关于债券凸性对冲的构造及检验

债券是人们重要的投资工具之一，在进行投资分析过程中，投资者会运用债券的久期、凸度等指标来衡量债券的利率风险。在投资过程中，投资者可以运用这些指标来构造债券的组合，实现凸性对冲。本文根据凸性对冲的原理：提出了构造债券组合一种方法，并利用最近债券市场的交易数据进行检验，发现确实存在凸性对冲的机会。     

利用久期和凸性进行浮动利率债券的利率敏感性测量

基于中国债券市场研究浮动利率债券的利率敏感性，分别给出利率小幅波动和剧烈波动情况下的利率风险度量技术：久期和凸性模型。     

指数有效久期模型的建立及分析

指数有效久期模型是一个新的用来衡量固定收益证券市场上的利率风险的模型.它建立在有效久期的基础之上,因而体现了附有选择权债券的价格变动情况.在利率上升时,指数有效久期是一种能够更好地被风险规避型投资者用作测算可回售债券利率风险的工具,避免了使用指数久期所带来的过分夸大债券价格下跌幅度的缺陷.而在利率下降时,该模型又可以部分克服指数久期过度高估可赎回债券的价格上涨幅度的缺憾.     

巨灾风险债券的利率敏感性研究——基于长江流域大洪灾风险债券的分析

通过探讨本金和利息保证比例对长江流域大洪灾风险债券久期和价格利率弹性的影响,分析了巨灾风险债券需求的一个重要影响因素——投资者资产负债的期限匹配因素,得出结论:巨灾风险债券与同期限普通债券相比久期较短,在利率预期上升的情况下,是良好的投资选择。     

交易所债券市场与银行间债券市场波动性比较研究

从不同的角度理解债券市场的波动性,有着不完全相同的涵义,进而可以从不同的角度来测度债券市场的波动性。债券市场的波动性主要是通过市价的波动体现出来,由于债券尤其是国债的市价波动主要受利率变动的影响,可以说利率是影响国债市场价格的第一要素,所以对债券市场波动性的第一层次理解便是债券市价随着市场利率变动而波动的特征。为了测度这一层面意义上的债券市场波动性,债券研究理论与对发达市场的经验分析主要运用基点价格值、收益率变动价格值、久期与凸性等概念与相应指标。其中,基点价格值与收益率变动价格值是一个问题的两个方面,…     

金融租赁公司的利率风险及管理对策

金融租赁公司所面临的诸多利率风险中,成熟期错配风险是最为关键的,久期模型是其通用的衡量方法。金融租赁公司的久期缺口分析是利用久期管理利率风险的主要方法,但久期模型运用中也存在着诸如久期对称成本高、利率风险免疫动态性及凸性等问题。金融租赁公司面对利率上升的风险,应采取设立风险管理部门、做好基础资料积累与分析、加强利率走势预测及对金融衍生工具的研究等对策措施。     

债市中的利率风险分析及免疫策略

随着债券市场的发展和央行利率政策运用的日趋频繁 ,债券持有者面临的利率风险已越来越引起广泛的关注。债券投资的利率风险主要表现为价格效应和再投资效应。构建免疫资产就是为规避利率风险筑起一道屏障。     

债券市场利率风险的凸现与对策

流动性过剩背景下的紧缩货币政策会给债券市场带来利率风险。运用不同时点的两根收益率曲线为同一种债券定价以及运用远期利率为债券未来价值估价,并对二者结果进行了比较,从而凸现了债券市场的利率风险。针对债券市场的利率风险提出了投资组合管理、投资组合保险技术以及对冲等对策。     

运用利率期限结构分析中国债券组合管理策略

利率的期限结构是指某个时点上不同期限的利率所组成的一奈曲线,描述不同期限零息票债券的到期收益率,反映了债券市场利率走势的特点,利率期限结构曲线有多种形状：水平、上倾、下倾、上凸、下凸,但市场的真实利率走向一般呈现上倾式,即长期利率高于短期利率。使用MATLAB进行利率期限结构的静态估计采描绘出中国债券市场的真实利差走势,以此来探究中国债券市场的投资策略,为债券纽舍管理策略在中国债券市场的实际运用提出建议。     

影响商业银行次级债券风险溢价因素的回归分析

通过对我国银行间债券市场中银行次级债券风险溢价因素的实证，结果显示。评级机构给予的级别与商业银行次级债券的风险溢价显著相关，债券级别越高，风险溢价越低。另一方面，市场似乎认为评级机构并未充分考虑不同债权优先级别的债券在违约情况下的损失程度的不同，混合资本债的级别并未与次级债和金融债的级别合理拉开。实证还发现当债券以浮动利率发行时，债券的风险溢价能显著降低；当银行存款准备金率上升时，债券需要向投资者支付更高的风险溢价。     

John Stuart Mill's Theory Of Justice

John Stuart Mill has traditionally been portrayed as self-contradictory and failing to construct a unified social theory. Recent scholarship, however, has challenged this view, finding Mill's work to be creatively synthetic in bridging the antinomies inherent in liberal democratic thought. This revisionist interpretation of Mill is advanced by an understanding of his theory of justice and its role in shaping his policy positions on issues such as welfare, education, voting rights, property rights, taxation, government intervention, and the future of capitalism.     

A Rich Vein for “Reality Mining”北大核心CSSCISSCI

Arik Hesseldahl In the aftermath of the September 11 attacks, U.S. officials quickly turned their attention to other potential targets, including California's Golden Gate Bridge. What would happen if terrorists took down the bridge between San Francisco and Marin County? How much of the region would be affected and for how long?     

John Stuart Mill's Theories of Wealth and Income Distribution

Although he was much influenced by David Ricardo when he wrote the classical part of his Principles , John Stuart Mill was not a Ricardian when he penned his theories of wealth and distribution. They are based on a triple foundation. First, a belief that economics is a moral discipline. Second a theory of custom-driven human behavior. Third, an empirically formed conviction that the institutions of state, education and business cooperate to structure the distribution of income. On the basis of these presuppositions, Mill formulated 1) an institutional theory of the formation of human and non-human wealth and 2) an even more institutional theory of distribution demonstrating how the aforementioned institutions malignantly skew the distribution of income to the advantage of the propertied classes and to the extreme disadvantage of the working class. As a social economist, Mill recommended institutional reforms designed to eradicate the poverty of the working class.     

中国养活自己能力的长期预测:技术和政策分析

中国拥有世界五分之一强的人口 ,收入又在迅速增长。因此 ,国际上很自然地会考虑或推测她在今后的几十年是否有能力养活自己。中国的人口预计将从 2 0 0 0年的 1 2 8亿增长到 2 0 2 0年的 1 4 6亿 ,和 2 0 3 0年的 1 4 9亿。与此同时 ,人均收入的增长将导致对家畜和鱼类产品更大的需求 ,因而对饲料的需求也将有很大的增长     

Toward a Phylogenetic Reconstruction of Organizational Life

Synopsis Classification is an important activity that facilitates theory development in many academic disciplines. Scholars in fields such as organizational science, management science and economics and have long recognized that classification offers an approach for ordering and understanding the diversity of organizational taxa (groups of one or more similar organizational entities). However, even the most prominent organizational classifications have limited utility, as they tend to be shaped by a specific research bias, inadequate units of analysis and a standard neoclassical economic view that does not naturally accommodate the disequilibrium dynamics of modern competition. The result is a relatively large number of individual and unconnected organizational classifications, which tend to ignore the processes of change responsible for organizational diversity. Collectively they fail to provide any sort of universal system for ordering, compiling and presenting knowledge on organizational diversity. This paper has two purposes. First, it reviews the general status of the major theoretical approaches to biological and organizational classification and compares the methods and resulting classifications derived from each approach. Definitions of key terms and a discussion on the three principal schools of biological classification (evolutionary systematics, phenetics and cladistics) are included in this review. Second, this paper aims to encourage critical thinking and debate about the use of the cladistic classification approach for inferring and representing the historical relationships underpinning organizational diversity. This involves examining the feasibility of applying the logic of common ancestry to populations of organizations. Consequently, this paper is exploratory and preparatory in style, with illustrations and assertions concerning the study and classification of organizational diversity.     

Information infrastructure: Who builds broadband networks?

This paper examines the essential difference between the U.S. and Japan, when one considers information infrastructure. There are seven perception gaps between the U.S. and Japan concerning Information Infrastructure policies. These gaps must be understood in order to compare the countries' governmental policies in this area. In looking at the present circumstances, the essential question to answer concerns who is to build, own and operate the network(s) of the infrastructure. Liberalization is certain to be a central factor in the ongoing telecommunications debates. Now that customers have had a taste of the liberalized market-place, the movement toward more open markets will be difficult to stop. When considering options, it is necessary to pay close attention to standardized network access and the increasingly important role software plays. These issues are causing us to take a new approach to the traditional role played by regulators. They also force a closer look at the appropriate structure of utility companies. This paper addresses the above issues in hopes of stimulating dialog on the new telecommunications infrastructure paradigm.     

海岛地区产业演替及资源基础分析--以舟山群岛为例

改革开放以来,舟山市产业构成发生了显著变化,其经济发展过程可以划分为三个阶段。1992年前,是以产业结构渔业占绝对地位的单一结构阶段;1993—1998年,以旅游业为主的第三产业快速发展阶段;上世纪末以来,又进入了新一轮的经济发展时期,即工业产值比重快速增加阶段。根据海岛的自然资源基础和特点,在新世纪的经济发展过程中,舟山市应定位为生态型的港口旅游城市。以港口及临港工业为主导,以海岛旅游和海洋经济为特色,大力发展第二产业和第三产业。海岛地区的主导产业应体现海岛资源优势及区位优势,以集群性环保型产业为主。同时由于海岛地区淡水资源缺乏,主导产业也应着重选择低耗水型产业。     

风险视角下企业治理结构和研发创新——基于委托代理模型的研究

本文基于委托代理模型,从风险的视角研究企业治理结构对研发创新能力的影响。本文构建了一个包含创新活动的委托代理模型进行理论分析,利用动态DEA 模型测算创新能力,并使用2015-2018年我国上市制造业企业数据进行实证检验。实证部分检验了理论结论:委托代理问题不利于企业提升研发创新能力,且客观风险和主观风险厌恶会加剧该负面影响。基于此,本文认为上市企业应根据企业自身研发活动特点有针对性地改善企业治理结构,提出了适当延长代理人任期、推动股权激励计划、提升代理人的风险承担能力等建议。     

生物群落结构原型的仿生学模拟

模拟生命系统管理规律的科学即管理仿生学,是知识时代仿生学研究的新领域与前沿.基于模拟生物群落结构规律的研究目的,采用仿生学模拟的研究方法,以生物群落结构为原型,建立了仿生群落结构模型.结论为:垂直结构、水平结构、时间结构与交错区结构是支持生物群落生命活动的结构规律,以该规律为原型,推理建立了仿生分层结构、仿生优化结构、仿生动态结构与仿生相邻结构,四种仿生结构分别侧重于管理资源的分层管理、局部优化管理、动态过程管理、相邻关系管理,该模型为建立类似生物群落的人造管理系统即仿生群落管理系统提供了仿生结构模型.可以预测,该模型具有广泛的应用价值,能够推动管理仿生学的发展.