基于精算方法的信用风险的量化

比较了保险风险和信贷风险的基本特征后可以发现，精算模型的方法和思路可以用来描述商业银行的信用风险。可以通过定性分析和定量分析相结合的方式，推导出适用的信用风险量化管理模型。在数据整理和检验的基础上，借鉴寿险精算的生命模型思想可以建立“正常-损失”模型，进而实现对贷款损失率的解释；借鉴非寿险准备金测算的方法，可以采用链梯法测算商业银行短期贷款业务应提取的贷款坏账准备金数额。在上述方法的基础上，可以将“正常-损失”模型与链梯法结合起来，测算长期贷款的坏账准备金。     

Maximum likelihood estimation of the double exponential jump-diffusion process

The double exponential jump-diffusion (DEJD) model, recently proposed by Kou (Manage Sci 48(8), 1086–1101, 2002) and Ramezani and Zeng (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=606361, 1998), generates a highly skewed and leptokurtic distribution and is capable of matching key features of stock and index returns. Moreover, DEJD leads to tractable pricing formulas for exotic and path dependent options (Kou and Wang Manage Sci 50(9), 1178–1192, 2004). Accordingly, the double exponential representation has gained wide acceptance. However, estimation and empirical assessment of this model has received little attention to date. The primary objective of this paper is to fill this gap. We use daily returns for the S&;P-500 and the NASDAQ indexes and individual stocks, in conjunction with maximum likelihood estimation (MLE) to fit the DEJD model. We utilize the BIC criterion to assess the performance of DEJD relative to log-normally distributed jump-diffusion (LJD) and the geometric brownian motion (GBM). We find that DEJD performs better than these alternatives for both indexes and individual stocks.     

论证券监管中的市场机制及其构建

市场具有足够的机制积极地进行监管.在证券监管中发挥作用的市场类型有竞争性的产品市场、竞争性的资本市场、竞争性的经理人市场和竞争性的购并市场.构建有助于证券监管目标实现的市场机制的途径,主要是培育市场化的定价机制;加强对中介行业的监管,减少或杜绝中介机构的违规行为,更好地发挥证券中介机构体系的约束监督作用;完善市场激励制度;逐步实现股票发行的市场化.     

日语原声电影在二外日语视听说教学中的实践和应用

日语原声电影教学在激发学生兴趣、提供真实自然的语言环境、帮助学生了解、体验和感受日本的文化具有优势,教师使用影片进行教学,应注意选择合适的影片,在学生欣赏影片前做引导,欣赏影片后做口头及书面练习。     

脱硫石膏制品体积稳定性试验研究

本试验对比了不同组分的石膏试件在升温、降温及干湿循环过程中的体积变形(以伸缩率计),分析了温度、湿度对石膏制品体积稳定性的影响.结果表明,脱硫石膏制品的伸缩率较小,在0.1‰～0.2‰之间,但随环境温度的改变体积变化较大,温度变形系数在1.5×10-5/℃以上.     

Estimating transport costs and trade barriers in China: Direct evidence from Chinese agricultural traders

Using a unique survey data on agricultural traders in China in 2004, this study provides direct evidence on the significance of inter-regional trade barriers and their key components. Our major findings are as follows. (1) The trade barriers within China are fairly small, accounting for about 20% of trade value. (2) Transport and non-transport costs respectively contribute 42% and 58% to the trade barriers. (3) Labor and transport-related taxes are the two largest proportions of total transport costs, and respectively account for 35% and 30%. (4) Artificial trade barriers created by the government are not sizable as we perceived. (5) Road quality is crucial for reducing transport costs within China: increasing transport speed by 1 km per hour, the total transport costs for Chinese agricultural traders would decrease by 0.6%, mainly due to improved fuel-burning efficiency and reduced labor requirement.     

资本市场投资回报率与我国养老金体系改革

理论上，投资回报率的高低是我国养老金体系转轨能否成功的关键。本文指出，我国建立基金制养老金体系面临极为特殊的背景——高工资增长率和低投资回报率。基于这个背景，本文认为现阶段进行体制转轨的时机还不成熟，当前需要大力提高我国养老基金的投资回报率或者为提高投资回报率创造条件。本文最后提出了关于提高我国养老基金投资回报率的几点建议。     

山城旅游形象策划设计研究——以湖北省恩施市为例

本文阐述了山城旅游形象策划设计的现实意义,着重强调了城市旅游形象与城市形象,城市建设一体化三者合力作用对旅游地旅游形象的重要影响。通过对干预恩施市旅游形象要素的分析,运用旅游产品形象设计的相关理论与方法,为建构恩施市的整体旅游形象,打造恩施市的旅游品牌提出了策略建议。     

Heterogeneous ambiguity attitudes: a field experiment among small-scale stock investors in China

We conducted quasi-field experiments in Chinese brokerage houses to investigate how investors react to ambiguity relative to quantifiable risks and the degree of heterogeneity in these reactions. Our experiment consists of three sections; a background survey; individual self-reports of emotional states; and a series of individual portfolio choice questions involving ambiguous assets and assets with a known probability of success. We calculate an index of ambiguity aversion that controls for risk aversion through a series of simple choices and demonstrate its outside validity. We find a significant degree of heterogeneity in ambiguity attitudes and discuss some demographic or emotional factors that might contribute to this heterogeneity. We also discuss the correlation between ambiguity attitudes and risk attitudes. By conducting these experiments in China, we were able to measure the degree of ambiguity aversion among a sample of experienced and accessible investors who face ambiguous decisions on a daily basis.     

提高德育效能,促进持续发展——职业学校德育工作的新视角

社会经济的发展带动产业结构调整,技术的更新换代不断加速,社会对于职业技术人才的要求也逐步提高。职业学校如何围绕学生的专业技能成长和职业道德素质提高,开展有效的德育教育活动,本文从当前教育体制下的职业学校的实际情况出发,结合新时期德育模式,探讨职业学校德育工作实施的几个步骤,提出相应的策略和方法。