皮革中甲醛含量测量不确定度评估

依据ISO/TS 17226国际标准,测定了皮革中的甲醛含量,对测量过程的不确定度来源进行了分析和评定,并计算出合成不确定度和有效自由度,最后根据JJF1059规范要求给出了甲醛测量不确定度表达式.     

AN ASSESSMENT OF THE INFORMATION GIVEN IN RAILWAY TIMETABLE-LEAFLETS

A comparison of the rail services given in timetable-leaflets available free from British Rail with those found in the full passenger timetable has revealed that the former often miss out many useful services. Leaflets frequently refer to travel via only one route, when another route can also have useful services.     

DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK

This paper is a follow‐up to “Valuation and Hedging of Defaultable Game Options in a Hazard Process Model” by the same authors. In the present paper we give user friendly assumptions ensuring that the general conditions in the previous paper are satisfied. We also give a systematic procedure to construct suitable intensity models of credit risk, and, in the Markovian case, we provide a variational inequality approach to the pre‐default pricing problem. We finally illustrate our results on a study of defaultable convertible bonds.     

RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT

This paper analyzes portfolio risk and volatility in the presence of constraints on portfolio rebalancing frequency. This investigation is motivated by the incremental risk charge (IRC) introduced by the Basel Committee on Banking Supervision. In contrast to the standard market risk measure based on a 10‐day value‐at‐risk calculated at 99% confidence, the IRC considers more extreme losses and is measured over a 1‐year horizon. More importantly, whereas 10‐day VaR is ordinarily calculated with a portfolio’s holdings held fixed, the IRC assumes a portfolio is managed dynamically to a target level of risk, with constraints on rebalancing frequency. The IRC uses discrete rebalancing intervals (e.g., monthly or quarterly) as a rough measure of potential illiquidity in underlying assets. We analyze the effect of these rebalancing intervals on the portfolio’s profit and loss distribution over a risk‐measurement horizon. We derive limiting results, as the rebalancing frequency increases, for the difference between discretely and continuously rebalanced portfolios; we use these to approximate the loss distribution for the discretely rebalanced portfolio relative to the continuously rebalanced portfolio. Our analysis leads to explicit measures of the impact of discrete rebalancing under a simple model of asset dynamics.     

国际货物买卖中的风险转移问题

案情 2008年8月11日,买方上海J公司与卖方日本Q公司签订了两份购买柠檬酸的合同,“商品名称、规格及包装”明确规定标的物为CITRACACIDBP80,并约定了相关的检验条款。第一笔合同FOB上海,货物于10月10日运抵目的地后,发现存在结块现象,J公司即于次日向Q公司提出索赔,并称将安排SGS（瑞士通用公证行）进行检验。Q公司拒绝赔偿,称货物结块是普遍的正常现象。     

INDIFFERENCE VALUATION OF MORTGAGE‐BACKED SECURITIES IN THE PRESENCE OF PREPAYMENT RISK

We present a utility‐based methodology for the valuation and the risk management of mortgage‐backed securities subject to totally unpredictable prepayment risk. Incompleteness stems from its embedded prepayment option which affects the security's cash flow pattern. The prepayment time is constructed via deterministic or stochastic hazard rate. The relevant indifference price consists of a linear term, corresponding to the remaining outstanding balance, and a nonlinear one that incorporates the investor's risk aversion and the interest payments generated by the mortgage contract. The indifference valuation approach is also extended to the case of homogeneous mortgage pools.     

干奶粉中单增李斯特氏菌的生存评估

[目的]对不同水活度干奶粉中的单增李斯特氏菌在不同温度条件下的生存特性进行评估.[方法]通过人工方法将单增李斯特氏菌按103cfu/g的浓度添加于不同水活度的干奶粉样品中,在不同温度(冰箱温度4℃和室温25℃)下贮存,通过菌落计数来分析单增李斯特氏菌的生存特性.[结果]在低温条件下,单增李斯特氏菌可在较低水活度的干奶粉中长期保持生长活力,并且当水活度较高时,会有增长趋势.在较高的环境温度中,干奶粉中的单增李斯特氏菌的生长活力很快减退,细菌处于亚损伤状态,但在适宜的营养环境条件下,这种亚损伤状态可以得到修复.细菌仍然可以恢复活力.[结论]高温条件更易使干奶粉中单增李斯特氏菌生长活力减退,干奶粉中如果污染了单增李斯特氏菌.于室温(25℃)条件下贮存会抑制单增李斯特氏菌的生长.     

ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS

We present a valuation framework that captures the main characteristics of employee stock options (ESOs), which financial regulations now require to be expensed in firms' accounting statements. The value of these options is much less than Black–Scholes prices for corresponding market-traded options due to the suboptimal exercising strategies of the holders, which arise from risk aversion, trading and hedging constraints, and job termination risk. We analyze the combined effect of all of these factors along with the standard ESO features of multiple exercising rights, and vesting periods. This leads to the study of a chain of nonlinear free-boundary problems of reaction-diffusion type. We find that job termination risk, vesting, finite maturity and non-zero interest rates are significant contributors to the ESO cost. However, we find that in the presence of vesting, the impact of allowing multiple exercise rights on ESO cost is negligible.     

信息不对称与我国证券市场的风险性刍议

在中国的证券市场中 ,由于存在着利益冲突 ,信息不对称问题的严重性也就尤为突出。我们应注重信息的客观、全面、准确和对称 ;通过对所采集信息的综合分析 ,提高信息的使用价值 ,并避免由于信息不对称或信息泛滥所带来的“信息泛滥综合症”。     

DEFAULT AND SYSTEMIC RISK IN EQUILIBRIUM

We develop a finite horizon continuous time market model, where risk‐averse investors maximize utility from terminal wealth by dynamically investing in a risk‐free money market account, a stock, and a defaultable bond, whose prices are determined via equilibrium. We analyze the endogenous interaction arising between the stock and the defaultable bond via the interplay between equilibrium behavior of investors, risk preferences and cyclicality properties of the default intensity. We find that the equilibrium price of the stock experiences a jump at default, despite that the default event has no causal impact on the underlying economic fundamentals. We characterize the direction of the jump in terms of a relation between investor preferences and the cyclicality properties of the default intensity. We conduct a similar analysis for the market price of risk and for the investor wealth process, and determine how heterogeneity of preferences affects the exposure to default carried by different investors.