Topical modelling issues in Solvency II

The main reasons for giving European insurance companies the option to apply internal models for calculating the main solvency requirement within the Solvency II framework is to enhance better risk management in the firms, and to provide the opportunity to derive a more accurate risk-oriented capital requirement than the standard Solvency Capital Requirement (SCR) could provide. The possibility to use internal models within pillar 1 basically means freedom to calculate the solvency requirement using some other formula and even principles than those given by the standard formula. This freedom is more limited with partial models.

This paper gives a brief introduction and update to the Solvency II project, reviews and discusses some topical aspects of internal models from the supervisory point of view, and points out some relating results of the Quantitative Impact Studies carried out, thus far, in the EU by CEIOPS.     

基于量价关系原理改进RSI指标的量化投资策略研究--以震荡行情的A股市场证券为例

要掌握市场先机,投资者可以采用数学建模和计算机编程相结合的投资策略,以量价关系原理改进的 RSI 指标的量化投资策略,是投资者可以加以借鉴的一种。在改进后的双指标策略的指引下,加上合适的资金管理和风险控制,投资者有望在较低的风险下获得较平稳的收益。     

Applying a macro-finance yield curve to UK quantitative Easing

We estimate a macro-finance yield curve model for both the nominal and real forward curve for the UK from 1993 to 2008. Our model is able to accommodate a number of key macroeconomic variables and allows us to estimate the instantaneous response of the yield curve and so gauge the impact of Quantitative Easing on forward rates. We find that 10 year nominal interest rates on average are lower by 46 basis points which can largely be explained by three main channels: portfolio balance; liquidity premium and signalling but there is no sizeable impact on real interest rates.     

Quantitative skills: is there an expectation gap between the education and practice of management accountants?

The extent to which management accountants are receiving appropriate training in quantitative methods is examined. It finds a disparity between the wide range of quantitative techniques covered within the Chartered Institute of Management Accountants' syllabi and the limited use made of many of the techniques in practice. It also reports a rich picture of differing expectations of the role of quantitative skills in the work of a management accountant. The study finds that quantitative skills are seen by both employers and accounting educators as contributing to the portfolio of skills required by management accountants. Also, they give a rigour to the examination process that is seen as a challenging ‘rite of passage’ into the profession. It is concluded that knowledge and understanding of the range of quantitative techniques available to organizations is a powerful differentiator for the accounting profession, even if the occasions upon which accountants are required to draw upon much of that knowledge are few and far between.     

论美联储退出量化宽松后美元走势

本文介绍了美国量化宽松货币政策推出的背景以及作用,并分别重点分析了量化宽松政策后中短期、长期的美元走势,以期对相关决策者提供参考。     

公共政策定量评估方法之比较研究

政策评估可以在政策实施前选择最优政策或政策组合，也可以在实施以后评价实施效果。根据不同的政策环境选择不同的政策评估方法，可以有效提高政策评价的准确度。     

宏观经济调控执行绩效的一个数量评价:1985～2005年

有效实施宏观经济调控是各国政府的一个中心职能,其目的在于熨平经济周期波动,维持经济总量大体平衡,从而为市场有效配置资源,实现经济的长期增长创造有利条件。客观评价宏观经济调控的执行绩效有助于政策当局反思政策制定过程中的不适当行为,不断改进宏观经济管理水平,从而更好地实现政策目标。在本文中,我们忽略宏观经济调控政策的内部构成,视其为一个整体,基于政策当局的损失函数,设计了一个新的模型框架,对宏观经济调控执行绩效进行数量评价。     

Optimization of a firm's capital structure: A quantitative approach based on a probabilistic prognosis of risk and time of bankruptcy

This article develops a new probabilistic approach to the problem of optimization of a firm's capital structure. The main idea of the approach is straightforward. As a possible firm's bankruptcy is the principal factor restricting the amount of borrowed capital, we assess the probabilities of bankruptcy at various time horizons in the future dependent on the proportion of debt capital and other indices of a firm's current financial position and then calculate how these probabilities influence the firm's value.We identify a set of factors determining conditions of existence and the value of the optimal debt/equity ratio. These include the characteristics of a firm's debt (proportion of short-term component of the debt, cost of service, and maturity horizons of long-term component), characteristics of a firm's ability to pay the debt, and some macroeconomic factors.We represent dependencies of optimal debt/equity ratio and gains in a firm's value on the main influencing factors.The approach is based on real data of real firms and does not use superfluously formalized models. We believe it can be used in practical capital structure decisions although specific calculations must be fulfilled for each firm that needs such decision.