VaR与CVaR的敏感性凸性及其核估计

风险价值（VaR）和条件风险价值（CVaR）是目前两大主流风险度量工具,如何准确地对它们进行估计是风险管理实践中首要而核心的问题。近年来非参数核估计方法因模型设定灵活、方便处理变量相依结构等优点备受关注。在本文,我们在核估计的框架内讨论VaR和CVaR估计量的性质;给出投资组合VaR和CVaR对组合头寸的一阶导数向量和二阶导数矩阵的核估计公式,并用它们来讨论组合VaR和CVaR对组合头寸的敏感性和凸性。最后,我们利用中国外汇市场的实际数据做实证分析。     

基于条件风险值CVaR模型的房地产组合投资的风险度量与策略

降低房地产投资风险不仅是房地产企业、投资者关注的问题,更是降低金融风险的重要内容.本文着重研究了基于条件风险值(CVaR)模型的房地产组合投资风险度量问题,通过定义离散α-VaR、α-CVaR损失值以及α-FCVaR损失值的等价函数,建立了基于离散CVaR模型的房地产组合投资优化模型,通过计算得到在一定置信水平下的组合投资比例和风险损失,从而为房地产投资决策提供依据.论文用2003-2005年我国六大城市房价数据实验,结果表明控制房地产风险的一种主要策略是选择低风险的CVaR值的投资组合.     

基于均值-AS模型的资产配置

AS指标是诺贝尔经济学奖得主Aumann与其合作者Serrano近期基于不确定条件下的选择理论提出的新的风险度量指标,具有诸多优点,被学者们广泛关注.本文基于均值-AS模型研究了正态分布和一般分布下的资产配置问题.在正态分布下,得到了组合边界的解析式,深入探讨了组合边界的特征.在一般分布下,将AS指标的矩估计式嵌入均值-AS模型,实现了风险估计与投资组合优化同步进行.在较弱的条件下,证明了均值-AS模型是凸优化问题,可基于迭代思想设计算法得到模型的数值解.蒙特卡洛模拟结果表明该模型和算法准确有效.最后,基于中国A股市场数据给出了实例分析.     

时变损失厌恶下基于动态CVaR的ETF基金最优资产配置策略研究

首先对静态线性损失厌恶下的最优资产配置策略模型及其性质进行了分析,构建了基于TGARCH-EVT-POT-GPD的动态市场风险测度方法,提出了时变损失厌恶条件下基于动态条件风险约束的ETF基金最优资产配置策略模型,并基于遗传算法进行了求解。实证研究发现：当参考收益率及CVaR置信水平固定时,随着损失厌恶系数的增大,投资者采用大幅调整资产权重的方式来获得盈利的行为将逐渐减少;当参考收益率及损失厌恶系数固定且CVaR置信水平变化条件下,置信水平越高,损失厌恶投资者更偏好风险较低的资产,其对于投资风险的估计将更加敏感,投资策略更为保守;损失厌恶系数较高置信水平固定时,随着参考收益率的增加,单项资产的CVaR逐渐减小;在置信水平较高时,随着损失厌恶系数的增加,即使参考收益率增加,但投资组合的超额损失平均水平降低。     

ACO算法在投资组合中的运用

证券投资组合优化是降低投资风险的有效方法之一.该文基于现有的相关文献,并将蚂蚁算法引入证券投资组合优化领域,对Markowitz的资产组合模型进行了必要的改进.在对ACO算法作出相应的定义与描述的基础上,文章运用实例检验ACO算法,结果表明该算法具有较好的收敛性、稳定性和合理性,是求解证券投资组合优化问题的一种较好的方法.     

耦合风险视角下基于GARCH-Copula模型的基金组合风险研究

在资本市场不断多样化的投资方式中, 投资组合以其相对稳定的风险与收益而得到广泛应用, 其中基金组合凭借在收益一定的情况下的低风险成为投资者关注的热门品种.传统的投资组合研究大多只考虑市场风险的影响, 忽略了信用风险的耦合效应, 从而往往导致对组合总体风险的低估.首先借助于GARCH模型获得边缘分布, 然后选择Copula函数刻画各基金之间的相关结构, 建立联合分布模型, 进而采用Monte Carlo方法模拟生成基金组合中各基金的收益率序列, 最后根据损失函数计算基金组合的风险价值.实证结果表明, 市场风险大的基金组合其信用风险不一定大, 并且基金组合能有效分散基金风险.同时, 耦合风险视角下基金组合的CVaR值大于市场风险视角下的CVaR值, 耦合风险能更好地衡量基金组合的风险.另外, Student t-Copula模型较之其它模型能更好地刻画耦合风险的联合相依结构.     

基于动态损失厌恶投资组合模型的最优资产配置与实证研究

从行为金融学的角度考虑投资者损失厌恶的心理特征,建立预期效用最大化的动态损失厌恶投资组合优化模型。以我国股票市场为依托,将市场分为上升、下降和盘整三种状态,研究动态损失厌恶投资组合模型的最优资产配置和绩效表现,并与静态损失厌恶投资组合模型、M-V投资组合模型和CVaR投资组合模型进行比较。最后,在具有交易成本的条件下对动态模型进行稳健性检验。得出结论：不同情况下,动态损失厌恶投资者具有不同的最优资产配置比例,且动态损失厌恶投资组合模型明显优于静态模型、M-V投资组合模型和CVaR投资组合模型。     

厚尾分布情形下的信用资产组合风险度量

本文研究风险因子多元厚尾分布情形下的信用资产组合风险度量问题.用多元t-Copula分布来描述标的资产收益率分布的厚尾性,同时将三步重要抽样技术发展到基多元t-Copula分布的资产组合模型中,拓宽和丰富了信用资产组合风险度量模型.同时,并运用了非线性优化技术中的Levenberg-Marquardt算法来解决重要抽样技术中风险因子期望向量估计.模拟结果表明该算法比普通Monte Carlo模拟法的计算效率更有效,且能很大程度上减少所要估计的损失概率的方差,从而更精确地估计出信用投资组合损失分布的尾部概率或给定置信度下组合VaR值.     

基于虚拟变量分位点回归模型的条件VaR估计以及杠杆效应分析

已有成果在研究杠杆效应时大多数都是基于ARCH类模型,从波动率的角度进行分析的。本文应用分位点回归模型以及含有虚拟变量的分位点回归模型分析了"已实现"波动率条件下的CVaR,并尝试从市场风险的角度对杠杆效应进行分析。最后,对中国股票市场进行了实证研究,得到了"已实现"波动率条件下的CVaR估计,并从风险的角度证实了中国股市的市场风险存在杠杆效应。     

具有VaR约束的跟踪误差投资组合鲁棒优化模型

本文在跟踪误差投资组合优化模型基础上,考虑投资组合的风险价值VaR和收益的不确定性,建立了具有VaR约束的跟踪误差投资合鲁棒优化模型。以国内证券市场为背景,运用线性矩阵不等式(LMI)方法进行了实证计算,并与基准组合、跟踪误差投资组合模型和无VaR约束的跟踪误差投资组合鲁棒模型的投资结果进行了比较。实证结果表明,在给定证券集的条件下,具有VaR约束的跟踪误差投资组合鲁棒优化模型优于其它模型。     

Introduction to Special Section on Sensitivity Analysis and Summary of NCSU/USDA Workshop on Sensitivity Analysis

This guest editorial is a summary of the NCSU/USDA Workshop on Sensitivity Analysis held June 11–12, 2001 at North Carolina State University and sponsored by the U.S. Department of Agriculture's Office of Risk Assessment and Cost Benefit Analysis. The objective of the workshop was to learn across disciplines in identifying, evaluating, and recommending sensitivity analysis methods and practices for application to food‐safety process risk models. The workshop included presentations regarding the Hazard Assessment and Critical Control Points (HACCP) framework used in food‐safety risk assessment, a survey of sensitivity analysis methods, invited white papers on sensitivity analysis, and invited case studies regarding risk assessment of microbial pathogens in food. Based on the sharing of interdisciplinary information represented by the presentations, the workshop participants, divided into breakout sessions, responded to three trigger questions: What are the key criteria for sensitivity analysis methods applied to food‐safety risk assessment? What sensitivity analysis methods are most promising for application to food safety and risk assessment? and What are the key needs for implementation and demonstration of such methods? The workshop produced agreement regarding key criteria for sensitivity analysis methods and the need to use two or more methods to try to obtain robust insights. Recommendations were made regarding a guideline document to assist practitioners in selecting, applying, interpreting, and reporting the results of sensitivity analysis.     

Distinguishing traumatic, vicarious and routine operational stressor exposure and attendant adverse consequences in a sample of police officers

Problems in studying occupational stress within the police service are identified and the paucity of work on operational duties as potential stressors are discussed. The present study reports the results of a factor analysis of operational stressors (N = 601 serving British police officers) that revealed three factors: exposure to death and disaster; violence and injury; sexual crime. These were demonstrated to be reliable scales and were included in logistic regression models together with a range of demographic and psychological variables. Models were applied to men and women separately, which showed there to be different predictors of the likelihood of suffering distress (measured by the General Health Questionnaire, GHQ) in terms of the officer's gender and operational role. Overall the model for women officers was better at predicting psychological distress than that for men. These findings are related to aspects of the police occupational culture. Further discussion is offered that conceptualizes police operational stressors as traumatic, routine and vicarious. Finally, some implications are drawn for the provision of stress intervention in the light of this differentiation.     

Power,authority and legitimacy

Management, human resources, organization, control, leadership, etc., all seem to be just so many euphemisms for power, and this suggests a discourse of management and organization that calls things by their proper name. This paper on the contrary stresses the need to resolve the concept of ‘power’ itself into more differentiated notions, and proposes that clarification may be derived from distinctions once explicit in the vocabulary of Classical antiquity, but lost in modern European languages. It argues that nothing but confusion in thinking about organizations, management and legitimation can result from the failure to recognize that the phenomena this vocabulary identifies and distinguishes are irreducibly different.     

Criteria for selecting a production control philosophy

Logistic objectives constitute a compromise between having short leadtimes and a low volume of work in progress on the one hand and a high resource loading and due date obligation on the other. Miscellaneous production planning approaches offered today provide different combinations of logistic objectives for satisfying a manufacturing strategy. To combine the strength of the various approaches into a unified system, a new approach based on a dynamic and distributed production planning methodology is proposed. To customize the approach, various analyses and specifications have to be made and for that reason some important characteristics and criteria for analysing production control philosophies will be given.     

Employees' perceptions of organizational restructuring: the role of social support

Organizational change and restructuring is often perceived as leading to increased occupational stress, impacting negatively on the psychological well-being of employees. This pragmatic study investigates the role of social support and dispositional affect as moderators of role stress post-restructuring for employees in a public utility company. A total of 176 employees, including 37 managers, 60 graded staff and 78 industrial staff completed a self-report questionnaire, approximately 1 year postrestructuring, retrospectively assessing role conflict, ambiguity, overload and positive and negative feedback pre- and post-restructuring. Results suggested that overall role stress increased for managers/ senior officers and graded staff, but not for industrial staff. Social support was linked with lower role stress, more positive feedback and less negative feedback at post-restructuring. For certain role stressors this impact was moderated by dispositional affect, but the effect was not consistent across occupational groups. Positive affect enhanced the effect of manager support in reducing role conflict for graded staff, and the effect of co-worker support in increasing positive feedback and reducing negative feedback for industrial staff. Findings suggest that managers should pay particular attention to support and feedback for employees during periods of chronic occupational stress following organizational restructuring.     

The Danish psychosocial work environment and symptoms of stress: the main, mediating and moderating role of sense of coherence

The aim of this cross-sectional study was to explore the main, mediating and moderating role of sense of coherence (SOC) on stress symptoms and on the association between perceived psychosocial work environment and stress symptoms. The sample includes 2053 Danish employees from 52 workplaces. Hierarchical regression models were applied for each measure of stress. The results strongly supported the presence of a main effect for SOC. People with high levels of SOC experienced fewer stress symptoms. A mediating effect of SOC was also supported. Thus, SOC in part explained the association between work environment and stress symptoms. In addition, some support for a moderating effect of SOC was found, suggesting that people with higher SOC coped more efficiently with work environmental strain that people with lower SOC. Taken together the regression models explained 11-32% of the variance in stress symptoms. The results suggest that measures of individual factors such as SOC should be included in analyses of the effects of work environmental factors on stress and well-being.     

Control at work: a generalized resource factor for the prevention of musculoskeletal symptoms?

During the last two decades two potent groups of predictors for work-related musculoskeletal problems have been identified: physical work load and poor psychosocial working conditions. However, little is known about their combined effects. In this study the buffering effect of control at work with respect to the negative effects of psychological demands and physical work load on musculoskeletal problems is examined. All study variables were sampled from 431 people working in geriatric nursing homes in Germany by means of questionnaires. Main effects and interactions were tested with multiple regression analysis. The results showed that control buffered the effects of high psychological demands, but not of high physical work load; the buffering effect of control was observed only when physical work load was low. The combined effects of demands and physical work load were over-additive. Thus, the power of different predictors for musculoskeletal symptoms depended on the level of other predictors. This suggests that the efficiency of certain strategies for the prevention of musculoskeletal problems is likely to depend on the level of risk factors, with different strategies being appropriate for different levels of risk.     

The social construction of the meaning of acute stressors: a qualitative study of the personal accounts of police officers using a stress counselling service

The police profession is one in which acute stressors are encountered more frequently than in other occupations. Using the personal accounts of 35 police officers attending an in-house stress counselling clinic, the aim of the present study was to provide a qualitative examination of how the institutional context of policing influenced the ways in which acute stressors signified to individual police officers experiencing felt distress. Using the framework of Rational Emotive Behaviour Therapy as an analytical tool, it is argued that beliefs contributing to the experience of felt distress are related to the way in which policing as both an identity and an activity is constructed through the police organizational culture. Not only do these constructions influence the ways in which officers perceive themselves and their environments, but they also operate at the collective level to 'normalize' some emotional responses and to 'pathologize' others which, it is argued, could impact upon the outcomes of interventions such as stress counselling.     

The moderating role of social support in Karasek's job strain model

This paper examines whether social support is a boundary-determining criterion in the job strain model of Karasek (1979). The particular focus is the extent to which different sources of social support, work overload and task control influence job satisfaction, depersonalization and supervisor assessments of work performance. Hypotheses are tested using prospective survey data from 80 clerical staff in a university setting. Results revealed 3-way interactions among levels of support (supervisor, co-worker, non-work), perceived task control and work overload on levels of work performance and employee adjustment (self-report). After controlling for levels of negative affect in all analyses, there was evidence that high levels of supervisor support mitigated against the negative effects of high strain jobs on levels of job satisfaction and reduced reported levels of depersonalization. Moreover, high levels of non-work support and co-worker support also mitigated against the negative effects of high strain jobs on levels of work performance. The results are discussed in terms of the importance of social support networks both at, and beyond, the work context.     

Job insecurity, coping resources and personality dispositions in occupational strain

This paper presents research on the relationships between the work-related stressor of perceived job insecurity and various indicators of occupational strain, taking into account employees' personality dispositions (trait negative and positive affectivity) and coping resources. Respondents were 222 Australian public servants surveyed during organizational restructuring that involved downsizing and threat to job certainty. The research was formulated within an adaptation of Osipow, Doty, and Spokane's (1985) framework of stress-strain-coping that included the possible direct as well as moderating effects of personality dispositions in reporting occupational strain (Parkes, 1990). Findings from hierarchical regression analyses indicate consistent significant independent effects of personality dispositions, coping resources and perceived job insecurity on various indicators of strain. There was also support for the moderating roles of negative affectivity and self-care in the relation between perceived job insecurity and physical strain. Implications for the role of dispositional factors, especially negative affectivity, and the utility of various coping resources in accounting for occupational strain in times of threatened job security are discussed.