CreditRisk+模型采用Poisson分布所产生的经济资本计量误差分析

本文对CreditRisk+模型采用Poisson分布近似债务人违约事件分布这一关键步骤进行系统研究。首先分析了Poisson分布在CreditRisk+模型中的作用,并从理论上证明了采用Poisson分布作为债务人违约事件分布的近似,会导致CreditRisk+模型计算出来的经济资本高估贷款组合的实际风险水平;然后以债务人违约事件服从两点分布并采用蒙特卡罗模拟计算出来的经济资本为参照值,对债务人违约概率的大小与这一近似所引起的经济资本计量误差率进行了敏感性试验,发现为将这一近似所引起的误差率控制在10%的范围内,债务人违约概率的取值不应超过0.2。     

Empirical Likelihood for Single-Index Regression Models under Negatively Associated Errors

In this article, we use bockwise empirical likelihood technique to construct confidence regions for the parameter of the single-index models under negatively associated errors. It is shown that the blockwise empirical likelihood ratio statistic for the parameter of interest is asymptotically χ²-type distributed. The result can be used to obtain confidence regions for the parameter of interest.     

Testing for lack of fit in linear multiresponse models based on exact or near replicates

Three procedures for testing the adequacy of a proposed linear multiresponse regression model against unspecified general alternatives are considered. The model has an error structure with a matrix normal distribution which allows the vector of responses for a particular run to have an unknown covariance matrix while the responses for different runs are uncorrelated. Furthermore, each response variable may be modeled by a separate design matrix. Multivariate statistics corresponding to the classical univariate lack of fit and pure error sums of squares are defined and used to determine the multivariate lack of fit tests. A simulation study was performed to compare the power functions of the test procedures in the case of replication. Generalizations of the tests for the case in which there are no independent replicates on all responses are also presented.     

影响银行业效率的国家样本分析——基于半参数的可加模型方法

以62个国家作为样本研究对象,以半参数的可加模型作为研究方法,分别从宏观经济层面、产业制度层面、产业结构层面和文化层面四个角度分析了各层次因素对银行业效率的影响。实证表明：适度的混业经营、良好的信用制度、较强的公众监督能力、资本市场的茁壮发展以及稳定的宏观经济环境能有效提高银行业的效率。而通过对银行规模的分析,也证实了银行业的确存在规模经济现象。     

Influence of human immunodeficiency virus infection on neurological impairment: an analysis of longitudinal binary data with informative drop-out

A study to investigate the human immunodeficiency virus (HIV) status on the course of neurological impairment, conducted by the HIV Center at Columbia University, followed a cohort of HIV positive and negative gay men for 5 years and assessed the presence or absence of neurological impairment every 6 months. Almost half of the subjects dropped out before the end of the study for reasons that might have been related to the missing neurological data. We propose likelihood-based methods for analysing such binary longitudinal data under informative and non-informative drop-out. A transition model is assumed for the binary response, and several models for the drop-out processes are considered which are functions of the response variable (neurological impairment). The likelihood ratio test is used to compare models with informative and non-informative drop-out mechanisms. Using simulations, we investigate the percentage bias and mean-squared error (MSE) of the parameter estimates in the transition model under various assumptions for the drop-out. We find evidence for informative drop-out in the study, and we illustrate that the bias and MSE for the parameters of the transition model are not directly related to the observed drop-out or missing data rates. The effect of HIV status on the neurological impairment is found to be statistically significant under each of the models considered for the drop-out, although the regression coefficient may be biased in certain cases. The presence and relative magnitude of the bias depend on factors such as the probability of drop-out conditional on the presence of neurological impairment and the prevalence of neurological impairment in the population under study.     

论我国核电产业的自主创新战略

通过制定核电产业发展战略的关联分析模型,应用该模型对我国核电产业进行了分析。在此基础上,提出了我国核电产业“引进消化,自主创新,批量生产”的自主创新战略,并从核电站的设计、制造、建造与运营四个方面分析了我国核电产业自主创新战略的目标、核心和技术路线。认为中国核电产业自主创新战略应制定自主创新整体规化、建立健全自主创新的管理支持体系、构建核电科技自主创新平台、建立完善的市场竞争机制和法律支持体系等。     

中国银行业差异化竞争、利润与银行稳定

随着金融环境的变化,银行业竞争对银行稳定的影响逐渐成为大家关注的焦点之一。国内外银行业的发展趋势表明:差异化竞争将是未来银行竞争的重要方面。基于产业组织理论的相关模型,分析我国银行业差异化竞争对银行稳定的影响。得出如下主要结论:银行业差异化竞争是否有助于银行稳定,不仅取决于银行产品的差异化程度,还取决于银行之间的价格反应方式。     

Taub-NUT黑洞的统计熵

避开求解波动方程的困难,利用量子统计的方法,直接计算轴对称Taub-NUT黑洞背景下玻色场和费米场的配分函数.然后利用改进的砖墙方法——膜模型,计算黑洞背景下的玻色场和费米场的熵.计算表明,黑洞的熵与视界面积成正比的结论只有在薄膜的厚度远小于截断因子或两者为同阶无穷小时成立,当无穷小薄膜的厚度远大于无穷小截断因子时,黑洞的熵有一个对数发散项,黑洞熵不再与视界面积成正比.     

产学研合作新模式探讨——以南京工业大学“三创载体”为例

南京工业大学"三创载体"是产学研合作新模式的现实案例,剖析此模式运行当中的各个机制,并综合运用制度经济学和博弈论,可以发现合作过程中各种机制的运行问题.对"三创载体"各参与方的博弈分析表明:"三创载体"的动力机制是清晰的,模式的选择符合中国当前市场经济发展的实际情况,合作对象的选择机制能够有效地甄别出高素质高水平的人才.     

共同心智模式与企业管理

文章引入共同心智模式的研究,探索共同心智模式在现代企业管理中的表现形式和作用。提出将共同心智模式引入企业管理的方式包括有效的计划,知识管理,团队构成和交叉培训。