基于多元GARCH与极值理论的资产组合风险测度研究

在运用多元GARCH模型对资产组合损失的协方差矩阵进行建模的基础上,估计出组合的标准残差序列;然后,运用EVT对标准残差的极值尾部建模并估计出分位数,进而测度资产组合的动态极值风险;最后,再运用返回测试方法对模型准确性进行检验.研究结果表明,运用多元GARCH模型能够有效捕获多元资产损失的时变相关性特征;资产组合条件损失的标准残差极值尾部服从GPD;结合多元GARCH模型与EVT的风险模型能够测度所构造的多元资产组合的动态风险.     

欧债危机环境中资产组合ES模型比较研究

本文以中国上证综指、德国法兰克福DAX指数、美国S&P500指数为研究对象,分别运用DCC-GARCH及时变Copula-EVT模型建模,探讨了欧债危机爆发后股市间相依关系的变化状况。在此基础上,将三个股指收益两两组合,分别建立了各类模型假定下的资产组合预期损失ES模型,并通过后验分析方法,探讨了危机爆发后,各类ES风险模型测度精度的变化状况及对比结果。实证研究表明：欧债危机爆发后,时变Copula-EVT-ES的风险测度准确度明显高于DCC-GARCH-ES模型;边缘分布模型的选择对于时变Copula-EVT-ES模型的测度精度具有重要影响。综合对比分析发现,在金融市场极端波动的状况下,能够捕捉杠杆效应且善于刻画厚尾特征的时变t-Copula-AR（1）-GJR（1,1）-EVT-ES模型能够取得相对较好的风险测度效果。     

基于Copula-SV-GPD模型的投资组合风险度量

对于多元金融资产组合,针对资产收益的厚尾性、波动的异方差性及资产间的非线性相关结构等特征,采用SV-t模型与极值理论结合刻画单个资产收益的波动性及尾部分布特征,应用Copula函数处理多元资产间的相关性,并结合Monte Carlo模拟对投资组合进行风险测度.通过对华安创新基金的实证分析结果表明,基于SV-GPD的边缘分布模型能有效地刻画金融资产收益时序并较为精确地处理资产收益尾部的异常变化,相比其他风险度量模型具有更好的优越性,基于Copula-SV-GPD模型的多元资产组合对风险测度能力更强,能有效地管理投资风险.     

胖尾分布及长记忆下的动态 EVT-VaR 测度研究

针对金融收益胖尾分布特征及条件波动率长记忆性特征,运用 FIGARCH 对条件波动率建模、极值理论( extreme value theory,EVT) 对标准收益序列的尾部建模,测度出金融市场动态极值风险,进而运用返回测试( back-testing) 技术,对模型在样本内的测度准确性与样本外的推广能力进行稳健性检验． 实证研究结果表明,无论是中国新兴市场,还是西方成熟发达市场,金融收益与标准收益均呈现出明显的有偏胖尾分布特征; 金融收益条件波动率均展现出长记忆性特征; EVT 与 FIGARCH 模型相结合的动态极值风险测度模型不仅在样本内表现出优越的风险测度能力,而且在样本外同样具有可靠的预测推广能力．     

基于时变高阶矩模型的贵金属市场风险测度研究

以黄金为代表的贵金属及其金融衍生品的交易量不断增长,逐渐成为与股票和债券平行的投资和避险工具,但关于贵金属市场风险测度的研究却比较缺乏.以上海和伦敦市场的黄金和白银交易价格为样本,基于常数高阶矩模型和时变高阶矩模型建立风险测度模型,计算出不同模型的风险价值和预期损失;采用严谨的后验分析方法,在多头和空头两种头寸共10种分位数水平下对不同模型的风险测度精确性进行后验分析.研究结果表明,在测度风险价值时,时变高阶矩模型的风险测度精确性略优于常数高阶矩模型,带有杠杠效应的时变高阶矩模型优于不带杠杆效应的时变高阶矩模型;综合对比分析不同风险测度模型的后验分析结果可知,对于准确测度贵金属市场的风险,GJR-GARCHSK模型是一个相对合理的选择.     

非奇次空间动态极值估计的模型与应用

传统EVT方法是从静态的角度,研究超额数据的性质。然而,它没有同时考虑极端数据发生的时间所隐含的充分信息。本文首次在国内提出了非奇次空间动态极值理论(ITD-EVT)的概念,克服了EVT的上述缺陷,在极端数据的基础上考虑了时间因素,并引入多个解释变量,使极值分布的是三个参数为时变的,用二维泊松分布过程建立动态空间模型,是文中一大特色。把TD-EVT运用于极端情况下风险值的估计中,对金融风险管理、资产定价等问题有较大的理论和现实意义。     

具有时变自由度的t-copula蒙特卡罗组合收益风险研究

应用时变条件t-copula函数描述股票指数收益序列之间的时变相依结构。时变条件t-copula模型的难点在于如何设定时变相依参数的演化方程,本文建立了用于描述包含时变自由度在内的所有时变相依模型参数的演化方程。进而采用蒙特卡洛仿真方法计算了各种指数组合的VaR,分析了道琼斯指数与标准普尔指数组合风险的演化趋势,并对结果进行后验测试,结果表明,时变条件t-copula函数仿真估计VaR可以覆盖最大损失风险。     

胖尾分布及长记忆下的动态EVT-VaR测度研究

针对金融收益胖尾分布特征及条件波动率长记忆性特征,运用FIGARCH对条件波动率建模、极值理论(extreme value theory,EVT)对标准收益序列的尾部建模,测度出金融市场动态极值风险,进而运用返回测试(back-testing)技术,对模型在样本内的测度准确性与样本外的推广能力进行稳健性检验.实证研究结...     

上海伦敦铜期货市场风险的测度与传导效应研究

本文针对金融时间序列存在的部分典型事实,运用AR（1）-GJR（1,1）构造出铜期货条件损失的标准残差序列;针对标准残差序列近似满足i.i.d特征,运用EVT对其极值尾部建模,并测度出两个铜期货市场的动态风险;然后运用Back-Testing方法对风险测度模型进行准确性检验,最后运用Granger-Causality检验来分析铜期货市场动态风险的传导效应。实证研究结果表明,基于EVT的风险测度方法能有效测度上海伦敦铜期货市场动态风险;上海伦敦铜期货市场动态风险在1%的显著性水平下存在双向传导效应,但由伦敦向上海传递的强度大于反向强度。     

混合泊松违约强度下信用资产组合风险度量

基于共同风险因子的相依关系转换为不同资产的违约示性函数的相依关系来刻画的思想,利用参数为Gamma分布线性组合的Poisson分布来描述不同资产的违约示性函数的相依关系,建立基于混合泊松分布的信用资产组合多因子的风险度量模型,并引入重要抽样技术到模型进行有效数值模拟计算,拓宽和丰富信用资产组合风险度量模型.进一步地,结合中国金融市场四个产业的数据把混合泊松分布应用到实证研究中.在模型的构建过程中,首先运用经典的结构模型和期权定价公式估计单个债务人的动态违约概率;再利用单资产动态违约概率得到混合泊松模型下每个资产的动态泊松强度;接着结合共同风险因子的值求得资产不同的因子载荷系数,该因子载荷系数反映了不同资产间的相依结构程度;最后,把重要抽样技术发展到混合泊松模型中,对由不同产业组成的信用资产组合的损失分布进行有效Monte Carlo模拟.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.     

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.     

Dermal Uptake of 18 Dilute Aqueous Chemicals: In Vivo Disappearance‐Method Measures Greatly Exceed In Vitro‐Based Predictions

Average rates of total dermal uptake (K_up) from short‐term (e.g., bathing) contact with dilute aqueous organic chemicals (DAOCs) are typically estimated from steady‐state in vitro diffusion‐cell measures of chemical permeability (K_p) through skin into receptor solution. Widely used (“PCR‐vitro”) methods estimate K_up by applying diffusion theory to increase K_p predictions made by a physico‐chemical regression (PCR) model that was fit to a large set of K_p measures. Here, K_up predictions for 18 DAOCs made by three PCR‐vitro models (EPA, NIOSH, and MH) were compared to previous in vivo measures obtained by methods unlikely to underestimate K_up. A new PCR model fit to all 18 measures is accurate to within approximately threefold (r = 0.91, p < 10^?5), but the PCR‐vitro predictions (r > 0.63) all tend to underestimate the K_up measures by mean factors (UF, and p value for testing UF = 1) of 10 (EPA, p < 10^?6), 11 (NIOSH, p < 10^?8), and 6.2 (MH, p = 0.018). For all three PCR‐vitro models, log(UF) correlates negatively with molecular weight (r² = 0.31 to 0.84, p = 0.017 to < 10^?6) but not with log(vapor pressure) as an additional predictor (p > 0.05), so vapor pressure appears not to explain the significant in vivo/PCR‐vitro discrepancy. Until this discrepancy is explained, careful in vivo measures of K_up should be obtained for more chemicals, the expanded in vivo database should be compared to in vitro‐based predictions, and in vivo data should be considered in assessing aqueous dermal exposure and its uncertainty.     

Systems Resilience for Multihazard Environments: Definition,Metrics, and Valuation for Decision Making

The United Nations Office for Disaster Risk Reduction reported that the 2011 natural disasters, including the earthquake and tsunami that struck Japan, resulted in $366 billion in direct damages and 29,782 fatalities worldwide. Storms and floods accounted for up to 70% of the 302 natural disasters worldwide in 2011, with earthquakes producing the greatest number of fatalities. Average annual losses in the United States amount to about $55 billion. Enhancing community and system resilience could lead to massive savings through risk reduction and expeditious recovery. The rational management of such reduction and recovery is facilitated by an appropriate definition of resilience and associated metrics. In this article, a resilience definition is provided that meets a set of requirements with clear relationships to the metrics of the relevant abstract notions of reliability and risk. Those metrics also meet logically consistent requirements drawn from measure theory, and provide a sound basis for the development of effective decision‐making tools for multihazard environments. Improving the resiliency of a system to meet target levels requires the examination of system enhancement alternatives in economic terms, within a decision‐making framework. Relevant decision analysis methods would typically require the examination of resilience based on its valuation by society at large. The article provides methods for valuation and benefit‐cost analysis based on concepts from risk analysis and management.     

Job strain and psychotropic drug use among white-collar workers

The main objective of this study was to measure the association between simultaneous exposure to high psychological demand and low decision latitude at work and the use of psychotropic drugs among white-collar workers. A second objective was to determine whether social support at work modified this association. A cross-sectional study was performed that included 2786 workers from the public sector in the Greater Quebec City area. A self-administered questionnaire was used in order to evaluate psychological demand, decision latitude and social support at work. Psychotropic drug use was measured over a period of 2 days. The prevalence of psychotropic drug use among the participants was found to be 3.9%, even though 20.5% were exposed to job strain. The association between job strain and psychotropic drug use, after adjustment for social support at work, age, gender, education, family income, employment status, occupation, stressful life events, cigarette smoking, alcohol consumption and physical activity, was statistically significant (odds ratio: 4.5, 95% CI 1.7?12.2). Social support did not appear to modify this association. The results of this study suggest that job strain might be a determinant of psychotropic drug use among white collar workers. Social support at work does not appear, however, to modify this association.     

Role clarity, work overload and organizational support: multilevel evidence of the importance of support

The present study extended the demands-control-support model used in occupational stress research in two ways. First, it hypothesized that role clarity (i.e. role ambiguity), like control, would moderate the relationship between demands and psychological strain. Second, the study assessed support (from leaders) as a macro characteristic of the work-group environment. Data were drawn from a large study of US army soldiers, the study sample consisting of 1786 lower enlisted male soldiers. The inclusion of support as a work-group characteristic lead to a multilevel test of the model. A three-way multilevel interaction among work demands, role clarity and support was observed. As predicted, the relationship between demands and psychological strain was moderated by role clarity; however, this moderating relationship was found only when work-group support was high.     

Leadership, levels of analysis, and déjà vu: Modest proposals for taxonomy and cladistics coupled with replication and visualization

In the inaugural issue of LQ's Yearly Review of Leadership, Hunt and Dodge (2000, p. 442) note that, “Within the last two decades, one of the crucial developments in organizational research in general, and in leadership research specifically, is the articulation of specific levels of analysis and their implications for theory building, measurement, and observation.” Their original observations are updated by extending the inferential logic of Yammarino, Dionne, Chun and Dansereau (2005) to determine if any increase in the utilization of a level of analysis perspective has occurred in the last five years. The possible evolution of leadership theory and analysis is discussed, especially with reference to Relational Leadership Theory, Leader–Member Exchange, and Individualized Dyadic Theory. Proposals incorporating taxonomic and visualization tools as a means to help bridge the stakeholder gap are also offered.     

Information Frictions in Trade

It is costly to learn about market conditions elsewhere, especially in developing countries. This paper examines how such information frictions affect trade. Using data on regional agricultural trade in the Philippines, I first document a number of observed patterns in trade flows and prices that suggest the presence of information frictions. I then incorporate information frictions into a perfect competition trade model by embedding a process whereby heterogeneous producers engage in a costly sequential search process to determine where to sell their produce. I show that introducing information frictions reconciles the theory with the observed patterns in the data. Structural estimation of the model finds that information frictions are quantitatively important: roughly half the observed regional price dispersion is due to information frictions. Furthermore, incorporating information frictions improves the out‐of‐sample predictive power of the model.     

The Economics of Density: Evidence From the Berlin Wall

This paper develops a quantitative model of internal city structure that features agglomeration and dispersion forces and an arbitrary number of heterogeneous city blocks. The model remains tractable and amenable to empirical analysis because of stochastic shocks to commuting decisions, which yield a gravity equation for commuting flows. To structurally estimate agglomeration and dispersion forces, we use data on thousands of city blocks in Berlin for 1936, 1986, and 2006 and exogenous variation from the city's division and reunification. We estimate substantial and highly localized production and residential externalities. We show that the model with the estimated agglomeration parameters can account both qualitatively and quantitatively for the observed changes in city structure. We show how our quantitative framework can be used to undertake counterfactuals for changes in the organization of economic activity within cities in response, for example, to changes in the transport network.     

Modelling end-of-life product recovery chains - a case study

European Union legislation, and existing national legislation of many European countries, mandates that manufacturers take back and recover their electronic and electrical equipment. If manufacturers are to comply with legislation, models need to be developed for these activities. Whilst infrastructural and technological deficits exist and must be addressed, so too must the organization of recovery, from a business perspective. In this paper, models of resource recovery are presented and a case study described.