商业银行操作风险外部数据的内生偏差研究

本文在总结目前商业银行操作风险管理现状的基础上,阐述了建立操作损失数据库的必要性和意义内部数据对商业银行至关重要,然而内部损失数据总是不足的,有必要结合外部数据度量操作风险,尤其对于中国商业银行历史操作风险损失数据奇缺的情况。本文从国际银行界的角度总结了操作风险外部损失数据库的类型,分析了不同类型外部数据存在的内生偏差及可能的修正措施,提供了处理外部数据进行操作风险度量的思路。     

企业负债承受能力探讨

企业负债承受能力的大小受企业经营收益、资产流动性和股权资本状况制约.企业应根据自身的实际情况,合理确定企业的资本结构.     

基于变点理论的POT模型阈值确定方法——对操作风险经济资本的度量

对操作风险所要求的经济资本的度量以及配置能极大提高金融机构的风险控制能力。采用PCIT模型对操作风险度量时，阈值的选取是关键所在，它决定了拟合操作风险损失分布的近似程度。通过变点理论来定位Hill估计曲线开始进入稳定状态的位置，以精确地估计出阈值的大小。同时，为确保误差更小，结果更稳定，用平方误差积分法来估计POT模型的参数。结果表明，所改进的方法能为经济资本的度量提供有效的方法支持。     

略论企业作业管理之作业成本管理

作业成本管理的核心是作业成本分析,作业成本分析的主要目的是通过分析找出降低成本的关键点。作业成本管理通常用作业消除、作业选择、作业减低、作业分享等方式降低成本。作业成本管理的主要目标:一是尽量通过作业价值目标为顾客提供更多的价值,二是从为顾客提供的价值中获得更多的利润。     

The final chapter: Agro‐Joint workers – victims of the Great Terror in the USSR, 1937–40

This article deals with the final chapter in the history of the Agro‐Joint, an organisation created by the American Joint Distribution Committee (JDC) and operating in the USSR between 1924 and 1938. Among a large number of “counter‐revolutionaries” – a term used in the USSR during the time of the Great Purge of 1937–8 – one of the lesser‐known repressed groups consisted of the workers of the Agro‐Joint. With the opening of ex‐KGB archives in the former Soviet Union additional aspects of the Agro‐Joint venture have emerged in chilling detail. By virtue of their organisational status and their association with foreigners, many Agro‐Joint workers became direct subjects of the “operational orders” of the NKVD and were persecuted in three areas; Moscow, Ukraine and Crimea. There was an extraordinary brutality to the sentences; around 30 Agro‐Joint employees (from directors to members of collective farms) were arrested and a majority of them were sentenced to death. Employees of the three Agro‐Joint offices, refugee doctors whom Agro‐Joint brought into the USSR from Germany, Jewish religious activists and the staff of the Soviet organizations KOMZET and OZET were all caught in the same web, and accused of “collaboration with a counterrevolutionary organization, founded by the director of Agro‐Joint Dr. Rosen.” Accompanied by two sample documents from interrogation files as well as a list of Agro‐Joint workers who fell in the line of duty, the article presents a new outlook on this important era in the history of the JDC and Soviet Jewry.     

Sales Forecasting with Financial Indicators and Experts' Input

We present a method for forecasting sales using financial market information and test this method on annual data for US public retailers. Our method is motivated by the permanent income hypothesis in economics, which states that the amount of consumer spending and the mix of spending between discretionary and necessity items depend on the returns achieved on equity portfolios held by consumers. Taking as input forecasts from other sources, such as equity analysts or time‐series models, we construct a market‐based forecast by augmenting the input forecast with one additional variable, lagged return on an aggregate financial market index. For this, we develop and estimate a martingale model of joint evolution of sales forecasts and the market index. We show that the market‐based forecast achieves an average 15% reduction in mean absolute percentage error compared with forecasts given by equity analysts at the same time instant on out‐of‐sample data. We extensively analyze the performance improvement using alternative model specifications and statistics. We also show that equity analysts do not incorporate lagged financial market returns in their forecasts. Our model yields correlation coefficients between retail sales and market returns for all firms in the data set. Besides forecasting, these results can be applied in risk management and hedging.     

Collective risk model: Poisson–Lindley and exponential distributions for Bayes premium and operational risk

In this paper the collective risk model with Poisson–Lindley and exponential distributions as the primary and secondary distributions, respectively, is developed in a detailed way. It is applied to determine the Bayes premium used in actuarial science and also to compute the regulatory capital in the analysis of operational risk. The results are illustrated with numerous examples and compared with other approaches proposed in the literature for these questions, with considerable differences being observed.     

小样本下贝叶斯参数估计法对操作风险的度量

操作风险损失事件的数据一般较为匮乏,这会影响到模型参数估计的准确性,进而导致经济资本配置的偏差和风险控制能力的降低。在损失分布法的框架下,运用基于MCMC模拟的贝叶斯方法,借助WinBUGS软件包通过Gibbs抽样构造出负二项分布和帕累托分布的稳态马尔可夫链,以分别动态模拟操作风险损失频率和强度的后验分布,计算出操作风险所要求的经济资本。对比极大似然估计法,实证结果表明,在小样本条件下此方法可以取得较好的结果。     

企业的冗余程度与基于冗余的技术创新激励合约

基于多任务委托代理模型的分析框架,建立了企业员工基于冗余的技术创新活动的信息不对称条件下的委托代理模型,通过对模型的分析,得出了当企业冗余不足时、适度时和过多时等不同情况下的基于冗余的技术创新活动的最优激励合同的条件,同时.还提出了效率风险概念,从理论上解释了企业普遍存在的一种现象:做出重大贡献者往往并不能分享相应的份额.     

运筹活动对企业可持续竞争优势的影响

相关统计结果表明,运筹活动能帮助企业在激烈的竞争中持续成长并维持其优势地位,而要了解组织内运筹活动对可持续性竞争优势影响的机理,就应明确运筹活动对可持续竞争优势构成因素的影响。为此,以持续性因素为中介变量,研究了运筹活动对可持续竞争优势的影响,实证检验了相关研究变量之间的关系。结果显示,运筹活动对企业可持续竞争优势的形成有正效用。