DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS

Recent advances in the theory of credit risk allow the use of standard term structure machinery for default risk modeling and estimation. The empirical literature in this area often interprets the drift adjustments of the default intensity's diffusion state variables as the only default risk premium. We show that this interpretation implies a restriction on the form of possible default risk premia, which can be justified through exact and approximate notions of "diversifiable default risk." The equivalence between the empirical and martingale default intensities that follows from diversifiable default risk greatly facilitates the pricing and management of credit risk. We emphasize that this is not an equivalence in distribution, and illustrate its importance using credit spread dynamics estimated in Duffee (1999) . We also argue that the assumption of diversifiability is implicitly used in certain existing models of mortgage-backed securities.     

Asymptotic expansion of S-estimators of location and covariance

By means of a straightforward application of empirical process theory, we show that S-estimators of multivariate location and covariance are asymptotically equivalent to a sum of independent vector and matrix valued random elements respectively. This provides an alternative proof of asymptotic normality of S-estimators and clearly explains the limiting covariance structure. It also leads to a relatively simple proof of asymptotic normality of the length of the shortest α-fraction.     

引起承包商成本超额的不可抗力风险因素研究

本文介绍了引起承包商成本超额的不可抗力风险因素，并对此进行具体分析，指出了各风险因素与成本超额的关系，为承包商进行风险控制了理论指导。     

煤代油工程污水处理工艺的选择

文章通过分析巴陵分公司煤代油工程的污水排放特性及技术条件,探讨了污水处理工艺的选择。     

基于六西格玛流程改进的库存管理优化

库存管理是企业用来控制实际库存问题的方法，主要帮助企业经营者确定何时补充订货、补充订货多少以及安全库存等问题。现有的库存控制研究往往只关注数学建模阶段的精确性，而对库存波动根源认识不足，导致数学模型越来越复杂、完善，但库存仍然居高不下、难以控制。本文针对该问题，提出了在库存管理中糅合六西格玛管理理念的思想，通过六西格玛方法揭示库存积压的根源，从源头着手，进行流程改进，从而达到库存优化、提高客户满意度的目的。文章通过实际案例证实了基于六西格玛理念的库存优化管理的有效性。     

工程项目的风险管理研究

介绍了工程项目存在的主要风险类型,阐述了工程项目的风险管理过程,并结合我国的实际提出了工程项目风险管理的对策。     

物流银行——中小企业融资新途径

中小企业一直存在融资难的问题,本文介绍一项金融创新--＂物流银行＂质押贷款业务,该业务的推出成功地解决了这一问题.但在实际运作中仍存在很多问题,而且要注意风险防范,本文对此给出了建议.     

Analysis of cointegrated VARMA processes

VARMA (vector autoregressive moving average) processes are proposed for modelling cointegrated variables. For this purpose the echelon form is combined with the error correction form. Procedures for estimating the Kronecker indices which characterize the echelon form and for specifying the cointegration rank are discussed. The asymptotic distribution of the coefficient estimators is given. An example based o n US macroeconomic data illustrates the procedure and demonstrates its feasibility in practice.     

Assessment of Interjudge Reliability in the Open-Ended Questions Coding Process

In the process of coding open-ended questions, the evaluation of interjudge reliability is a critical issue. In this paper, using real data, the behavior of three coefficients of reliability among coders, Cohen’s K, Krippendorff’s α and Perreault and Leigh’s I _r are patterned, in terms of the number of judges involved and the categories of answer defined. The outcome underlines the importance of both variables in the valuations of interjudge reliability, as well as the higher adequacy of Perreault and Leigh’s I _r and Krippendorff’s α for marketing and opinion research.     

生鲜加工配送中心生鲜食品及加工食品检验和退货流程

生鲜加工配送中心的生鲜商品检验、退货流程对确保生鲜商品的安全有着十分重要的作用，本文着重针对生鲜加工配送中心蔬菜及加工食品检验和退货作业流程进行了研究。