基于信息的最优指令提交策略实证分析

一、引言 交易者进行交易的目的是使自己的预期收益最大化,所以交易时首要问题是选择一个对其来说是最优的指令提交,交易者在进行指令提交时面临最优指令提交策略的选择问题.     

基于随机最优控制的缴费确定型养老基金资产配置策略

本文研究了缴费确定型养老基金的最优资产配置问题.假设在金融市场中包含无风险资产和风险资产,且养老基金经理具有损失厌恶的行为特质.最大化投资者最终财富值超过参考点部分的期望效用,通过鞅方法求解出最优投资策略以及最终财富的解析解,得出相关结论,为我国养老基金资产配置提供参考.     

基于协整统计套利方法的沪深300股指期货的期现套利实证研究

文章运用协整理论检验上证50ETF与沪深300股指期货之间的长期均衡关系,确定了套利交易期望收益最大化的最优触发点,确定了套利边界,从而构建最优的统计套利策略。对样本期和样本外数据利用前文所构建的最优套利策略来进行模拟交易,检验其可行性。     

基于RAROC的保险基金投资策略研究

本文针对当前典型的保险基金投资策略模型的不足,结合当前金融风险管理和金融监管的主流方法,建立了同时考虑保费收取与赔付支出、破产概率、VaR限额的RAROC最大化模型,得到了最优的投资策略.在此基础上进行案例分析,讨论了索赔强度、保费收取率、个体赔付额度等因素的变化对该策略的影响.研究发现,保险公司必须根据承保状况及时调...     

基于信息的最优指令提交策略实证分析

一、引言交易者进行交易的目的是使自己的预期收益最大化,所以交易时首要问题是选择一个对其来说是最优的指令提交,交易者在进行指令提交时面临最优指令提交策略的选择问题。目前,我国学者的关于指令提交策略的相关研究相对较少。冷劲松(2003)对指令驱动市场中委托指令的收益风     

库存业务反向拍卖下的企业生产策略研究

在单周期市场需求中,生产厂商如何通过反向拍卖方式向多家仓储企业拍买其库存业务,从而确定其最优生产产量以最大化自己收益的问题值得深入研究。文章在分析问题特点基础上,运用反向拍卖和动态博弈理论建立其数学模型,然后进行解算,并分析最优策略结果。     

基于CVar的风险调整资本收益率下的最优再保险策略

文章通过最优化保险人的风险调整资本收益率,得到最优的再保险策略。分析成数再保险时,得到结论为:风险全部自留可以使保险人的风险调整资本收益率最大化;分析停止损失再保险时,得到的结论为:存在一个最优的自留额使得保险人的风险调整资本收益率最大。     

库存业务反向拍卖下的企业生产策略研究

在单周期市场需求中,生产厂商如何通过反向拍卖方式向多家仓储企业拍买其库存业务,从而确定其最优生产产量以最大化自己收益的问题值得深入研究。文章在分析问题特点基础上,运用反向拍卖和动态博弈理论建立其数学模型,然后进行解算,并分析最优策略结果。     

基于CVar的风险调整资本收益率下的最优再保险策略

文章通过最优化保险人的风险调整资本收益率,得到最优的再保险策略。分析成数再保险时,得到结论为:风险全部自留可以使保险人的风险调整资本收益率最大化;分析停止损失再保险时,得到的结论为:存在一个最优的自留额使得保险人的风险调整资本收益率最大。     

论技术创新的最优市场结构 ——关于熊彼特猜想的研究

当技术创新的市场收益率随着参与技术创新企业数量的增加而最终递减时,存在一个可以导致技术创新企业创新收益最大化的最优市场结构即最优技术创新企业的数量。如果企业技术创新存在边际收益递减现象,则存在一个导致技术创新投入最大化的最优市场结构,这一最优市场结构将因技术创新风险的提高而降低。技术创新收益最大化的市场结构与技术创新投入最大化的市场结构之间构成了能够有效促进技术创新的最优市场结构区间。     

Markov-modulated diffusion risk models

In this paper we consider Markov-modulated diffusion risk reserve processes. Using diffusion approximation we show the relation to classical Markov-modulated risk reserve processes. In particular we derive a representation for the adjustment coefficient and prove some comparison results. Among others we show that increasing the volatility of the diffusion increases the probability of ruin.     

Jump Spillover in International Equity Markets

In this article we study jump spillover effects between a numberof country equity indexes. In order to identify the latent historicaljumps of each index, we use a Bayesian approach to estimatea jump-diffusion model on each index. We look at the simultaneousjump intensities of pairs of countries and the probabilitiesthat jumps in large countries cause jumps or unusually largereturns in other countries. In all cases, we find significantevidence of jump spillover. In addition, we find that jump spilloverseems to be particularly large between countries that belongto the same regions and have similar industry structures, whereas,interestingly, the sample correlations between the countrieshave difficulties in capturing the jump spillover effects.     

Machine learning for quantitative finance: fast derivative pricing,hedging and fitting

In this paper, we show how we can deploy machine learning techniques in the context of traditional quant problems. We illustrate that for many classical problems, we can arrive at speed-ups of several orders of magnitude by deploying machine learning techniques based on Gaussian process regression. The price we have to pay for this extra speed is some loss of accuracy. However, we show that this reduced accuracy is often well within reasonable limits and hence very acceptable from a practical point of view. The concrete examples concern fitting and estimation. In the fitting context, we fit sophisticated Greek profiles and summarize implied volatility surfaces. In the estimation context, we reduce computation times for the calculation of vanilla option values under advanced models, the pricing of American options and the pricing of exotic options under models beyond the Black–Scholes setting.     

Modelling failure rates with machine-learning models: Evidence from a panel of UK firms

In this study, we investigate the ability of machine-learning techniques to predict firm failures and we compare them against alternatives. Using data on business and financial risks of UK firms over 1994–2019, we document that machine-learning models are systematically more accurate than a discrete hazard benchmark. We conclude that the random forest model outperforms other models in failure prediction. In addition, we show that the improved predictive power of the random forest model relative to its counterparts persists when we consider extreme economic events as well as firm and industry heterogeneity. Finally, we find that financial factors affect failure probabilities.     

Pricing vulnerable options with jump risk and liquidity risk

Review of Derivatives Research - In this paper, we consider vulnerable options with jump risk and liquidity risk. In the proposed framework, we allow discontinuous changes in the information...     

Understanding the Components of Bank Failure Resolution Costs

In this paper, we demonstrate how the resolution costs associated with over 1,000 bank failures from 1986 to 2007 are distributed across the method of resolution, bank size, regulatory periods, and the existence of fraud. In addition, we document the time spent in the resolution by the resolution method and legislative period. Finally, we show how various classes of claimants against the failed banks bear the costs of the failure.     

基于资本配置效率的资本市场发展与经济增长——以汽车制造业上市公司为例的实证研究

研究资本市场发展与经济增长的关系,是揭示资本市场对资本配置效率的一个重要研究视角。以汽车制造业上市公司为例,对投资增长与资本回报率之间关系的实证检验,发现我国股票市场的资本配置效率低下,并导致其促进经济增长的功能微弱。造成我国资本市场资本配置效率低下的直接原因是上市公司绩效的非稳定性和经营非持续性。因此,要实现我国资本市场引导资金流向、优化资源配置,促进经济增长作用的功能,必须提高上市公司业绩稳定性和经营持续性。     

Application of Risk Theory to Interpretation of Stochastic Cash-Flow-Testing Results

Abstract

In this paper we consider the Sparre Andersen insurance risk model. Three cases are discussed: the ordinary renewal risk process, stationary renewal risk process, and s-delayed renewal risk process. In the first part of the paper we study the joint distribution of surplus immediately before and at ruin under the renewal insurance risk model. By constructing an exponential martingale, we obtain Lundberg-type upper bounds for the joint distribution. Consequently we obtain bounds for the distribution of the deficit at ruin and ruin probability. In the second part of the paper, we consider the special case of phase-type claims and rederive the closed-form expression for the distribution of the severity of ruin, obtained by Drekic et al. (2003, 2004). Finally, we present some numerical results to illustrate the tightness of the bounds obtained in this paper.     

Modelling critical illness claim diagnosis rates I: methodology

In a series of two papers, this paper and the one by Ozkok et al. (Modelling critical illness claim diagnosis rates II: results), we develop statistical models to be used as a framework for estimating, and graduating, Critical Illness (CI) insurance diagnosis rates. We use UK data for 1999–2005 supplied by the Continuous Mortality Investigation (CMI) to illustrate their use. In this paper, we set out the basic methodology. In particular, we set out some models, we describe the data available to us and we discuss the statistical distribution of estimators proposed for CI diagnosis inception rates. A feature of CI insurance is the delay, on average about 6 months but in some cases much longer, between the diagnosis of an illness and the settlement of the subsequent claim. Modelling this delay, the so-called Claim Delay Distribution, is a necessary first step in the estimation of the claim diagnosis rates and this is discussed in the present paper. In the subsequent paper, we derive and discuss diagnosis rates for CI claims from ‘all causes’ and also from specific causes.     

Informational asymmetries and a multiplier effect on price correlation and trading

Summary In this paper we show how rational expectations equilibrium models with asymmetric information, without market frictions, can generate extreme comovements in asset prices. Information asymmetries generate a multiplier effect on price correlation - a World Bank definition of financial contagion. This is shown in two frameworks: perfect and imperfect competition. In the first framework, we also model a version of home-bias, showing why information sharing explains crosscountry capital flows. In the second framework, we provide closed form solutions for a model with multiple insiders and assets that generalize the ideas in [10].