizhe Dong  副教授

　　主持人：石宝峰  副教授

　　报告时间：2019年7月9日（周二） 下午16:00-17:30

　　报告地点：经管园林大楼C315会议室

　　内容简介(Abstract)：本文探讨了借款人财务信息和个人信息、贷款特征对P2P贷款融资的影响。利用中国最大在线P2P贷款平台的信贷样本，我们发现，高收入群体或拥有汽车的借款人更容易获得贷款、利率更低，并且违约概率较低。其次，贷款平台对客户的信用评级无法反映借款人真实的信用水平。实证还发现，中国P2P在线借贷平台独特的线下流程对借贷决策影响显著，本文实证结果对大数据贷款市场产品设计、风险管控有着非常重要的现实意义。【The financial benefits of having major customers tend to give suppliers the financial resources and motivation to increase their investment activity, a situation that may signal a positive relationship between customer concentration and corporate risk-taking. However, the risks posed by a highly concentrated customer base can deter suppliers from undertaking investment, and thus a negative relationship may exist between customer concentration and corporate risk-taking. Due to the distinctive regulation environment in China, we measure customer concentration differently from how it is measured in US settings. We find that although overall customer concentration significantly reduces corporate risk-taking, our panel threshold model indicates significant threshold effects. Specifically, when customer concentration is below the first threshold, it is positively associated with corporate risk-taking, suggesting that a lower level of customer concentration does not pose a significant risk but more likely benefits suppliers financially and encourages them to engage in more investment activities. When the customer concentration is above the second threshold, it negatively affects corporate risk-taking, indicating that a highly concentrated customer base prompts suppliers to take more precautionary measures and avoid additional risks by constraining investment. Documenting the threshold effects of customer concentration on corporate risk-taking should be of interest to business practitioners, regulators and academics.】

　　报告人简介：Yizhe Dong，英国爱丁堡大学(University of Aberdeen) 金融学副教授(终身教职)，博士生导师；获得拉夫堡大学 (Loughborough University) 金融学博士，诺丁汉大学(University of Nottingham)金融学硕士，卡迪夫大学(Cardiff University)经济学硕士和华南理工大学学士，曾任英国亚伯大学(Aberystwyth University)讲师和杜伦大学(Durham University)博士后研究员。董教授长期致力于商业银行经营管理、金融机构效率、公司金融、绿色金融和信用风险管理研究，先后在《European Journal of Operation Research》、《European Journal of Finance》、《A Journal of Accounting, Finance and Business Studies》、《International Review Financial Analysis》、《British Accounting Review》、《Journal of International Financial Markets, Institutions and Money》、《Economic Modelling》、《Finance Research Letters》等SSCI期刊发表论文20余篇。此外，董教授还先后多次组织重要国际学术会议，并先后担任European Journal of Finance, Economic Modelling、Emerging Markets Finance and Trade多个学术期刊的客座编辑。

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　　经济管理学院

　　2019年7月8日

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