基于拔靴滤波历史模拟法的黄金市场VaR测度研究

传统历史模拟法（THS，Tranditional Historical Simulation）和滤波历史模拟法（FHS，Filtered Historical Simulation）是国际商业银行使用最多的VaR预测方法。首先，论文在已有研究成果的基础上，构造了BHW（Bootstraped Hull and White）历史模拟法；然后，以国内黄金交易数据为样本，采用6种严谨的后验分析（Backtesting analysis）方法，对BHW方法及几种主流历史模拟法、GARCH模型方法的VaR预测精确性进行了实证分析。论文的主要结论包括：（1）综合论文所采用的几种金融风险测度方法来看，BHW方法表现出了相对较好的精确性，而实务界中广泛使用的THS方法则表现出了最差的精确性；（2）不同的历史模拟法受样本规模因素影响的程度显著不同，例如THS方法和HW方法均不同程度的受到了样本规模因素影响；（3）总体来看，BHW方法表现出了相对较好的风险预测精确性，可以作为测度黄金市场风险的选择之一。     

Social Amplification of Wildfire Risk: The Role of Social Interactions and Information Sources

Wildfire is a persistent and growing threat across much of the western United States. Understanding how people living in fire‐prone areas perceive this threat is essential to the design of effective risk management policies. Drawing on the social amplification of risk framework, we develop a conceptual model of wildfire risk perceptions that incorporates the social processes that likely shape how individuals in fire‐prone areas come to understand this risk, highlighting the role of information sources and social interactions. We classify information sources as expert or nonexpert, and group social interactions according to two dimensions: formal versus informal, and generic versus fire‐specific. Using survey data from two Colorado counties, we empirically examine how information sources and social interactions relate to the perceived probability and perceived consequences of a wildfire. Our results suggest that social amplification processes play a role in shaping how individuals in this area perceive wildfire risk. A key finding is that both “vertical” (i.e., expert information sources and formal social interactions) and “horizontal” (i.e., nonexpert information and informal interactions) interactions are associated with perceived risk of experiencing a wildfire. We also find evidence of perceived “risk interdependency”—that is, homeowners’ perceptions of risk are higher when vegetation on neighboring properties is perceived to be dense. Incorporating social amplification processes into community‐based wildfire education programs and evaluating these programs’ effectiveness constitutes an area for future inquiry.     

Risk management: a competitive advantage in the purchasing function

This paper aims to explore the purchasing function on behalf of the provider, when the purchasing takes the form of a request for proposals (RfP) from the client. A methodology for handling the bidding process is presented, illustrated by a case study from the IT sector. The proposed methodology places risk as a factor for the selection of the best and final offer of the provider in addition to the traditional decision factors: delivery time, product cost and performance. The method is supported by a structured corporate memory and a decision support system based on the analytical hierarchy process.     

浅析现代资本市场体系下的保险资金

本文对现代资本市场体系下的保险资金进行了分析，首先分析了保险资金的构成，接着对保险资金和资本市场的相互关系进行了考察，并分析了当前保险资金运用的现状，最后提出了对当前保险资金运用的思考。     

Testing the Effects of Similarity on Risky Choice: Implications for Violations of Expected Utility

Our aim in this paper was to establish an empirical evaluation for similarity effects modeled by Rubinstein; Azipurua et al.; Leland; and Sileo. These tests are conducted through a sensitivity analysis of two well-known examples of expected utility (EU) independence violations. We found that subjective similarity reported by respondents was explained very well by objective measures suggested in the similarity literature. The empirical results of this analysis also show that: (1) the likelihood of selection for the riskier choice increases as the pair becomes more similar, (2) these choice patterns are consistent with well-known independence violations of expected utility, and (3) a significant proportion of individuals exhibit intransitive choice patterns predicted under similarity effects, but not allowed under generalized expected utility models for risky choice.     

论软件成果的法律保护与管理

软件作为高新技术的组成部分，对其采用著作权、专利权、商标权、技术秘密的综合法律保护,是促进软件成果市场化、产业化的重要措施。职务软件成果的产权的界定与合同管理是维护软件市场秩序的保障，做好软件的著作权登记可为享受国家优惠政策和申请奖励储备条件。     

Property Loss Estimation for Wind and Earthquake Perils

This article describes the development of a generic loss assessment methodology, which is applicable to earthquake and windstorm perils worldwide. The latest information regarding hazard estimation is first integrated with the parameters that best describe the intensity of the action of both windstorms and earthquakes on building structures, for events with defined average return periods or recurrence intervals. The subsequent evaluation of building vulnerability (damageability) under the action of both earthquake and windstorm loadings utilizes information on damage and loss from past events, along with an assessment of the key building properties (including age and quality of design and construction), to assess information about the ability of buildings to withstand such loadings and hence to assign a building type to the particular risk or portfolio of risks. This predicted damage information is then translated into risk-specific mathematical vulnerability functions, which enable numerical evaluation of the probability of building damage arising at various defined levels. By assigning cost factors to the defined damage levels, the associated computation of total loss at a given level of hazard may be achieved. This developed methodology is universal in the sense that it may be applied successfully to buildings situated in a variety of earthquake and windstorm environments, ranging from very low to extreme levels of hazard. As a loss prediction tool, it enables accurate estimation of losses from potential scenario events linked to defined return periods and, hence, can greatly assist risk assessment and planning.     

我国创业板市场的规范化问题

我国创业板市场的建立不仅有助于完善我国的资本市场体系，而且还能为极具发展潜力的中小型创新企业提供良好的融资服务，为风险投资提供退出渠道。因此，它的建立必将推动我国中小企业和高新技术企业的迅速发展。但由于创业板市场具有门槛低、风险高等特点，因此必须在创业板市场建立之前就制定出一套完善的规章制度，以使我国创业板市场在规范化、市场化和国际化的基础上有效运行。     

Informing the Public About Uncertain Risks

Many problems arise in connection with the communication of risk information. In this article the content of the information communicated is taken as a starting-point for analyzing the risk communication process. We studied the way in which authorities communicated health risks to local residents in Dutch soil pollution situations and found that communication problems were characterized more by misunderstanding and conflict between parties with different views and interests than by a lack of understanding. Therefore, it is important to look more closely at the way the communicators of information (in our cases, officials) select risk information from risk assessments, and to study the effects that the information selected has on the receivers (in our cases, residents). Both the process of selection by the officials and the process of interpretation by the residents will be shown to be influenced by the different institutional backgrounds. The article presents a new approach to risk communication. Both the risk information presented by the authorities and the public reactions to this risk information are considered to reflect the institutional background of authorities and residents, and can be analyzed in these terms. Such an approach has consequences for the study of risk communication and the manner in which it is practiced.     

基于关键链的项目工期风险断链式控制研究

以关键链为物质载体的风险效应的传递在外界环境的作用下，具有一定的扩增性。本文在关键链的基础上，从风险效应链式形态出发，通过对项目工期风险链式传递机理的分析，识别项目关键链上的关键工期风险结点，针对性的将关键链管理中的项目缓冲分解到关键结点之后，有效抑制其关键结点的传递途径，从而达到断链的效果，减少破坏的扩增性，达到风险控制的目的，从而提高项目管理的效率。