Another extended Burr III model: some properties and applications

We introduce an extended Burr III distribution as an important model for problems in survival analysis and reliability. The new distribution can be expressed as a linear combination of Burr III distributions and then it has tractable properties for the ordinary and incomplete moments, generating and quantile functions, mean deviations and reliability. The density of its order statistics can be given in terms of an infinite linear combination of Burr III densities. The estimation of the model parameters is approached by maximum likelihood and the observed information matrix is derived. The proposed model is applied to a real data set to illustrate its potentiality.     

An adaptive seamless phase II/III design for oncology trials with subpopulation selection using correlated survival endpoints

Although the statistical methods enabling efficient adaptive seamless designs are increasingly well established, it is important to continue to use the endpoints and specifications that best suit the therapy area and stage of development concerned when conducting such a trial. Approaches exist that allow adaptive designs to continue seamlessly either in a subpopulation of patients or in the whole population on the basis of data obtained from the first stage of a phase II/III design: our proposed design adds extra flexibility by also allowing the trial to continue in all patients but with both the subgroup and the full population as co-primary populations. Further, methodology is presented which controls the Type-I error rate at less than 2.5% when the phase II and III endpoints are different but correlated time-to-event endpoints. The operating characteristics of the design are described along with a discussion of the practical aspects in an oncology setting.     

Correlated defaults,temporal correlation,expert information and predictability of default rates

ABSTRACT

Dependence among defaults both across assets and over time is an important characteristic of financial risk. A Bayesian approach to default rate estimation is proposed and illustrated using prior distributions assessed from an experienced industry expert. Two extensions of the binomial model are proposed. The first allows correlated defaults yet remains consistent with Basel II’s asymptotic single-factor model. The second adds temporal correlation in default rates through autocorrelation in the systemic factor. Implications for the predictability of default rates are considered. The single-factor model generates more forecast uncertainty than does the parameter uncertainty. A robustness exercise illustrates that the correlation indicated by the data is much smaller than that specified in the Basel II regulations.     

Review of random and group-screening designs

Experiments with real systems, but especially with simulated systems, may involve hundreds of factors. However, only a few factors are really important. Detecting these Important factors requires special designs such as random and group-screening de-signs. Random designs are simple, but they yield biased esti-mators. Group-screening is based on aggregation. The assumptions of group-screening are discussed in detail, and seem not very restrictive. References to applications of both design types are given.     

国际气候变化制度的未来蓝图——从《哥本哈根协议》到《坎昆协议》

全球气候变化已经引起国际社会的关注,产生了不同的国际社会组织,并制定了各项相关国际社会制度,这些制度在解决国际气候变化的问题上具有关键性和决定性作用:首先,该制度起着建构性的作用;其次,国际气候变化制度必须对激活该项制度起到推波助澜的作用,使得处于不同地位的各方在谈判过程中能够建立共识,并且能在国际层面推动达成更具雄心的气候变化政策。这些促成了《哥本哈根协议》、《坎昆协议》的诞生。《哥本哈根协议》明确将气温升高控制在2摄氏度作为减排的目标。《坎昆协议》将此目标具体化,并提出气温升高控制在1.5摄氏度的任务。"后2012"国际气候变化制度必须具有全球性特征,遵循公平原则和共同但有区别的责任原则,将世界上主要的温室气体排放国家美国和一些发展中国家纳入进来。从性质上来说,《坎昆协议》所建构的可测量、可报告、可核证体系代替原有的制度机制,这将是国际气候变化制度中的全新改变。     

基于记分卡的操作风险管理研究

与市场风险和信用风险相比,操作风险是难以结构化的问题。而近年来对记分卡的理论研究及其在战略管理领域的成功运用,都说明:通过建立以定性评估和定量分析相结合的风险识别、量度系统,以及基于数据的对风险控制决策的模拟,记分卡与其他计量法相比,对操作风险有更有效的管理作用。根据记分卡基本原理,操作风险记分卡模型包括以下内容:建立操作风险管理战略,阐述愿景规划;设定风险管理的目标和指标;确定方案和资源配置;对方案和任务的执行情况进行评估,并将结果反馈到管理层以便决策。     

论《巴塞尔新资本协议》中的法律风险--兼谈我国商业银行法律风险监管制度的构建

法律风险主要有操作性法律风险和环境法律风险两种表现形式。法律风险是一种特殊类型的操作风险,它普遍存在于商业银行业务活动的各个方面,商业银行应当为之配置充足的资本。由董事会和高级管理层、法律风险管理部门以及内部审计部门组成的组织结构是法律风险管理体系有效运作的基础。法律风险管理程序包括识别、评估、监测以及控制和缓释等四个循环往复的过程。我国应当积极借鉴《新资本协议》体现的成熟的风险管理经验和先进的监管理念,通过制定监管指南的方式,从明确法律风险的表现形式、引导商业银行完善管理法律风险的组织结构以及推动商业银行开发管理法律风险的技术和方法等三个方面入手,初步建立起法律风险监管制度。     

模糊数量化理论III在人力资源绩效评估中的应用

人力资源是当今企业最重要的资源之一,人力资源的优劣直接决定了企业的生存与发展,因此如何评估人力资源绩效是任何一个企业不可或缺的管理内容。绩效评估是一项复杂的工作,需要综合考虑多方面的指标。模糊数量化理论III,能够将定量与定性评价指标同时纳入模型,并对评估对象与指标进行分类,为人力资源绩效评估提供了一种新思路。     

巴塞尔新资本协议对我国银行监管的启示

巴塞尔新资本协议提出了银行有效监管的最低资本充足要求、外部监管和市场约束三大支柱 ,对银行风险管理的整体思路、方法作了新的总结与规范 ,代表了国际银行业风险管理的未来方向 ,同时也对银行业监管提出了新的更高的要求。作为国际清算银行的成员 ,我国监管当局已经公开承诺将按照巴塞尔协议的原则对我国商业银行进行监管 ,并积极参与了新资本协议的讨论。面对国际银行业风险管理规定的新变化 ,尽快适应巴塞尔新资本协议要求 ,提高监管水平已成为我国监管当局急需解决的现实问题。