金融高阶矩风险溢出效应研究

开展金融风险溢出效应的研究,对于避免金融风险从一个国家、地区或市场迅速地传播到其它的国家、地区或市场具有重要的意义.早期的金融风险溢出研究只考虑前二阶矩,即均值的溢出效应和方差的溢出效应.在一元GARCD-JSU模型的基础上,构建了世界因子、地区因子及单个市场因子三个因子模型,并对高阶矩风险的溢出效应进行了分解,用于研究金融高阶矩风险在世界、地区和单个市场之间的溢出效应.最后,对亚洲一些主要国家和地区金融风险溢出效应进行了实证研究.     

CreditRisk+模型采用Poisson分布所产生的经济资本计量误差分析

本文对CreditRisk+模型采用Poisson分布近似债务人违约事件分布这一关键步骤进行系统研究。首先分析了Poisson分布在CreditRisk+模型中的作用,并从理论上证明了采用Poisson分布作为债务人违约事件分布的近似,会导致CreditRisk+模型计算出来的经济资本高估贷款组合的实际风险水平;然后以债务人违约事件服从两点分布并采用蒙特卡罗模拟计算出来的经济资本为参照值,对债务人违约概率的大小与这一近似所引起的经济资本计量误差率进行了敏感性试验,发现为将这一近似所引起的误差率控制在10%的范围内,债务人违约概率的取值不应超过0.2。     

中国城镇居民消费差距的动态演进及分类决定

论文将测量个人收入分配差距的基尼系数方法引入到城镇居民消费差距的测定中。采用1992-2008年我国城镇居民各收入分组的消费数据,计算了食品、衣着、家庭设备用品及服务、医疗保健、交通通讯、文教娱乐、居住七类消费分项指标的差距及其对总消费差距的贡献,并通过反事实方法模拟分析分项指标对总体消费差异的影响。研究发现:第一,城镇居民消费差距与收入差距保持同步的发展趋势,但消费基尼系数一般小于同期收入基尼系数;第二,尽管恩格尔系数的持续下降一直成为平抑居民消费差距的最重要因素,但其对总体差距的贡献程度呈逐步弱化态势;第三,交通通讯和文教娱乐消费,尤其是前者,已逐步成为影响居民总体消费差距的重要力量;第四,虽然居民家庭设备消费差距一直高居不下,但是其对总体消费差距影响程度呈现出逐步弱化趋向。     

服务产品价格的范围与振荡收敛性研究

服务提供商占有服务创造的价值的问题必然涉及到对服务产品的定价。通过使用价格和服务量共同来描述服务价值的创造与分配,用服务产品的价格的确定来实现价值的分配,用不同的价格决定权和博弈顺序来确定服务产品的价格范围,然后寻求一种服务产品价格的振荡系统,使得服务产品的价格最终收敛于总价值创造最高的价格。     

代理人间具有竞争关系的薪酬激励机制设计

销售系统中存在着典型的信息不对称情况:委托人(公司)对代理人(销售人员)的努力程度具有不对称信息,委托人不能观测到代理人努力程度,因而常根据销售业绩来制定薪酬激励机制.本文研究销售系统中具有多个代理人且代理人之间存在竞争关系的委托代理问题.在假设市场最终需求对努力水平敏感,且某代理人努力水平提高时,他可以在开拓市场的同时,吸引对方顾客的条件下,建立了具有多代理人且代理人间存在竞争的委托代理模型.得到当努力成本、风险规避度、产出不确定性越大,代理人的风险分担越小,利润提成越低,越倾向于取得固定工资;竞争程度越高,代理人的努力程度也随之提高;利用代理人之间的竞争可以使委托人获利等结论.     

数据驱动下收货方质量偏好与电商配送服务质量优化

针对"互联网+大数据"优化电商配送服务质量问题,明确不同收货方的质量需求稳定性,引导电商根据收货方不同质量敏感性提供相对精准服务,提升配送服务质量。模拟投票结果的形成过程聚类得到收货方对服务质量偏好的记忆性特征：（1）"无记忆"型收货方;（2）"记忆"型收货方;（3）"不确定"型收货方;（4）收货方总体。进一步推导不同规划类型求解空间,设计得到"无记忆"型收货方动态规划精确求解方法,及其他三种类型近似求解粒子群算法。研究过程中,配送资源质量感知度被嵌入到模型约束;"无记忆"型收货方的质量需求规划问题转化为零库存策略最优解问题,进而证明存在精确解;"记忆"型收货方呈现出对质量感知的累积;"不确定"型收货方模型通过赋值即可得总体收货方表达式。结果表明：数据驱动研究框架借助大数据资源,使得电商更易通过收货方的质量偏好设计更加匹配的配送方案;不确定服务需求得到有效满足,投入成本的利用率更高;通过特征分类的方式,尽可能地抽取能够精确最优化的部分,缩小NP范围,提高整体求解的精确度。     

Pollutant Ground Concentrations of Nonneutrally Buoyant Particles

A methodology is suggested for the estimation of the mass density and the cumulative ground deposition of a nonvolatile, nonneutrally buoyant, air pollutant (liquid or solid) released from a polluted column (following an explosion caused during routine operation in, e.g., the chemical industry or due to any kind of hostile act) and deposited on the ground via gravitational settling. In many cases, the deposited mass due to gravitational settling constitutes a significant fraction of the original inventory released from the source. Implementation of the methodology in preliminary risk assessments can serve as an efficient tool for emergency planning for both immediate and long‐term measures such as evacuation and decontamination. The methodology considers, inter alia, an estimation of the critical particle diameter, particle size, and mass distributions along the polluted column. This methodology was developed to apply in rural regions since proper application of relevant meteorological input data can be accomplished mainly for such areas.     

工程质量政府监督多层次利益分配与激励协同机制探究

The implementation of the government supervision of the quality of the project is an international practice. The basic form of government supervision of engineering quality is government supervision on the quality behavior of the engineering main bodies and its results by the competent government department entrusted. Its essence is a dual principal-agent process. The frequent accidents of the engineering quality reflect the loss and failure of the government law enforcement supervision of the engineering quality to some extent. Its root lies in the lack of endogenous power in the law enforcement supervision of the project quality government supervisors in the law enforcement supervision. Therefore, the incentive coordination mechanism of the government supervision based on the multi-level interest distribution is worth explored. In views of the multi-level management system which is formed by the government departments, government quality supervision organizations, quality supervision team (or group) for the government supervision of engineering quality. The benefit distribution function between every party is constructed, and the game model of the multi-level incentive and coordination for the government supervision in engineering quality is built. To solve and deduce from the first stage of the cooperative game and the second stage of the non-cooperative game, the cooperative game can obtain the reward coefficient: . The coordination degree of the best effort can be obtained by the non cooperative game. The result shows that:the coordination degree of government engineering quality supervisor is related to the coordination costs, and had nothing to do with fixed costs. The benefit distribution coefficient not only depends on the efforts of the quality government monitors, but also on the efficiency of other parties' efforts. The quality supervisors of the project will also focus on the coordination with other parties when enhancing their management capabilities to improve the overall performance of project quality government supervision. The strategy of the incentive coordination mechanism for the supervision and cooperation of the project quality government is:the government quality supervision team should set up the supervisory team properly, improve the coordination efficiency and reduce the cost of supervision-coordination to maximize the value of self-motivation. Quality supervision team (or group) should establish the partnership to improve the coordination efficiency for achieving the maximization of their own incentive value.The model and conclusion of incentive synergy mechanism based on multi-level benefit allocation mechanism are researched. It can provide theoretical support and practice reference for the market governance and supervision of general public goods.     

广义ATO下基于多种团购模型的供应链协调

针对由多个供应商、单个制造商和零售商所组成的广义按订单装配式供应链,在上游多个供应商不确定的零部件（或商品）供应以及下游客户不确定的需求的环境下,首先分析基本模型中团购前后的零售商和制造商的利润变化,然后提出了团购的标准模型和协调模型,并比较三种不同的团购模型对各成员以及全局供应链绩效的影响。通过数学推导证明和仿真数据算例分析,结果表明：零售商自发的团购基本模型总是对制造商有利,而对零售商的好处是有限的;由制造商主导的团购标准模型在满足一定条件时是优于团购基本模型的,但有使得零售商甚至制造商自身受到损失的可能;而集中决策下的团购协调模型能够提升全局供应链的期望利润,实现渠道的帕累托改善,但协调的效果会受到团购客户组成结构的限制。     

交易费用计量与广义价格

分析了新制度经济学家在交易费用计量研究上出现难题的原因,找到了一个可行的交易费用计量路径,指出了交易费用计量与广义价格的关系,提出了交易费用计量问题的解决办法和"交易费用的有机构成"概念。