商业银行操作风险的统计特征及其资本模拟实证

本文通过对近年我国发生的商业银行操作风险事件的统计,得出了我国商业银行操作风险的重要特征,包括:内部欺诈及其导致的操作风险损失所占比重最大,操作风险资本的顺经济周期效应表现明显,欺诈性操作风险与地区法治水平呈现背离走势等.在对操作风险事件各损失类型发生的频率和损失金额分布进行拟合的基础上,运用蒙特卡洛模拟方法对我国商业银行操作风险资本进行10 231次模拟计算,结果显示,在置信水平为99.9%的条件下,我国整个商业银行业在拨备了3 163亿元的操作风险资本以后,大致可以抵御150年所遭遇的全部操作风险损失带来的冲击.     

经济增长与收入差距:一个基于主体的经济模拟途径

本文提供了一个基于主体的转轨经济模型,用于分析经济转轨过程中经济增长和收入差距的动态关联性.模拟实验结果表明:随着经济的持续增长,收入差距经历一个先扩大后缩小的过程;实施适度的累进税政策会在缩小收入差距的同时,促进经济高速增长.     

HPU褐煤气流干燥的数值模拟研究

依托褐煤热压提质(HPU)中试线,基于计算机数值模拟构建褐煤气流干燥三维模型,研究了气流干燥管内气固两相流的运动特性,分析了褐煤颗粒在干燥管中的热交换过程,总结了气流干燥系统的运行规律,得到了各时间点下气固两相流的温度场、压力场、速度场分布以及褐煤颗粒的运动轨迹。通过改变操作参数,优化了气流干燥系统的管道设计,得到了以不同颗粒质量流量、入口烟气温度为起始条件下褐煤颗粒的最终干燥水分,为HPU技术的进一步开发提供了理论依据,也对工业生产具有一定的指导意义。     

Flexsim在活塞连杆分装线中的仿真应用研究

应用Flexsim仿真软件对装配生产线进行分析研究,以一条活塞连杆分装线为例。利用Flexsim软件建立仿真模型,收集物流信息并设置相关参数,通过三维建模软件运行观察统计数据的变化,然后在对其进行优化和重新调试,最终目的是使物流生产线布局更加合理。     

数值波浪水槽的边界元数值模拟

本文用边界元法建立了非线性理想数值波浪水槽,求解边界积分方程模拟了波浪的生成、传播、变形,并用线性元法对积分方程进行离散求解,得到波浪水槽不同时刻整个波浪场的状态。对计算值和理论解进行了验证,结果表明二者吻合较好,为后续在波浪水槽中模拟极端波浪奠定了基础。     

STEWART通用平台的设计与研究

本文以国内企业、科研院所对6自由度仿真平台的实际需求为出发点,设计一种多学科通用的6自由度stewart平台。本文利用三维设计软件PRO/E,对该平台进行了三维虚拟样机的设计,并利用PRO/E和MATLAB对6自由度平台进行了机构运动学仿真分析。分析结果表明该虚拟样机达到了预期的设计目标可以满足航空、航海、交通等领域中小型仿真平台的设计的实际需要。     

On Measuring Inequity in Taxation Among Groups of Income Units

In this paper a method for analyzing the fairness of an income tax system when portioning the population into heterogeneous socio‐economic groups is proposed. The equitable tax system is defined by the three axioms given by Kakwani and Lambert in 1998 and, as they suggest, inequity is evaluated by the negative influences on the redistributive effect of the tax associated with axiom violations. Measuring the extent of axiom violations among households belonging to different groups, we improve the Kakwani and Lambert analysis, which is able to detect only the existence of overall inequities. We propose a method that allows for evaluation of the contribution of each group to the overall inequity. Moreover, the adopted method enables disentangling the directions of violations. The obtained results allow us to judge how axiom violations discriminate among groups in their reciprocal relationships. An application to the 2010 Italian income tax reveals that inequities disproportionately penalize the household typologies. More precisely, unfairness affects households with children more severely than the other household groups.     

基于投资时钟原理的中国大类资产配置研究与实证

经典的美林证券投资时钟原理可以将实体经济增长与大类资产配置联系起来,利用经济增长和通货膨胀预期指标对经济周期进行划分,并在经济周期各个阶段提高该阶段内收益较高的资产配比,能极大提升整体资产组合的长期收益率。运用该理论对我国的大类资产配置进行实证研究,分析我国宏观经济指标与成熟经济体的不同,指出投资时钟原理在我国实践应用中采取国家统计局的领先和滞后指数来划分经济周期更符合我国经济的特点。根据这一经济周期划分结果考察我国四类资产(现金、债券、商品、股票)在经济周期不同阶段的表现,得出我国经济同样具有周期轮动性,利用投资时钟原理和经过蒙特卡洛模拟优化后均值方差模型,可以优化资产配置,取得较高收益和较低最大回撤的结论。     

Culture's Influence on Business Negotiations in Four Countries

The usefulness of a theoretical model of the determinants of business negotiation outcomes is tested in a simulation with business people from four countries (the United States, Japan, Brazil and Spain). The article is an extension of Graham, Mintu, and Rodgers (1994), and also directly tests Hofstede's and Hall's theories of culture. A problem-solving approach results in higher negotiation outcomes for Americans when their partners reciprocate. Role (buyer or seller) is the key determinant of profits for Japanese negotiations; that is, buyers do better than sellers. For the Spanish negotiators, a problem-solving approach actually yielded lower profits. For the Brazilians, interpersonal attractiveness lead to higher partner satisfaction.