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.     

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.     

复水奶粉中单增李斯特氏菌的生存评估

[目的]对复水奶粉中单增李斯特氏菌的生长与存活进行评估.[方法]通过人工方法以102cfu/mL的浓度添加单增李斯特氏菌于复水奶粉样品中,在不同温度和pH值条件下贮存,通过菌落计数分析单增李斯特氏菌的生存特性.[结果]在-1.5～37℃之间,单增李斯特氏菌能够生长,在-1.5℃时生长速率最慢,随温度升高生长速率也随之加快,在37℃时生长最快,在45℃时不能生长.在接近中性pH值范围内的复水奶粉中,单增李斯特氏菌在高温条件下(30℃)比在低温条件下(4℃)生长快,但在低温条件下(4℃),单增李斯特氏菌对酸和碱的耐受程度比在高温条件下(30℃)的耐受程度大.[结论]由于复水奶粉的pH值接近中性,比较适合单增李斯特氏菌的生长,如果污染了单增李斯特氏菌,在低温条件下贮存能够控制单增李斯特氏菌的生长.     

国际贸易信用风险管理

随着中国经济的快速发展以及社会主义市场经济体制的不断完善，中国对信用的需求进一步扩大，尽早建立有中国特色符合国际惯例的信用体系呼声趋高。日前，第二届中国信用和风险管理大会在上海召开，希望专家们的观点能对中国企业在扩大对外经济贸易和对外合作方面有所帮助。[编者按]     

LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK

The measurement of portfolio credit risk focuses on rare but significant large-loss events. This paper investigates rare event asymptotics for the loss distribution in the widely used Gaussian copula model of portfolio credit risk. We establish logarithmic limits for the tail of the loss distribution in two limiting regimes. The first limit examines the tail of the loss distribution at increasingly high loss thresholds; the second limiting regime is based on letting the individual loss probabilities decrease toward zero. Both limits are also based on letting the size of the portfolio increase. Our analysis reveals a qualitative distinction between the two cases: in the rare-default regime, the tail of the loss distribution decreases exponentially, but in the large-threshold regime the decay is consistent with a power law. This indicates that the dependence between defaults imposed by the Gaussian copula is qualitatively different for portfolios of high-quality and lower-quality credits.