Backtesting Value-at-Risk: A Duration-Based Approach

Financial risk model evaluation or backtesting is a key partof the internal model's approach to market risk management aslaid out by the Basle Committee on Banking Supervision. However,existing backtesting methods have relatively low power in realisticsmall sample settings. Our contribution is the exploration ofnew tools for backtesting based on the duration of days betweenthe violations of the Value-at-Risk. Our Monte Carlo resultsshow that in realistic situations, the new duration-based testshave considerably better power properties than the previouslysuggested tests.     

Burn or bury? A social cost comparison of final waste disposal methods

This paper evaluates the two well-known final waste disposal methods, incineration and landfilling. In particular we compare the social cost of two best-available technologies using a point estimate based on private and environmental cost data for the Netherlands. Not only does our comparison allow for Waste-to-Energy incineration plants but for landfills as well. The data provide support for the widespread policy preference for incineration over landfilling only if the analysis is restricted to environmental costs alone and includes savings of both energy and material recovery. Gross private costs, however, are so much higher for incineration, that landfilling is the social cost minimizing option at the margin even in a densely populated country such as the Netherlands. Furthermore, we show that our result generalizes to other European countries and probably to the USA. Implications for waste policy are discussed as well. Proper treatment of and energy recovery from landfills seem to be the most important targets for waste policy. Finally, WTE plants are a very expensive way to save on climate change emissions.     

基于模糊评判的银行大客户的识别与评价

本文构建了银行客户等级的评价指标体系,采用层次分析法和模糊综合评价方法确定各因素的权重,对客户进行综合评判。并且结合对银行黄金客户群体的综合评判来调整银行的经营策略。     

山东省鸟类资源评价及保护建议

讨论了山东省鸟类资源的种类组成、生态类型及地理分布,评价了鸟类资源的特点,指出了资源利用中存在的问题并提出了相应的保护建议。     

电网企业编制公司发展规划的几个关键问题

讨论了公司发展规划的工作过程,提出了双闭环优化的思路,分析了规划工作内容间及其与相关工作的逻辑关系,并且就规划目标的编制方法和规划方案的经济评价方法进行了讨论。     

大亚湾核电站供应商的选择和评价

供应商的选择和评价是供应商管理的重要环节。供应商分级管理的目的是将电站有限的资源集中用于较重要的物项或服务上,分级的基础是物项或服务的质量分级和质保分级。对不同等级的供应商采用不同的选择方法,潜在供应商要经过资格预审、源地评审过程才能成为公司的合格供应商。对合格供应商提供的物项或服务的质量需进行表现评价,根据评价结果要求供应商进行改进或对不合格的供应商进行淘汰,从而不断提高供应商提供的物项或服务的质量水平。     

中国人口健康基本保障方案的评价——农村初级卫生保健的经验和教训

初级卫生保健是评价国家人口健康基本保障最重要的内容之一。建国以来我国初级卫生保健取得了卓越的成绩。伴随着人口转变过程 ,建立在原有计划经济体制下的初级卫生保健系统发生了较大的变化。以农村初级卫生保健为重点 ,探讨中国人口健康基本保障方案在提高中国人口健康水平中的作用和变化 ,反思和总结我国初级卫生保健实施过程中的经验和教训 ,为改善我国卫生保健体制提供更广阔的视角。     

How to measure mutual fund performance: economic versus statistical relevance

In the present paper a comprehensive assessment of existing mutual fund performance models is presented. Using a survivor‐bias free database of all US mutual funds, we explore the added value of introducing extra variables such as size, book‐to‐market, momentum and a bond index. In addition to that we evaluate the use of introducing time‐variation in betas and alpha. The search for the most suitable model to measure mutual fund performance will be addressed along two lines. First, we are interested in the statistical significance of adding more factors to the single factor model. Second, we focus on the economic importance of more elaborate model specifications. The added value of the present study lies both in the step‐wise process of identifying relevant factors, and the use of a rich US mutual fund database that was recently released by the Center for Research in Security Prices.     

Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi‐sector Managed Funds

Using a sample of Australian Multi-sector trusts we examine selectivity and market timing performance and extend the analysis to include the relatively new measure of volatility timing. This is of particular relevance to our data set, as high levels of volatility persistence are prevalent in Australia. In addition we consider the stability, asymmetry and seasonality of the various performance and risk measures. A survivorship adjustment procedure is also employed in order to assess the impact of survivorship on selectivity, market timing and volatility timing performance.     

完善我国流通过程评价指标体系的建议

现行流通过程指标体系存在的主要问题是:指标体系不完善;统计制度不健全,设计方法落后;监测体系不完善;与国际统计标准接轨程度低;需要按照与国际惯例接轨的要求,改革与完善流通过程评价指标体系;用新理念、新技术改造流通领域,以信息化带动现代化,实现流通创新;大力推进流通统计制度创新,建立符合国际惯例、适应市场经济要求的流通信息统计机制;加强流通过程评价指标运行的监控,完善多层次的设计和监测体系。