操作风险损失的广义帕累托分布参数估计及其应用

极值理论表明大于某一阀值的样本服从广义帕累托分布,该结论在金融风险计量和保险精算中有着广泛的应用。然而,由于其参数没有可接受的估计方法,致使其应用受到限制。论文在推导出广义帕累托分布的条件矩的基础上,研究了基于操作风险损失的广义帕累托分布的参数估计问题。并且基于我国商业银行1994~2008年的操作风险损失数据对经济资本配置进行了算例分析。     

保费收入随机化条件下的保险公司破产概率模型研究

保费收入是保险公司破产概率的重要影响因素。传统的保险公司破产概率模型常将保费收入过程看作连续的确定性过程,然而在现实中,保费收入过程却是一个离散的随机过程。本文用复合泊松过程描述保费收入,从而将确定性保费收入条件下的破产概率模型拓展到随机化保费收入条件下的破产概率模型,在此基础上模拟计算了保险公司破产概率,并比较分析了不同的保险资金投资模式对破产概率的影响。     

制造产业集群内企业利益分配博弈分析

通过分析制造产业集群合作机制,将博弈论中合作博弈的基本理论和方法应用于制造产业集群内企业的利益分配中,在基于多人合作博弈的传统Shapley值分析方法基础上,建立考虑投资额、风险以及技术创新等多种因素对利益分配结果影响的新模型,得到了一种新的利益分配方法,实证结果表明,建立的新模型更科学、更合理,同时合理的利益分配有助于制造产业集群稳定发展.     

Evaluation of the MEMM, Parameter Estimation and Option Pricing for Geometric Lévy Processes

In this paper, we shall propose a useful approach to evaluate concretely the MEMM (minimal entropy martingale measure) for the typical geometric Lévy processes such as compound Poisson, stable, VG (Variance Gamma), CGMY (Carr-Geman-Madan-Yor), NIG (Normal Inverse Gaussian), etc. In addition, we shall estimate the parameters of geometric Lévy processes and value the European call option and Asian call option using the Nikkei financial data.     

论劳务派遣中雇主责任的分配

派遣工与派遣单位、用工单位形成一重劳动关系,派遣单位、用工单位作为共同雇主参与到这一劳动关系中。但《劳动合同法》对劳务派遣劳动关系缺乏清晰界定,以致在雇主责任分配制度中存在诸多缺陷。为保护派遣工权益,应在劳务派遣中构建科学合理的雇主责任分配制度,对雇主责任的主次划分和雇主责任的承担方式等事项作出合理安排。     

普惠金融、收入分配和贫困减缓——推进效率和公平的政策框架选择

本文从县域和省际两个层面,采用OLS最小二乘法和DID双重差分法检验了普惠金融的政策效应。研究发现,普惠金融发展初期,能够缩小城乡收入差距,但是这种效应仅在集中连片特困区显著,受资源倾向性配置的效率损失、农贷的“精英俘获”以及金融知识匮乏的影响,银行服务包容性的提高没有反映出明显的益贫性;在产品市场、要素市场和中介市场发育程度较高、对生产者和消费者合法权益保护程度较强的地区,良好的制度环境可以对金融资本扭曲配置行为加以约束,纠正普惠金融对贫困减缓的负面效应;银行、保险等正规金融机构忽视弱势群体的资源配置结构是导致包容性金融体系无法实现减贫的根源。因此,兼顾广泛包容、特定配比和商业可持续的制度框架才能扭转正规金融机构现有效率和公平皆损的局面;构建信息化普惠金融体系,能够克服正规金融机构高门槛、服务成本高以及逆向选择等问题,成为对社会帕累托最优的政策框架选择,促进收入分配公平和减缓贫困。     

广义帕累托分布模型:风险管理的工具

在广义帕累托分布模型中,门限值过小,极限定理不成立,得到的估计是有偏的;反之,门限值过大,可以分析的数据减少,分析的偏差减少,但估计的方差增加.如何适当选取门限值是一个非常关键的问题.通过对尾部分布何时服从广义帕累托分布进行检验,可得到相应的门限值和VaR,这对金融资产管理具有重要意义.     

Estimating the capital charge for external fraud risk： A clinical study

The main objective of this paper is to estimate the economic capital for covering the external fraud risk within a financial institution. This is a kind of operational risk which is due to acts of a type intended to defraud, misappropriate property or circumvent the law, by a third party. From the methodological point of view, we apply the Loss Distribution Approach （LDA）, based on the Internal Operational Loss Database （IOLD） provided by a Spanish Saving Bank. More specifically, we asses the potential impact of the severity distribution on the Capital at Risk （CAR）. In absence of normality, we try to adjust the Lognormal, Weibull and Exponential functions when modelling the severity of losses. As a result, we find a high divergence in terms of capital charge depending on the statistical model selected. In consequence, in order to obtain a realistic model, we highlight the relevance of the goodness of fit between the empirical and the theoretical distribution.     

Distribution contracts to support optimal inventory holdings under demand uncertainty

When suppliers produce products for which demand is uncertain, they face a problem of inducing downstream distributors to stock inventory levels that the suppliers prefer. This paper considers a wide array of alternative supply contracts, each of which consists of a mixture of constant per-unit wholesale prices, buy-back arrangements, and post sale payments contingent on sales made, such as revenue sharing or buybacks. We show that linear supply contracts specifying any combination of two of these three instruments can implement the vertical integrated outcome for a monopoly, thereby generating the supplier's preferred inventory configuration and price distribution. We extend our results to differentiated product oligopoly, demonstrating that each supplier obtains its preferred inventory configuration and price distribution, given the choices of its rival. Distributors choose optimal inventories from the suppliers' standpoint, even if suppliers do not know the distribution of demand uncertainty, and, given the perfect competition among distributors, all profits in the supply chain are captured by suppliers. Thus, suppliers are able to deal with demand uncertainty with remarkably little information about demand, and without the need to control dealer actions in detail. In particular, suppliers need not specify either dealer inventories or resale prices, but instead encourage distributors to order based on information in their possession and to set prices that generate desirable resale price dispersion.     

北京生产性流通服务业辐射力研究

北京市生产性流通服务业分为运输业、仓储业、邮政业和批发业四种类型。近几年北京市流通服务业滞后于生产性服务业的总体发展。流通服务业的发展动力来源于市场需求、空间集聚及政府政策。北京流通服务业的发展重点为:一方面,对传统的流通服务业进行现代化的升级改造;另一方面要大力发展流通服务业中的高端部分。北京的流通服务业要立足北京,增强在环渤海地区、全国、甚至亚洲的辐射面和辐射力度。