A semi-parametric approach to estimating the operational risk and Expected Shortfall

In this article, we propose improvements to the peak-over-threshold (POT) method and apply this improved method for modelling US business operational losses and estimating operational risks (ORs). In the widely used traditional POT method, the generalized Pareto distribution (GPD) is fitted to severity losses, while an empirical distribution is fitted to small to medium losses. Then, the Expected Loss and the 99.9% operational value-at-risk (OpVaR) are estimated. Additionally, the Expected Shortfall (ES) – a coherent risk measure – is estimated in this article as an alternative to OpVaR. These risk measures constitute the levels of regulatory and economic capitals to cover risks. With the improved POT method, the risks can be estimated more accurately than with the traditional POT method. The results indicate that the OpVaR are much lower than the ES and that the larger the tail losses the greater the difference between these two risk measures. Our findings imply that the ES would provide higher levels of capitals to cover risks than would the OpVaR, particularly during crises, and they have implications for the efficient OR management and regulators.     

The synchronization club: classification of global economic groups by inequality

We find that, from 1970 to 2006, the GDPs of 181 countries are described by a log-normal with a power law tail before 1992, but by a kinked power law distribution after 1992. In the 15 years from 1992 to 2006, there are two obvious scale-free zones for annual GDPs, ranked from the largest to smallest. If the countries in each scaling region are regarded as a group, the world is divided into two groups, each with a roughly stable number of members. The power exponents of the two groups are different and hence lead to different inequalities. Therefore, the basis for classification is the macro-consistent inequality within each group. The wealth grows in a synchronous nonlinear manner within groups that have a stable wealth distribution and rank structure. If each group is considered as a club, we name it a ‘synchronization club’.     

Economic models based on Pareto and Gamma random variables

The distribution of products of random variables arises explicitly in economics and related areas. This has increased the need to have available the widest possible range of statistical results on products of random variables. In this note, the exact distribution of the product XY is derived when X and Y are independent random variables and arise from the two most applied models for economic data. The associated estimation procedures and percentage points are provided.     

我国城市规模分布Pareto指数测算及影响因素分析

This paper estimates the Pareto exponent of the city size (population size and economy size) distribution, all provinces, and three regions in China in 1997, 2000 and 2003 by OLS, comparatively analyzes the Pareto exponent cross section and times, and empirically analyzes the factors which impacts on the Pareto exponents of provinces. Our analyses show that the size distributions of cities in China follow the Pareto distribution and are of structural features. Variations in the value of the Pareto exponent of city population size distribution are significantly explained by industrialization, industry structure and regional transportation infrastructure, and variations in the value the Pareto exponents of city economy size distribution are significantly explained by industrialization and regional transportation infrastructure. __________ Translated from Shuliang Jingji Jishu Jingji Yanjiu 数量经济技术经济研究 (The Journal of Quantitative & Technical Economics), 2007, (4): 43–52     

Examining the power-law distribution among eWOM communities: a characterisation approach of the Long Tail

Nowadays electronic word-of-mouth (eWOM) communities symbolise a significant source of information that helps customers to make informed purchasing decisions. Through eWOM communities, a great audience of users is able to acquire knowledge from reviews concerning products and services that are less popular to the majority. The Long Tail effect is a manifestation of such redistribution of demand from popular products to niche products. In this paper, a new methodology that mathematically fits the relationship between the power-law distribution and the Long Tail from an eWOM community is developed. In addition, this paper defines a tool for finding niche products inaccessible through conventional channels. The results are consistent in showing that not all the categories fitting a power-law distribution are characterised by the Long Tail phenomenon, and conversely some of those having a Long Tail do not fit a power-law distribution.     

广州流动人口空间分布变化特征及原因分析

流动人口的大量出现是当代中国城市化和现代化进程中的重要事件,对于中国流动人口的研究引起了学界的高度关注。以中国特大城市——广州为例,首先系统分析了广州流动人口近30年空间分布变化规律,发现流动人口总体分布具有近郊区指向、文化程度较高者多集聚于发展新区、产业转型与转移对流动人口职业分布有重要影响、以户籍地为基础的集聚区经济形态已经出现。此外,全球化背景下广州出现了跨国移民聚居区的基本雏形。其次,对其原因进行归纳,包括城市发展格局的演变及产业地域转移、户籍和劳动力二元市场等制度因素及人力和社会资本的拥有状况。     

回归失落的传统:广义虚拟经济理论的政治经济学解读(I)

政治经济学曾经是经济学科的核心,其重要的标志就是强调国家的富强和政府的经济调控职能。然而,在后来的发展历程中,经济学科逐渐分裂为强调归纳和历史研究的政治经济学范式与推崇纯演绎和数学分析的纯经济学范式。前者延续了早期经济学科的政治经济学视角,强调政治对经济发展的影响作用,并进而对制度尤其是文化因素进行了新的考察;而后者则抛弃了早期经济学科的政治经济学,在过分强调模型分析和数学方法的趋势下,逐渐演变成为一门专注于模型分析的纯粹经济学,在越来越脱离政治经济学的同时,也越来越与现实脱节。本文把政治经济学与当今一些中国学者提出的广义虚拟经济理论相联系,从政治经济学发展的角度对广义虚拟经济理论进行解读。本文认为在政治经济学研究缺失的今天,广义虚拟经济理论是对政治经济学的一种回归;其不仅坚持了传统的政治和文化视角,而且通过"制文化权"等理论的提出,对政治经济学理论体系进行了发展和创新。     

The Impact of Power Equality,Income, and the Environment on Human Health: Some Inter‐Country Comparisons

Economic studies on environmental degradation generally have a narrow focus on per capita income as an explanatory variable, and often fail to distinguish among the various types of environmental quality or damage. This paper addresses both problems by examining the effect of relative equality in the distribution of power on environmental outcomes, and making a clear distinction between health‐related environmental outcomes and so‐called ‘environmental amenities,’ only the latter of which should correlate strongly with income. This paper introduces a national index of power equality that is derived from related socioeconomic variables, and studies its effects on individual country achievement in addressing environmental quality and population health. This model is applied to a data set of 180 countries, as well as to subgroups of the entire country set. Employing disability‐adjusted life expectancy and the population child mortality rate as two health proxies, this paper finds that power equality in most cases positively influences population health, and that power equality is in every case no worse and in some cases better than per capita income at explaining population health.     

股票收益率非正态性的蒙特卡罗模拟检验

现实金融数据的分布通常表现为厚尾性和不对称性,因此用正态分布拟合实际金融数据的分布有很大的局限性.文章利用广义双曲线分布的厚尾性和不对称性对1997年1月2日～2003年9月19日的上证综指日收益率分布分别做了正态分布、广义双曲线分布、正态逆高斯分布和双曲线分布的拟合及蒙特卡罗模拟检验,结果表明广义双曲线分布和正态逆高斯分布可以较好地拟合上证综指日收益率分布.另外,文章还建立了一个带噪声干扰的线性系统,对实际的股票收益率并不服从正态分布,而表现出尖峰厚尾的特征做出了一种可能的解释.     

Beliefs and Pareto Efficient Sets: A Remark

We show that, in a two-period economy with uncertainty in the second period, if an allocation is Pareto optimal for a given set of beliefs and remains optimal when these beliefs are changed, then the set of optimal allocations of the two economies must actually coincide. We identify equivalence classes of beliefs, giving rise to the same set of Pareto optimal allocations. Journal of Economic Literature Classification Numbers: D51, D61.