基于极值理论和多元Copula函数的商业银行操作风险计量研究

基于操作风险呈厚尾分布的特征,本文按照巴塞尔协议的要求,采用POT极值模型分别估计了多个操作风险单元的边缘分布,然后用多元Copula函数来刻画这些操作风险单元之间的关联性并计算在险价值。通过对中国商业银行1990-2010年操作风险数据的实证分析表明,Clayton Copula能更好地反映各操作风险单元之间的相关性结构,且采用Copula考虑操作风险相关性下的VaR值要比简单加总下的VaR值减少约32.3%。因此,应用Copula函数计量操作风险相关性,不仅可以提高估计的准确性,还能够达到资产组合的风险分散化效应,减少操作风险资本要求,为商业银行提升盈利能力创造条件。     

基于股票收益的操作风险资本估计——自上而下方法

操作风险的度量方法包括自下而上和自上而下两种方式,自上而下的方法由于风险敏感度低而较少被银行和学术界关注,但其具有对数据要求低、容易验证的优点.构建一个基于上市银行股票收益的自上而下的操作风险度量模型,利用2000年～2006年中国5家上市银行面板收益数据和其他相关数据,对中国上市银行的操作风险进行实际度量,发现了在中国上市银行的股票收益中操作风险所占的平均比率,并得到相应的操作风险资本估计;用估计的操作风险经济资本与用基本指标法计算的操作风险经济资本进行比较,发现两种方法结果大致相当,这表明按照<巴塞尔新资本协议>规定的基本指标法确定风险资本基本能满足抵御操作风险的要求.度低而较少被银行和学术界关注,但其具有对数据要求低、容易验证的优点.构建一个基于上市银行股票收益的自上而下的操作风险度量模型,利用2000年～2006年中国5家上市银行面板收益数据和其他相关数据,对中国上市银行的操作风险进行实际度量,发现了在中国上市银行的股票收益中操作风险所占的平均比率,并得到相应的操作风险资本估计;用估计的操作风险经济资本与用基本指标法计算的操作风险经济资本进行比较,发现两种方法结果大致相当,这表明按照<巴塞尔新资本协议>规定的基本指标法确定风险资本基本能满足抵御操作风险的要求.     

Disparate Levels of Stress in Police and Correctional Officers: Preliminary Evidence from a Pilot Study on Domestic Violence

New data from a prevention curriculum project on officer-involved domestic violence reveals significant differences in the reported job stress of Florida's correctional officers when compared to police officers who took the same surveys. The significantly higher reported levels of organizational stress in particular—especially those related to staff and resource shortages and attitudes about leadership—raise concerns about the relationship between organizational stress and the reported drastic budget cuts, hiring freezes, and layoffs experienced by the Department of Corrections in 2009. The surprising disparity has significant implications for policy makers, who should be aware of the high cost of stress in officer health and well-being when making budgetary decisions about the state's rapidly increasing inmate population.     

Inventory Policy with Parametric Demand: Operational Statistics,Linear Correction,and Regression

In this paper, we consider data‐driven approaches to the problem of inventory control. We first consider the approach of operational statistics and review related results which enable us to maximize a priori expected profit uniformly over all parameter values, when the demand distribution is known up to the location and scale parameters. For the case of the unknown shape parameter, we first suggest a heuristic approach based on operational statistics to obtain improved ordering policies and illustrate the same for the case of a Pareto demand distribution. In more general cases where the heuristic is not applicable, we suggest linear correction and support vector regression approaches to better estimate ordering policies, and illustrate these using a Gamma demand distribution. In certain cases, our proposed approaches are found to yield significant improvements.     

基于收入模型的证券公司操作风险度量的实证研究

基于中国证券公司操作风险数据特征,运用"自上而下"的度量方法,构建中国证券公司操作风险的度量模型,采用2005～2009年中国4家上市券商季度财务报表数据和其他相关经济数据,度量中国上市证券公司的操作风险进行和实证检验,结果表明收入模型能够在一定程度上度量证券公司的操作风险。     

高校两级管理下学院内控管理的路径探讨

随着高等教育大众化和国际化进程的加快,我国大部分高校普遍实行校院两级管理。文章以制度建设、运行机制和领导班子建设三个主要方面为切入点,通过文献梳理和实践分析,对二级学院实施内控管理的有效路径进行分析和探讨。并进一步指出,二级学院迫切需要在上述三个主要方面做出适应性调整,才能在教学、科研、人才队伍和学科建设等方面取得较大成效,促进学院健康、快速发展。     

商业银行操作风险管理中的信息沟通机制

构建了信息沟通环境、信息沟通能动体、信息通道、信息元、目标集五要素,以界定信息沟通的流程来开展信息沟通机制研究。在目标集的界定中引入信息论中的条件熵和相对熵,构建了商业银行操作风险管理的时效性监测指标和质效检测指标。根据信息沟通机制的分析过程,期望辅助商业银行能更加合理的分析或解释操作风险管理中出现的各种信息沟通现象和问题,填补商业银行操作风险管理中信息沟通机制方面的空白。     

Quality management and performance: a comparison between the UK and Turkey

Purpose: The aim of this article is to detail the correlation between quality management, specifically its tools and critical success factors, and performance in terms of primary operational and secondary organisational performances.

Design/methodology/approach: Survey data from the UK and Turkey were analysed using exploratory factor analyses, structural equation modelling and regression analysis.

Findings: The results show that quality management has a significant and positive impact on both primary and secondary performances; that Turkish and UK attitudes to quality management are similar; and that quality management is widely practised in manufacturing and service industries but has more statistical emphasis in the manufacturing sector. The main challenge for making quality management practice more effective lies in an appropriate balanced use of the different sorts of the tools and critical success factors.

Originality/value: This study takes a novel approach by: (i) exploring the relationship between primary operational and secondary organisational performances, (ii) using service and manufacturing data and (iii) making a cross-country comparison between the UK (a developed economy) and Turkey (a developing economy).

Limitations: Detailed contrast provided between only two countries.     

略论媒体的运作模式对湖南现代文学发展的影响

在上世纪初的中国,推动文学产业化发展的主要是报馆和出版社,有实力的报馆或出版社往往是既发行报纸又出版书籍.然而在湖南,文学发展的主要推动力量只有报纸副刊.这种单一的运作模式,使得湖南现代文学在初期虽有广泛影响,却在后来的发展过程中,显得后劲不足.     

试论党代会常任制的运行机制

党代会常任制是我党新时期完善和发展党内民主的新探索,也是以党内民主带动人民民主,促进政治文明建设的新探索。在这一探索过程中,各个地方的试点工作为这一制度的全面推开积累了丰富的经验,同时,在实践过程中,也出现了权力划分不均衡,运行不畅等问题,导致一些地方的试点工作终止。只有建立起合法的权力来源机制、合理的权力运行机制和有效的权力监督机制,才能保证这一制度的正常试行,从而推动民主政治的发展。