基于截尾分布理论预测开放式基金大额赎回量

提出了开放式基金的巨额赎回量和大额赎回量的概念，将复合泊阿松分布和截尾分布理论运用在大额赎回量概率计算之中，得到了计算公式。由于开放式基金流动性风险主要来自于大额赎回量，因此使用截尾分布方法预测未来近期的大额赎回量更合适。推导出了正态分布下大额赎回量的期望和方差计算公式。为基金管理人合理规避这种流动性风险提供了一种预测方法。     

DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS

Recent advances in the theory of credit risk allow the use of standard term structure machinery for default risk modeling and estimation. The empirical literature in this area often interprets the drift adjustments of the default intensity's diffusion state variables as the only default risk premium. We show that this interpretation implies a restriction on the form of possible default risk premia, which can be justified through exact and approximate notions of "diversifiable default risk." The equivalence between the empirical and martingale default intensities that follows from diversifiable default risk greatly facilitates the pricing and management of credit risk. We emphasize that this is not an equivalence in distribution, and illustrate its importance using credit spread dynamics estimated in Duffee (1999) . We also argue that the assumption of diversifiability is implicitly used in certain existing models of mortgage-backed securities.     

引起承包商成本超额的不可抗力风险因素研究

本文介绍了引起承包商成本超额的不可抗力风险因素，并对此进行具体分析，指出了各风险因素与成本超额的关系，为承包商进行风险控制了理论指导。     

工程项目的风险管理研究

介绍了工程项目存在的主要风险类型,阐述了工程项目的风险管理过程,并结合我国的实际提出了工程项目风险管理的对策。     

物流银行——中小企业融资新途径

中小企业一直存在融资难的问题,本文介绍一项金融创新--＂物流银行＂质押贷款业务,该业务的推出成功地解决了这一问题.但在实际运作中仍存在很多问题,而且要注意风险防范,本文对此给出了建议.     

危险品运输及其决策支持系统研究

参考了20世纪80年代以来有关危险品运输风险分析与决策支持系统的主要研究文献,总结和介绍了风险评估的标准、决策支持系统的主要框架,以及GIS等现代信息技术在危险品运输管理中的应用。     

银行不良贷款违约损失率结构特征研究

本文对中国银行业面临的信用风险违约损失率(LGD)展开研究,以温州某商业银行不良贷款数据为样本,通过描述性统计,对LGD的结构特征:信用风险暴露规模特征、期限特征、地域特征以及担保特征等进行了详细分析。结果表明LGD与风险暴露规模呈负相关,LGD与贷款期限呈正相关,不同地域、不同担保方式的违约贷款其LGD差异性显著。以上这些结论可为商业银行信用风险管理、信贷投放导向以及信用风险监管提供现实帮助。     

Risky allocations from a risk-neutral informed principal

We study a model of informed principal with private values where the principal is risk neutral and the agent is risk averse. We show that the principal, regardless of her type, gains by not revealing her type to the agent through the contract offer. The equilibrium allocation transfers some ex-ante risk from one type of agent to the other. Despite the increase in the principal's surplus, allocative efficiency does not necessarily improve. Received: 26 January 2004, Accepted: 5 May 2005 JEL Classification: C72, D23, D82 I would like to thank my supervisor Leonardo Felli for suggestions and Leo Ferraris for helpful discussions. All remainig errors are my own.     

Introducing Environmental Variables in Nonparametric Frontier Models: a Probabilistic Approach

This paper proposes a general formulation of a nonparametric frontier model introducing external environmental factors that might influence the production process but are neither inputs nor outputs under the control of the producer. A representation is proposed in terms of a probabilistic model which defines the data generating process. Our approach extends the basic ideas from Cazals et al. (2002) to the full multivariate case. We introduce the concepts of conditional efficiency measure and of conditional efficiency measure of order-m. Afterwards we suggest a practical way for computing the nonparametric estimators. Finally, a simple methodology to investigate the influence of these external factors on the production process is proposed. Numerical illustrations through some simulated examples and through a real data set on Mutual Funds show the usefulness of the approach.JEL Classification: C13, C14, D20