Focusing on the big picture while observing the concerns of both managers and passengers in the post-covid era

This study reveals how to improve and define the issues of service quality in the airline sector after the outbreak of COVID-19, to what extent customer needs (important issues) and expectations (expected performances) will differ, and the priorities of airline sector managers in terms of resource allocation, costs, planned strategies, and operational efficiency and effectiveness. It offers a systematic and interactive perspective by simultaneously providing the perspective of both airline managers and passengers by using a new hybrid method, namely Fuzzy Importance, Expected Performance, and Priority Analysis (FIEPA) with VIKOR. This method allows the use of different perspectives of different managers in the analysis, which can be prioritized with different weights. According to the results of the study, in which 449 passengers participated on Twitter, the attributes on which airline managers should focus were determined, having three distinctive characteristics of being important for customers, having high priority according managers, and having low expected performance according customers. Twenty-two attributes related to the service quality of airlines during outbreak periods were classified into three main dimensions as “social distance and hygiene during flight”, “information awareness and concern”, and “infection alert procedure”.     

低损耗高Q值声表面波谐振器

介绍了低损耗高Q值声表面瑞利波和声表面横波谐振器的原理、结构、制作和关键的设计参数，以及实验结果。其中双端声表面瑞利波谐振器的有载Q值可达5000以上，无载Q值可达20000以上。     

Separation of small and large claims on the basis of collective models

This paper is inspired by two papers of Riegel who proposed to consider the paid and incurred loss development of the individual claims and to use a filter in order to separate small and large claims and to construct loss development squares for the paid or incurred small or large claims and for the numbers of large claims. We show that such loss development squares can be constructed from collective models for the accident years. Moreover, under certain assumptions on these collective models, we show that a development pattern exists for each of these loss development squares, which implies that various methods of loss reserving can be used for prediction and that the chain ladder method is a natural method for the prediction of future numbers of large claims.     

零膨胀损失次数的贝叶斯分位回归模型

研究目标：建立零膨胀损失次数的贝叶斯分位回归模型。研究方法：通过增加随机扰动将离散型的损失次数数据转化为连续型数据,在预测误差平方和最小的条件下,求解出分位数水平,并应用贝叶斯方法求解分位回归模型中的参数。研究发现：基于得到的分位回归模型及相应的分位数水平,实现对未来的损失频率的预测。研究创新：借助等式关系,求解分位回归的分位数水平,避免主观选择分位数水平的弊端,实现对零膨胀损失次数贝叶斯分位回归建模。研究价值：基于一组实际数据的实证分析结果表明,该模型可以显著改进现有模型的拟合效果。     

贷款损失准备金与资本充足率监管——来自日本银行业的实证分析

在以资本充足率监管为核心的国际银行业监管框架内,贷款损失准备金是影响资本充足率监管有效性的重要因素。本文运用向量自回归模型实证考察了日本银行业贷款准备金政策对资本的影响,实证结果表明:(1)银行增加贷款准备金计提在短期内会对资本造成负面冲击,而长期内却有利于提高资本水平;(2)短期内贷款准备金对资本的负面冲击向长期内贷款准备金对稳定和提高资本水平均衡调整的速度很慢,意味着贷款准备金政策的缺陷严重削弱了日本银行业资本监管的有效性。本文从日本银行业贷款准备金政策的发展进一步分析了实证结果的原因,并且指出我国实施资本充足率监管在完善贷款准备金政策方面的建议。     

Which are the SIFIs? A Component Expected Shortfall approach to systemic risk

This paper proposes a component approach to systemic risk which allows to decompose the risk of the aggregate financial system (measured by Expected Shortfall) while accounting for the firm characteristics. Developed by analogy with the Component Value-at-Risk concept, our new systemic risk measure, called Component ES, presents several advantages. It is a hybrid measure, which combines the Too Interconnected To Fail and the Too Big To Fail logics. CES relies only on publicly available daily data and encompasses the popular Marginal ES measure. CES can be used to assess the contribution of a firm to systemic risk at a precise date but also to forecast its contribution over a certain period. The empirical application verifies the ability of CES to identify the most systemically risky firms during the 2007–2009 financial crisis. We show that our measure identifies the institutions labeled as SIFIs by the Financial Stability Board.     

Do Newspaper Articles Predict Aggregate Stock Returns?

We analyze whether newspaper content can predict aggregate future stock returns. Our study is based on articles published in the Handelsblatt, a leading German financial newspaper, from July 1989 to March 2011. We summarize newspaper content in a systematic way by constructing word-count indices for a large number of words. Word-count indices are instantly available and potentially valuable financial indicators. Our main finding is that newspaper articles have provided information valuable for predicting future DAX returns in and out of sample. We find evidence that the predictive power of newspaper content has increased over time, particularly since 2000. Our results suggest that a cluster analysis approach increases the predictive power of newspaper articles substantially.     

Credit risk assessment of fixed income portfolios using explicit expressions

We propose a model to assess the credit risk features of fixed income portfolios assuming they can be characterized by two parameters: their default probability and their default correlation. We rely on explicit expressions to assess their credit risk and demonstrate the benefits of our approach in a complex leveraged structure example. We show that using expected loss as a proxy for credit risk is misleading as it does not capture the dispersion effects introduced by correlation. The implications of these findings are relevant for improving current risk management practices and for regulation purposes.     

基于价格预期弹性的人民币升值分析

人民币升值是当前经济运行中的热点、重点问题,也是难点问题。由于现有的汇率决定理论对于汇率变动的解释能力十分低下,经不起实证的检验。因此,笔者试从人民币的价格预期弹性分析入手,阐明预期才是人民币升值问题的最深层次矛盾,同时为妥善解决人民币升值问题提供了有益的参考方向。