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Changzhi Liang
Chinese Academy of Sciences
9Publications
5H-index
72Citations
Publications 9
Newest
Jul 1, 2014 in CSO (Computational Sciences and Optimization)
#1Changzhi Liang (CAS: Chinese Academy of Sciences)H-Index: 5
#2Xiaoqian Zhu (CAS: Chinese Academy of Sciences)H-Index: 7
Last.Jianping LiXiaoleiH-Index: 19
view all 4 authors...
Maximum entropy method (MEM) is the traditional approach to estimate interbank exposure matrix, which is the key to assess contagion effect in banking system. Recently, a new transfer entropy method (TEM) is proposed to estimate interbank exposure matrix. This paper employs the two approaches to estimate interbank exposure matrix of Chinese banking system, and then simulate the contagion process given the initial failure of a bank in the system. The comparison of the results indicate that MEM is...
#1Xiaoqian Zhu (CAS: Chinese Academy of Sciences)H-Index: 7
#2Fei Wang (CAS: Chinese Academy of Sciences)H-Index: 2
Last.Jianping LiXiaolei (CAS: Chinese Academy of Sciences)H-Index: 19
view all 7 authors...
Abstract Quality credit is a new concept invented in China and to the best of our knowledge, there hasn’t been a widely-accepted quality credit indicator system and no quantitative method has been employed in quality credit evaluation up to now. To take the researches on quality credit a step further, this paper aims to establish a quality credit evaluation indicator system for air-conditioning enterprises in Chinese market and use TOPSIS (technique for order preference by similarity to ideal so...
#1Chunbing Bao (CAS: Chinese Academy of Sciences)H-Index: 3
#2Jianping LiXiaolei (CAS: Chinese Academy of Sciences)H-Index: 19
Last.Chang Liu (CAS: Chinese Academy of Sciences)H-Index: 3
view all 6 authors...
Abstract Integrated risk control and asset optimization is an important issue in commercial bank industry. This paper combines balance sheet with income statement, and forms a structure measuring each asset's risk based on the method using income statement only, having a better use of the data resource. Considering the commercial bank's diversified pursuit of low risk and high profit, we solve the problem using the method of multiple objective programming, and we give the Pareto surface to suppo...
#1Jianping LiXiaoleiH-Index: 19
#2Changzhi Liang (USTC: University of Science and Technology of China)H-Index: 5
Last.Dengsheng Wu (CAS: Chinese Academy of Sciences)H-Index: 10
view all 5 authors...
What is the impact of a bank failure on the whole banking industry? To resolve this issue, the paper develops a transfer entropy-based method to determine the interbank exposure matrix between banks. This method constructs the interbank market structure by calculating the transfer entropy matrix using bank stock price sequences. This paper also evaluates the stability of Chinese banking system by simulating the risk contagion process. This paper contributes to the literature on interbank contagi...
#1Xiaoqian Zhu (CAS: Chinese Academy of Sciences)H-Index: 7
#2Jianping LiXiaolei (CAS: Chinese Academy of Sciences)H-Index: 19
Last.Changzhi Liang (CAS: Chinese Academy of Sciences)H-Index: 5
view all 5 authors...
Accuracy, complexity and interpretability are very important in credit classification. However, most approaches cannot perform well in all the three aspects simultaneously. The objective of this study is to put forward a classification approach named C-TOPSIS that can balance the three aspects well. C-TOPSIS is based on the rationale of TOPSIS (Technique for Order Preference by Similarity to Ideal Solution). TOPSIS is famous for reliable evaluation results and quick computing process and it is e...
#1Xiaoqian ZhuH-Index: 7
#2Yilin LiH-Index: 2
Last.Dengsheng WuH-Index: 10
view all 5 authors...
Abstract In this paper, a change point detection approach based on copula with two notable advantages is put forward. One is that the approach can deal with the common but special unbalanced panel data. The other is that it can detect multiple change points. Firstly, a proper copula that most accurately describes the dependence structure of the data is chosen. Then, the chosen copula is fitted to the data dynamically by adding new data. Finally, the change points are located by analyzing the tre...
#1Changzhi Liang (CAS: Chinese Academy of Sciences)H-Index: 5
#2Xiaoqian Zhu (CAS: Chinese Academy of Sciences)H-Index: 7
Last.Jianping LiXiaolei (CAS: Chinese Academy of Sciences)H-Index: 19
view all 6 authors...
Abstract This paper presents a factor copula model for the integration of Chinese commercial banks’ credit risk and market risk. By defining the dependence structure through a set of common factors reflecting the macro-economic situation, this model reveals the intrinsic correlation between credit risk and market risk. We derive the integration process with factor copula and generate common factors by performing a principal component analysis on 4 different macro-economic indicators that have im...
#1Xiaoqian ZhuH-Index: 7
#2Yilin LiH-Index: 2
Last.Dengsheng WuH-Index: 10
view all 5 authors...
In this paper, a change point detection approach based on copula with two notable advantages is put forward. One is that the approach can deal with the common but special unbalanced panel data. The other is that it can detect multiple change points. Firstly, a proper copula that most accurately describes the dependence structure of the data is chosen. Then, the chosen copula is fitted to the data dynamically by adding new data. Finally, the change points are located by analyzing the trends of fi...
#1Xiaoqian Zhu (CAS: Chinese Academy of Sciences)H-Index: 7
#2Fei Wang (CAS: Chinese Academy of Sciences)H-Index: 2
Last.Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 11
view all 5 authors...
Quality credit has been an academic and commercial hotspot recently. This paper is mainly devoted into using a quantitative method to evaluate credit quality. Firstly, a plain but logical indicator system of quality credit is established. Then, the classical MCDM method TOPSIS is introduced to evaluate the credit quality of 8 air-conditioning enterprises in China market. The discussion of evaluation results proves the feasibility and effectiveness of TOPSIS and moreover, reflects that indicators...
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