现代信用风险度量模型的实证比较与适用性分析

本文通过实证比较分析发现,现代信用风险度量模型对银行贷款的违约率、贷款损失和损失率的预测结果的差异性较大;但信用监测模型和信用风险附加法所预测的经济资本配置比例不仅符合巴塞尔协议对银行贷款经济资本的要求,也略大于实际应该配置的比例,实证表明了它们对度量我国商业银行贷款组合的信用风险具有较好的适用性.此外,本文也充分验证了借款人信用等级的不同,银行贷款经济资本配置的比例会有显著性的差异.     

同种商品不同月份期货组合风险评价模型研究及应用

以期货合约的每一交易日的对数涨跌率来反映市场风险,借助VaR风险价值法,运用加权核估计技术(WKDE)和指数加权滑动模型(EWMA),建立了基于期货组合中持有头寸不同且可以进行风险对冲的期货组合市场风险非线性叠加评价模型,解决了同种商品、不同月份期货组合每一交易日最大损失的确定问题,并通过实证研究验证了模型的实用性.该模型的特点一是借助WKDE法预测组合中单个合约每一交易日涨跌率最大日亏损值,充分体现了期货合约涨跌率的实际走势,使VaR估计更加精确.二是通过动态迁移相关系数矩阵的计算保证了模型的精确性.采用EWMA模型预测动态变化的方差-协方差矩阵,从实证的角度得到更精准的动态迁移相关系数矩阵.三是考虑了组合中多头和空头不同头寸之间的风险对冲,避免了实际中期货组合风险的线性相加而造成放大风险或减少风险的不准确性,从而能较好地保证了模型的预测精度及准确性.四是通过基于风险非线性叠加建立的期货组合风险评价模型解决了SPAN系统中期货组合风险的线性叠加问题,从而得到更合理的组合风险预测值.     

PC软件产品竞争性升级的定价研究

通过Hotelling模型对PC软件产品竞争性升级进行了研究,重点分析了网络外部性、转换成本、升级产品质量(或功能)的提高对升级定价及其竞争策略的影响.主要成果包括以下几个方面(1)在消费者静态预期的条件下,网络规模大的厂商总是偏好不兼容,网络规模小的厂商偏好全兼容.(2)分析了影响版本升级价格、竞争性价格和全价的相关因素.(3)解释了转换成本和实施竞争性升级的关系.(4)分析了厂商夺取竞争对手厂商客户的条件以及争夺新客户的竞争策略.对厂商的竞争性升级定价具有重要的理论指导意义.     

中国企业年金缴费率的模拟分析

企业年金在多支柱养老保险体系中发挥着越来越重要的作用.以个人账户为研究对象,为我国企业年金建立了精算平衡模型.文章在精算平衡模型的基础上,运用模拟的方法,对企业年金的缴费率进行了测算分析.并根据模拟的结果,对2004年5月1日开始实施的<企业年金试行办法>中缴费率的规定进行了讨论,为企业年金的发展和政策制定提供了建议.     

GM Foods and the Misperception of Risk Perception

Public opposition to genetically modified (GM) food and crops is widely interpreted as the result of the public's misperception of the risks. With scientific assessment pointing to no unique risks from GM crops and foods, a strategy of accurate risk communication from trusted sources has been advocated. This is based on the assumption that the benefits of GM crops and foods are self-evident. Informed by the interpretation of some qualitative interviews with lay people, we use data from the Eurobarometer survey on biotechnology to explore the hypothesis that it is not so much the perception of risks as the absence of benefits that is the basis of the widespread rejection of GM foods and crops by the European public. Some respondents perceive both risks and benefits, and may be trading off these attributes along the lines of a rational choice model. However, for others, one attribute-benefit-appears to dominate their judgments: the lexicographic heuristic. For these respondents, their perception of risk is of limited importance in the formation of attitudes toward GM food and crops. The implication is that the absence of perceived benefits from GM foods and crops calls into question the relevance of risk communication strategies for bringing about change in public opinion.     

Toward Improved Communication about Wildland Fire: Mental Models Research to Identify Information Needs for Natural Resource Management

The management of natural- and human-induced wildland fires is an intricate process that must balance two considerations: that of fire as a necessary natural disturbance and that of the risks that fire poses. Reconciling tradeoffs between these risks and benefits is contingent upon informed, directed, and two-way communication between wildland fire managers and stakeholders. In an effort to aid with the design of such a communication effort, this study used mental models research to determine the unique wildland fire information and decision-making needs of stakeholders living at the wildland-urban interface of a fire-prone area. While the analysis revealed many similarities in how stakeholders conceptualized the risks and benefits of wildland fire, many misconceptions and important gaps in understanding on the part of both expert and nonexpert respondents were identified.     

因子模型在风险预算分析中的应用

风险预算在国外正赢得学术界、养老基金和资产管理领域等许多方面的广泛关注,并认为是组合管理的一种创新。国内投资者日益认识到投资组合管理与风险控制的重要意义,并近乎成为他们的第一要务。本文利用因子模型,通过风险预算这一投资管理和风险控制技术与方法,讨论投资组合因子风险分解并进行实证分析。     

社会网络对民间金融风险的作用——基于社会网络结构的理论与实证分析

社会网络对民间金融风险的影响已被广泛认可,但是,究竟什么样的网络结构有抑制风险的作用,什么样的网络结构有扩增风险的作用？以资金互助会为例,将互助会涉及的社会网络按结构特征分为单个会的会内网络和多个会的会间网络,研究可知：（1）越紧密的会内网络结构以及越大的网络规模越有利于民间金融风险的控制。（2）跨会网络具有抑制和扩增风险两种作用,它是协同监督和惩罚机制生效的基础,因而对风险具有控制作用,但这种作用只在中介成员为会首时才显著;同时,它也构成了风险传播的通道,导致资金被分散到多个会中,因而提升了系统性风险。     

Assessing Risk‐Based Upper Limits of Melamine Migration from Food Containers

Melamine contamination of food has become a major food safety issue because of incidents of infant disease caused by exposure to this chemical. This study was aimed at establishing a safety limit in Taiwan for the degree of melamine migration from food containers. Health risk assessment was performed for three exposure groups (preschool children, individuals who dine out, and elderly residents of nursing homes). Selected values of tolerable daily intake (TDI) for melamine were used to calculate the reference migration concentration limit (RMCL) or reference specific migration limit (RSML) for melamine food containers. The only existing values of these limits for international standards today are 1.2 mg/L (0.2 mg/dm²) in China and 30 mg/L (5 mg/dm²) in the European Union. The factors used in the calculations included the specific surface area of food containers, daily food consumption rate, body weight, TDI, and the percentile of the population protected at a given migration concentration limit (MCL). The results indicate that children are indeed at higher risk of melamine exposure at toxic levels than are other groups and that the 95th percentile of MCL (specific surface area = 5) for children aged 1–6 years should be the RMCL (0.07 mg/dm²) for protecting the sensitive and general population.