RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES

We propose a stable nonparametric algorithm for the calibration of “top‐down” pricing models for portfolio credit derivatives: given a set of observations of market spreads for collateralized debt obligation (CDO) tranches, we construct a risk‐neutral default intensity process for the portfolio underlying the CDO which matches these observations, by looking for the risk‐neutral loss process “closest” to a prior loss process, verifying the calibration constraints. We formalize the problem in terms of minimization of relative entropy with respect to the prior under calibration constraints and use convex duality methods to solve the problem: the dual problem is shown to be an intensity control problem, characterized in terms of a Hamilton–Jacobi system of differential equations, for which we present an analytical solution. Given a set of observed CDO tranche spreads, our method allows to construct a default intensity process which leads to tranche spreads consistent with the observations. We illustrate our method on ITRAXX index data: our results reveal strong evidence for the dependence of loss transitions rates on the previous number of defaults, and offer quantitative evidence for contagion effects in the (risk‐neutral) loss process.     

基于物质流分析的区域循环经济发展动态研究——以山东省为例

运用物质流分析(MFA)方法,对山东省生态经济系统1996-2010期间的物质输入与输出进行系统分析,揭示了山东省经济发展与环境压力的关系.研究结果印证了区域资源综合利用效率和废弃物输出效率的提高,反映出近年来山东省大力发展循环经济,调结构、转方式效果的显著性.     

自主研发、技术引进与能源强度——基于中国地区工业的实证分析

本文采用2005-2007年中国30个地区工业面板数据，将地区工业的研发总支出划分为自主研发、国外技术引进和国内技术转移三个部分，在估算自主研发存量和技术引进存量的基础上，实证检验了自主研发、技术引进对地区工业能源消耗强度的影响。研究表明，自主研发、技术引进对地区工业能源强度的影响存在差异：自主研发对工业能源强度有显著负效应；国外技术引进对工业能源强度有显著正效应；国内技术购买对工业能源强度没有显著影响。研究还发现，国内技术购买并没有通过R＆D途径促进地区工业能源强度的下降。     

Book Reviews

Water is a human right and it is essential to sustain life and livelihoods, as well as the health and happiness of tourists. This paper examines a destination with ample rain, but rapid and unchecked tourism development: Bali, Indonesia. The mismanagement of water resources means underground supplies are polluted and local people suffer from water scarcity. A multi-method approach with the various stakeholders was used to develop a stakeholder map that identifies duty bearers and rights holders. The government is the primary legal duty bearer to provide communities with water, but companies also have unique responsibilities. This paper examines why tourism businesses need to conduct human rights impact assessments. Taking due diligence for human rights can be seen as a business opportunity, leading to reduced operating costs and increased reputational strength. The benefits and challenges for business are explored.     

案例教学知识转移机理研究

随着管理学科的不断发展，管理知识的情境性与实践性日益突显，对管理学科的教学提出了更高的要求。作为一种基于案例创设情境，鼓励学生主动实践、互动讨论的教学方法，案例教学法逐渐成为管理学科教学中不可或缺的方法。本文以高校管理学科案例教学为研究对象，通过结构方程模型的实证研究方法探究了案例教学特征通过影响学习者行为从而促进管理知识转移效果的作用机理。实证研究结果表明，案例教学的情境模拟性特征既能够直接促进管理知识的转移，同时也能通过提升学习意愿间接提升管理知识的学习效果，而师生平等性特征则通过影响学〉-7意愿影响管理知识的转移效果，为高校管理学科案例教学的有效开展提供了新的理论依据。     

基于IPEA方程思想的江苏省节能潜力分析

基于IPEA方程思想,对江苏省能源消耗进行了历史回顾,预测了2010年、2015年和2020年的江苏省能源消耗总量;通过产业结构演进—能源消费和产业结构演进—单位GDP能耗两个模型,分析了1985年以来江苏省产业结构演进与能源消费和单位GDP能耗的关系,结果显示,产业结构演进与一次能源消费总量和单位GDP能耗之间存在着密切的关系,通过IPEA方程分析和预测可知,在按GDP年递增率0.10的情况下,如果单位GDP能耗递减率低于0.0909,能源消耗量会增加。在今后的发展中,江苏省应继续通过一系列产业结构调整和优化措施,降低能源消耗。     

价格因素对我国地区能源强度的影响

本文从能源价格和劳动力价格两个方面进一步分析价格要素对于能源强度的作用机理,分析了我国能源价格体系存在的问题,并针对存在的问题提出了相关政策建议,为更有效地控制能源强度提供一定的帮助,弥补了现有能源强度影响因素理论研究的不足。     

The Impact of Involvement,Perceived Moral Intensity,and Satisfaction upon Trust in Non-Profit Relational Contexts: Processes and Outcomes

ABSTRACT

This study applies the basic concepts of relationship marketing, including involvement, knowledge, moral intensity, satisfaction and trust in the non-profit environment, specifically in a university setting. These relational concepts are employed in the development of a relational model used in an exploratory investigation. Results indicate significant relationships between the constructs, emphasizing the importance of relationship management for non-profit and public sector entities. Results, managerial implications and research implications are included.     

一种基于有限元计算的半挂车强度分析

用有限元计算方法对某型半挂车车架的强度进行了分析计算。通过有限元仿真计算,提出在进行局部加强的同时,采用细而密的横梁结构的优化方案,解决了原来结构的应力集中现象,确保半挂车的结构强度。     

中国工业行业能源强度影响因素的实证分析

利用中国31个工业行业1998—2004年面板数据,采用分层聚类方法,按年平均能源强度将31个工业行业分为高能源强度行业和低能源强度行业,并对全工业行业、高能源强度行业和低能源强度行业能源强度的影响因素进行了实证分析。研究结果表明,能源价格上涨对提高工业行业的能源利用效率有显著的促进作用;FDI进入程度的增大提高了工业行业尤其是高能源强度行业的能源强度;进、出口商品结构变化对工业行业能源强度没有显著影响;工业内部的行业结构变化对全工业行业和低能源强度行业的能源强度有显著负的影响,对高能源强度行业没有显著影响;R&D投资强度的增加提高了工业行业特别是高能源强度行业的能源强度。