Characterizing optimality among three-decision procedures for directional conclusions

Jones and Tukey (2000) proposed three-decision procedures for directional conclusions in statistical inference, considered as an alternative to the conventional usage of one- and two-tailed significance testing. Moreover, implicit in their suggestions was to consider a procedure to be optimal in case indefinite results were minimized among all procedures with a given control of error. First, we argue by example that this characterization of optimality is not very fruitful when formalized into the strong sense of uniform minimization. Next, imposing a further regularity condition on the comparative class of procedures, we relate the suggested characterization to optimality criteria from test theory (UMP unbiasedness). Similarly, we also consider characterizing optimality in terms of maximizing correct decision rates and minimizing incorrect decision rates. Finally, we demonstrate the applicability of the three considered characterizations with respect to exponential families of distributions.     

国有商业银行市场约束机制构建

从市场约束的概念出发论述了市场约束的运行机理。指出建立有效市场约束机制对促使国有商业银行谨慎经营决策、注重风险的防范及化解、保持金融秩序稳定具有重要的意义。结合市场约束的运行机理论述了目前对国有商业银行实施市场约束的必要性和存在的困难,提出构建国有商业银行市场约束机制,应树立激励相容的银行监管理念、促使国有商业银行成为市场化的主体,建立有效的公司治理结构、规范信息披露制度、建立有限的安全网、创造良好的运作环境。     

The uniformly most powerful unbiased tests involving the f-distribution

The uniformly most powerful unbiased test in exponential family situations involving the F-distrlbution is illustrated with examples. Its performance is compared with that of the more conventional equal-tails test. A FORTRAN program for computing the critical values and tail sizes of this test is also presented.     

商业银行法律风险研究

商业银行从创建之始就与法律风险相生相伴.在法律风险中求生存谋发展.全球金融格局与法制监管环境的复杂化,使得法律风险由地区性和局部性风险上升为全球性和综合性风险,对商业银行风险总量的影响越来越大.因此,对法律风险进行持续有效的防控成为国际大银行风险管理的核心内容.     

Default Estimation and Expert Information

Default is a rare event, even in segments in the midrange of a bank’s portfolio. Inference about default rates is essential for risk management and for compliance with the requirements of Basel II. Most commercial loans are in the middle-risk categories and are to unrated companies. Expert information is crucial in inference about defaults. A Bayesian approach is proposed and illustrated using a prior distribution assessed from an industry expert. The binomial model, most common in applications, is extended to allow correlated defaults. A check of robustness is illustrated with an ε-mixture of priors.     

Horizontal synthetic estimation: a strategy for estimating small area health related characteristics

It would be difficult to overestimate the general importance of relevant, detailed and timely small area data for health planning and research. However, the requisites of relevance, detail and timeliness are difficult — in some cases impossible — to satisfy. In the following discussion we sketch an approach for providing small area data useful for health planners. At this time our major concern is a comprehensive approach to estimates for small areas. The particular models and estimation procedures which we will present are adopted primarily for their heuristic value. They provide a convenient and not overly complex means of discussing important aspects of a comprehensive approach to small area estimation. Our objective is to delineate in a constructive fashion the broad parameters of a comprehensive approach to the estimation of health related small area data.     

《新巴塞尔资本协议》中若干焦点问题的探讨——对QIS3的总体评价及补充

第三次定量影响研究(QIS3)的研究目的是在《新巴塞尔资本协议》前几次讨论稿基础上,评估各银行资本要求的变化。QIS3的结果是与巴塞尔委员会制定的激励相容机制目标基本一致的,多数银行也对巴塞尔委员会的基本原则和新协议“三大支柱”(资本充足率、监管当局的监管检查和市场纪律)的框架表示赞同。但是由于协议的复杂性,有不少问题还是没有得到解决。在新协议中,操作风险计量方法不够精确,新型抵押担保形式不好识别,没有对零售业务进行风险集中度的调整,执行新协议的成本-收益复杂模糊,信用风险设计与激励相容相悖,流动性风险和顺周期性有所加强。这些都需要进行进一步的研究和调整。     

对我国商业银行资本充足率指标的思考

资本充足率反映银行资本抵御意外损失的能力大小,但其过高过低均对银行产生不利影响.文章分析了《巴塞尔协议》资本要求的不足,从理论上论证了最适度资本量的经济学界定,提出了科学确定我国商业银行的资本充足率:把新的不确定性风险及时纳入风险权数,并实行弹性资本充足率,使这一指标科学合理,并与国际接轨.     

国有商业银行操作风险资本配置的实证分析——基于新巴塞尔协议框架

新巴塞尔协议为实现对操作风险的量化管理,建议了三种操作风险测量方法:基本指标法、标准法和高级计量法。本文运用基本指标法和标准法对我国四大国有商业银行进行操作风险资本配置的计算与分析,结果发现这两种方法并不适用于我国的国有商业银行。由此得出结论:基于我国商业银行自身业务和组织结构的特殊性,在测算操作风险所需配置的资本时需要对巴塞尔协议建议的方法进行修订,设计符合自身情况的具体方法,高级计量法是未来我国国有商业银行操作风险管理唯一的可选方法。     

一百多年前新界客家方言的体标记"开"和"里"

根据巴色会于1879年编写出版的客家方言课本《启蒙浅学》,讨论一百多年前香港新界一带客家方言中的完成体标记“开”和“里”。“开”从趋向动词开始,经过“唯补词”的阶段,逐渐虚化成一个体标记;“里”则是一个虚化得比较彻底的纯体标记,其来源尚不清楚。“开”和“里”在句法位置上既有相同又有不同,在语法功能上既有交叉又有分工。