Some Related Minima Stability and Minima Infinite Divisibility of the General Multivariate Pareto Distributions

This article studies the minima stable property of the general multivariate Pareto distributions MP^(k)(I), MP^(k)(II), MP^(k)(III), MP^(k)(IV) which can be applied to characterize the MP^(k) distribution via its weighted ordered coordinates minima and marginal distribution. Also, the multivariate semi-Pareto distribution (denoted by MSP) is discerned in the class of geometric minima infinite divisible and geometric minima stable distributions. If the exponent measure is satisfied by some functional equation, then the geometric minima stable property can be used to characterize the MSP distribution. Finally, the finite sample minima infinite divisible property of the MP^(k)(I), (II), and (IV) distributions is also discussed.     

An optimal investment and risk control policy for a bank under exponential utility

Motivated by the Basel Capital Accord Requirement (CAR), we analyze a risk control portfolio selection problem under exponential utility when a banker faces both Brownian and jump risks. The banker's risk process and the dynamics of the risky asset process are modeled as jump-diffusion processes. Assuming that the constraint set of all trading strategies is in a closed set, we study the terminal utility optimization problem via the backward stochastic differential equation (BSDE) under risk regulation paradigm. We construct the BSDE by means of the martingale optimality principle, giving conditions for the corresponding generator to be well defined in order to derive the bounds on the candidate optimal strategy. We then construct an internal model for the bank under Basel III CAR, which is formulated from the total risk-weighted assets (TRWA's) and bank capital. The results obtained from this model can be adopted within the banking sector when setting up asset investment strategies and advanced risk management models, as advocated by the Basel III Accord.     

城市商业银行实施新资本协议之我见

在阐述新《巴塞尔资本协议》主要内容及与旧版资本协议区别的基础上,以城市商业银行为例对当前城市商业银行所面临的形势进行分析,指出城市商业银行如何应对面临的压力和挑战,最后论述城市商业银行应采取的对策。     

《华盛顿协议》下工程教育专业建设路径选择

比较《华盛顿协议》成员工程教育论证制度和各自特点，并比较美国工程教育评估和我国工程教育认证与“卓越计划”，分析ABET工程教育认证标准和“卓越计划”，借鉴《华盛顿协议》工程教育专业认证理念内容和标准条款，提出以工程教育专业认证为抓手，改革工程教育人才培养目标、课程结构体系，强化师资队伍建设的工程教育专业建设路径。     

发展民营银行需慎行

民营银行在我国已不是一个新的话题,针对民营企业融资困难,国有银行存在的弊端以及我国整个银行业的状况,许多学者提出在我国大力发展民营银行,许多民营企业家也积极宣扬建立民营银行。民营银行确有其自身的优势,有值得国有银行借鉴的地方,但是我们还要冷静去分析大力发展民营银行是否有必要,是否符合我国当前的实际状况。笔者认为,目前在我国发展民营银行还需慎行。