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Credit Risk Analysis of Chinese Companies by Applying the CAFÉApproach

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国际计算机前沿大会会议论文集 2022年第2期 475-502页

作者： george x.yuan Chengxing Yan Yunpeng Zhou Haiyang Liu Guoqi Qian Yukun Shi Business School Chengdu UniversityChengdu 610106China Shanghai Hammer Digital Technology Co. Ltd.(Hammer)Shanghai 200093China Business School Sun Yat-Sen UniversityGuangzhou 510275China Business School East China University of Science and TechnologyShanghai 200093China School of Mathematics and Statistics University of MelbourneMelbourneVIC 3010Australia Adam Smith Business School University of GlasgowGlasgow G128QQUK

It is known that the current Credit Rating in financial markets of China is facing at least three problems:1)the rating is falsely high;2)the differentiation of credit rating is insufficient;and 3)the poor performance of predicting early warning,thus we must consider how to create a reasonable new credit risk analysis approach to deal with issues for financial markets in China for those listed companies’*** report shows that by using a newmethod called the“Hologram approach”as a tool,we are able to establish a so-called“CAFÉRisk Analysis System”(in short,“CAFÉApproach”,or“CAFÉ”)to resolve three issues for credit rating in *** particular,the main goal in this paper is to give a comprehensive report for credit risk assessments for eight selected list companies by applying our“CAFÉ”from different industry sectors against actual market performance with the time period from the past one to three years through our one-by-one interpretation for event screening and true occurrence and related *** this way,we show how“CAFÉ”is able to resolve current three major problems of“rating is falsely high,the differentiation of credit rating grades is insufficient,and the poor performance of predicting early warning”in the current credit market in China’s financial industry in practice.

关键词： Credit risk analysis Digital economy Big data financial technology Hologram Unstructured features Credit rating CAFÉassessment system

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共识博弈与区块链生态共识均衡

运筹学学报（中英文） 2024年第3期28卷 1-26页

作者：袁先智中山大学管理学院广东广州510275 华东理工大学商学院上海200237 重庆理工大学理学院重庆400054

本文的目的是建立刻画区块链生态系统行为表现的“共识博弈”的一般框架,并针对“矿池间隔博弈”的“共识均衡”的存在性进行刻画和解读。特别是通过引进共识博弈这个新概念作为出发点,尽管区块链平台生态本身会受到诸如挖矿间隔等行为... 详细信息

本文的目的是建立刻画区块链生态系统行为表现的“共识博弈”的一般框架,并针对“矿池间隔博弈”的“共识均衡”的存在性进行刻画和解读。特别是通过引进共识博弈这个新概念作为出发点,尽管区块链平台生态本身会受到诸如挖矿间隔等行为的干扰,我们证明了在合理的激励机制下一般区块链平台的共识博弈均衡点的存在性,从正面的角度回答了区块链生态本身发展是否稳定这个非常基本和核心的问题。这里,“间隔博弈”(不良)行为出现所在的区块链生态是指基于Nakamoto在2008年提出的遵循按照最长主链建设的“工作量证明”作为基本的共识原则的挖矿平台。特别地,本文首先在一般激励机制条件下,基于区块链生态中的共识博弈框架,在有挖矿间隔等不良行为出现的情况下,建立了在一般激励相容机制条件下的共识均衡点的存在性结果和对应区块链生态能够持续运转的稳定性解读;然后结合在“挖(币)矿”工作中涉及到的工作费用、奖励机制和挖矿能力这三类描述激励机制的核心要素,从挖矿工(组)收益的角度,针对不同嵌入场景对挖矿工(组)的“间隔博弈行为”可能产生的影响进行了解读和分析。本文的理论结果和案例分析表明,结合不同挖矿场景相合适的激励相容机制,共识博弈(均衡)这个概念可以在理论的层面(即,不需要情景数据模拟结果的支持),能够得到或形成针对不同场景下的挖矿行为的解释和解读。此外,我们有理由期待和相信,结合影响挖矿(组)收益相关的要素因子,共识博弈可以帮助我们构建对应的合适场景的激励相容机制,通过刻画挖矿工(组)出现的诸如“间隔行为”,“分叉链”,“矿池攻击”等(不良)行为,支撑数字经济的健康发展,并对共识经济学基础理论的发展能够起到推进作用。

关键词：共识博弈共识均衡合作与非合作博弈 Nakamoto共识工作量证明区块链生态区块链生态稳定性矿池博弈挖矿间隔博弈最长链规则区块链的分叉激励兼容性

Origin of Symmetry Breaking and Confinement in Conducting Polymers with Ring Structures

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Communications in Theoretical Physics 2007年第2X期48卷 366-368页

作者： yuan yuan Thomas F. george SUN xin Research Center for Quantum Manipulation Fudan University Shanghai 200433 China National Lab of Infrared Physics Shanghai 200083 China Office of the Chancellor and Center for Molecular Electronics Departments of Chemistry & Biochemistry and Physics & Astronomy Univ.ersity of Missouri-St. Louis St. Louis Missouri 63121 USA

A model to describe the main features of conjugated polymers with ring structures, such as polythiophene and polypyrrole, is constructed. It is shown that the origin of the symmetry breaking and confinement of a solit... 详细信息

关键词： polymer branch hopping symmetry breaking confinement

Counterparty risk valuation on credit-linked notes under a Markov Chain framework

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Applied Mathematics(A Journal of Chinese Universities) 2021年第1期36卷 31-50页

作者： JIANG Ting-ting QIAN xiao-song george xian-zhi yuan Center for Financial Engineering Soochow UniversitySuzhou 215006China Postdoctoral Scientific Research Station Xiamen International BankXiamen 361000China School of Management Xiamen UniversityXiamen 361000China School of Mathematical Sciences Soochow UniversitySuzhou 215006China Business School Chengdu UniversityChengdu 610106China Shanghai Lixin University of Accounting and Finance Shanghai 201620China Business School Sun Yat-Sen UniversityGuangzhou 510275China

A credit-linked note(CLN)is a note paying an enhanced coupon to investors for bearing the credit risk of a reference *** this paper,we study the counterparty risk on CLNs under a Markov chain framework,and introduce a Markov copula model to describe joint defaults between the reference entity underlying the CLN and CLN *** that the respective default intensities are directly and inversely proportional to the interest rate,which follows a CIR process,we obtain the explicit formulae for CLN values through a PDE ***,credit valuation adjustment(CVA)formula is derived to price counterparty credit risk.

关键词： credit-linked notes(CLNs) Markov copula PDE CVA

Environmental and energy gains from using molten magnesium–sodium–potassium chlorides for electro-metallisation of refractory metal oxides

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Progress in Natural Science:Materials International 2015年第6期25卷 650-653页

作者： Wei Li Yating yuan xianbo Jin Hualin Chen george Z.Chen College of Chemistry and Molecular Sciences Hubei Key Laboratory of Electrochemical Power SourcesWuhan University Department of Rare Metals State Key Laboratory for Separation and Comprehensive Utilization of Rare MetalsGuangdong Key Laboratory for Development and Application of Rare EarthsGuangzhou Research Institute of Non-ferrous Metals Department of Chemical and Environmental Engineering Faculty of EngineeringUniversity of Nottingham

The molten eutectic mixture of magnesium,sodium and potassium chlorides(Mg Cl2–Na Cl–KCl) has inappreciable solubility for oxide ions,and can help disengage a carbon anode from the oxide ions generated at a metal oxide cathode,and effectively avoid carbon dioxide *** "disengaging strategy" was successfully demonstrated in electro-reduction of solid oxides of zirconium and *** has led to significantly higher current efficiency(93%),and lower energy consumption(1.4 k W h kg 1) in electrolysis of tantalum oxide to tantalum metal compared to the conventional electrolysis in molten calcium chloride(e.g.78% and 2.4 k W h/kg-Ta).

关键词： Electrometallisation Molten salt Tantalum Electro-reduction Magnesium chloride

Microwave Catalytic Depolymerization of Polyethylene Terephthalate Plastic to the Monomers

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CCS Chemistry 2023年第12期5卷 2818-2831页

作者： Zhe yuan Jianlong Yang george Manos Junwang Tang Department of Chemical Engineering University College LondonLondon WC1E 7JE(United Kingdom) Key Lab of Synthetic and Natural Functional Molecule Chemistry of Ministry of Education The Energy and Catalysis HubCollege of Chemistry and Materials ScienceNorthwest UniversityXi’an Industrial Catalysis Center Department of Chemical EngineeringTsinghua UniversityBeijing

Plastic waste management has emerged as a critical environmental issue due to the exponential increase in plastic consumption *** terephthalate(PET)is extensively used in the production of water bottles,which constitutes a significant fraction of the plastic *** recycling is a challenging task due to the lack of efficient and cost-effective depolymerization *** this study,we developed a microwave(MW)catalytic depolymerization method for PET recycling using modified zinc oxide loaded with manganese oxide as a *** modified Mn_(3)O_(4)/ZnO catalyst presents high efficiency in depolymerizing PET into its monomers with only 0.4 wt% ratio of the catalyst to PET at 175℃ for 5 min,resulting in 100% conversion of PET and 88% selectivity toward bis-hydroxyethyl terephthalate *** is believed that Mn_(3)O_(4)provides additional Lewis acid sites,promoting the dissociation of glycol from PET,and the MW irradiation plays a crucial role in rapidly heating the ethylene glycol and the catalyst,thereby accelerating the PET depolymerization *** addition,the heterogeneous nature of the catalyst facilitates its easy separation from the reaction mixture for reuse,simplifying the catalyst recovery process and enabling costeffective and sustainable PET ***,this study provides an innovative and sustainable solution for PET recycling,contributing toward the circular economy and mitigating the environmental impact of plastic waste.

关键词： polyethylene terephthalate plastic recycling microwave catalysis depolymerization bishydroxyethyl terephthalate monomers

A Prediction Framework for Turning Period Structures in COVID-19 Epidemic and Its Application to Practical Emergency Risk Management

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Journal of Systems Science and Information 2022年第4期10卷 309-337页

作者： Lan DI Yudi GU Guoqi QIAN george xianzhi yuan School of Artificial Intelligence and Computer Science Jiangnan UniversityWuxi 214122China Center of Information Construct and Management Jiangnan UniversityWuxi 214122China School of Mathematics&Statistics University of MelbourneMelbourne VIC 3010Australia Business School East China University of Science and TechnologyShanghai 200237China Business School Chengdu UniversityChengdu 610106China Business School Sun Yat-sen UniversityGuangzhou 510275China

The aim of this paper is first to establish a general prediction framework for turning(period)term structures in COVID-19 epidemic related to the implementation of emergency risk management in the practice,which allows us to conduct the reliable estimation for the peak period based on the new concept of“Turning Period”(instead of the traditional one with the focus on“Turning Point”)for infectious disease spreading such as the COVID-19 epidemic appeared early in year *** a fact that emergency risk management is necessarily to implement emergency plans quickly,the identification of the Turning Period is a key element to emergency planning as it needs to provide a time line for effective actions and solutions to combat a pandemic by reducing as much unexpected risk as soon as *** applications,the paper also discusses how this“Turning Term(Period)Structure”is used to predict the peak phase for COVID-19 epidemic in Wuhan from January/2020 to early March/*** study shows that the predication framework established in this paper is capable to provide the trajectory of COVID-19 cases dynamics for a few weeks starting from Feb.10/2020 to early March/2020,from which we successfully predicted that the turning period of COVID-19 epidemic in Wuhan would arrive within one week after Feb.14/2020,as verified by the true observation in the *** method established in this paper for the prediction of“Turning Term(Period)Structures”by applying COVID-19 epidemic in China happened early 2020 seems timely and accurate,providing adequate time for the government,hospitals,essential industry sectors and services to meet peak demands and to prepare aftermath planning,and associated criteria for the Turning Term Structure of COVID-19 epidemic is expected to be a useful and powerful tool to implement the so-called“dynamic zero-COVID-19 policy”ongoing basis in the practice.

关键词： prediction framework turning period structure turing phase COVID-19 epidemic emergency risk management emergency plan Delta and Gamma i SEIR spatio-temporal model supersaturation phenomenon multiplex network dynamic zero-COVID-19 policy

新冠疫情冲击下中国有色金属期货市场效率分析

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计量经济学报 2024年第3期4卷 858-878页

作者：尹涛黄双双吴永强高汉王一鸣袁先智华东政法大学商学院上海201620 北京大学经济学院北京100871 成都大学商学院成都610106 重庆理工大学理学院重庆400054 中山大学管理学院广州510275 浙江清华长三角研究院数字金融研究中心嘉兴314107

由于全球新冠疫情的暴发,各国经济和金融市场受到了严重的冲击,而中国有色金属期货市场也不例外.因此,对于新冠疫情如何影响中国有色金属期货市场的研究,在我国期货市场的发展进程中具有重要的理论和实践意义.本文采用了MF-DFA和多重分... 详细信息

由于全球新冠疫情的暴发,各国经济和金融市场受到了严重的冲击,而中国有色金属期货市场也不例外.因此,对于新冠疫情如何影响中国有色金属期货市场的研究,在我国期货市场的发展进程中具有重要的理论和实践意义.本文采用了MF-DFA和多重分形谱分析方法,通过对沪铜、沪铝、沪锌、沪铅四种有色金属期货价格数据进行分析,探讨了新冠疫情对这些市场效率的影响,并进一步分析了市场风险的变化情况.实证结果显示,除了沪铜期货外,沪铝、沪锌、沪铅三种有色金属期货受到新冠疫情冲击后,市场效率下降、市场风险加大.具体而言,沪铝期货市场效率下降最为明显,而沪铅期货价格波动最为剧烈,市场风险增加最多.此外,本文对新冠疫情前后原始时间序列进行重排和替代处理后发现,在疫情前,时间序列的长程相关性对四种金属期货市场低效性的贡献程度更大;而在疫情之后,时间序列的厚尾分布对沪铜期货市场出现低效性的作用程度更大.而对其他三种有色金属期货来说,时间序列的长程相关性依然是其造成市场低效性更加重要的原因.以上结论阐述了较大冲击因素对市场造成的影响特征,有助于我国有色金属期货市场的成熟稳定发展.

关键词：新冠疫情 MF-DFA 有色金属期货市场多重分形市场效率

L^0-CONVEx COMPACTNESS AND RANDOM NORMAL STRUCTURE IN L^0(F,B)

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Acta Mathematica Scientia 2020年第2期40卷 457-469页

作者： Tiexin GUO Erxin ZHANG Yachao WANG george yuan School of Mathematics and Statistics Central South UniversityChangsha 410083China Centre for Financial Engineering Soochow UniversitySuzhou 215006China

Let(B,||·||)be a Banach space,(?,F,P)a probability space,and L^0(F,B)the set of equivalence classes of strong random elements(or strongly measurable functions)from(?,F,P)to(B,||·||).It is well known that L^0(F,B)becomes a complete random normed module,which has played an important role in the process of applications of random normed modules to the theory of Lebesgue-Bochner function spaces and random operator *** V be a closed convex subset of B and L^0(F,V)the set of equivalence classes of strong random elements from(?,F,P)to *** central purpose of this article is to prove the following two results:(1)L^0(F,V)is L^0-convexly compact if and only if V is weakly compact;(2)L^0(F,V)has random normal structure if V is weakly compact and has normal *** an application,a general random fixed point theorem for a strong random nonexpansive operator is given,which generalizes and improves several well known *** hope that our new method,namely skillfully combining measurable selection theorems,the theory of random normed modules,and Banach space techniques,can be applied in the other related aspects.

关键词： Complete random normed modules fixed point theorem L^0-convex compactness random normal structure random nonexpansive operators