基于期权调整利差法和蒙特卡罗模拟法的水利PPP项目资产证券化定价研究

合理的资产证券化定价可为水利PPP项目吸引更多社会资本投资,提供长期稳定的资金来源。基于定价方法的对比分析,结合水利行业PPP项目发展现状和特点,选取期权调整利差法和蒙特卡罗模拟法,分别构建定价模型,并选取污水处理PPP项目实例进行资产证券化定价研究。结果显示,两种方法得出的定价结果都较为符合市场实际,但相比之下,由于期权调整利差法构建的定价模型更加贴合水利PPP资产证券化项目的存续特点,因而其定价结果更加准确,更加接近证券实际发行价格。     

基于共同冲击和异质风险叠加传导的风险传染研究——来自中国上市银行网络的传染模拟

本文将银行系统遭遇外部共同冲击作为研究起点,建立了一个共同冲击和异质风险交互传导与放大的简化模型,冲击的传导包括“原始冲击”、“增量冲击”和“违约冲击”三个风险传染阶段。基于2018年我国15家上市银行的股票收益率和年报数据、2006年至2018年的银行评级数据,本文构建了贝叶斯分层图模型和银行间拆借矩阵,并利用蒙特卡洛模拟测度不同触发银行所引发的系统性风险损失、单个银行的系统性风险杠杆能力(文中定义为“传染乘数”指标)以及政府监管介入的效果。模拟结果显示:共同冲击损失远大于异质风险损失;规模和网络关联性是决定传染乘数的重要因素,且当规模因素不突出时,网络关联性对传染乘数的决定作用相对更强,极容易出现小规模、高关联性银行具有较高的传染乘数;当银行风险资产损失率在10%至25%之间时,造成系统性风险损失的杠杆能力普遍增强;政府监管介入能较好地降低系统性风险。本研究的相关结论为系统性风险的监管设计提供经验证据和参考。     

互联网企业价值评估模型比较研究

基于互联网企业轻资产、高估值、迭代快以及风险大等特点,比较传统价值评估模型与Schwar-tz-Moon等实物期权价值评估模型,分别运用于评估案例企业泛微网络价值.结果发现,相较于传统现金流贴现模型,实物期权价值评估模型评估结果更接近于公司实际价值.三种实物期权模型敏感性分析表明:Schwartz-Moon模型评估误差最小,且模型稳健性最强,适用于不确定性高的互联网企业估值.     

CONSUMER DIRECT FULFILLMENT PERFORMANCE IN INTERNET RETAILING: EMERGENCY TRANSSHIPMENTS AND DEMAND DISPERSION

The collaborative fulfillment of consumer orders by Internet retailers and wholesalers has proven important in the realization of sustainable levels of online profitability. Concentrating on consumer direct fulfillment (or drop shipping), an empirical simulation model evaluates avenues for improving logistical performance. The empirical simulation model centers on the online music CD retailing industry. It evaluates the effects of emergency transshipments and demand dispersion on inventory and product‐release performance, as well as on transportation costs, in consumer direct fulfillment operations. Results show that emergency transshipments improve inventory and product‐release performance in these operations. Furthermore, the inventory‐performance improvements are maximized when inventory facilities fulfill demand that is uniformly balanced across markets primarily assigned to each facility. Finally, gains in inventory and release performance obtained from emergency transshipments outweigh additional transportation costs incurred from a greater reliance on emergency transshipments for consumer direct fulfillment.     

RECENT PROGRESS IN APPLIED BAYESIAN ECONOMETRICS

Abstract. Bayesian methods are widely used by theoretical econometricians and statisticians but have not won widespread acceptance from applied researchers. After briefly describing the basic of the Bayesian approach, we discuss several issues relating to the empirical application of Bayesian methods. The existing Bayesian empirical literature is also partially summarized. The remainder of the paper offers a non-technical survey of some recent computational advances in Bayesian econometrics. The overall goal is to persuade economists that Bayesian methods are both computationally feasible and easy to implement in empirical research.     

微带压控振荡器设计与仿真

介绍了S波段微带压控振荡器的设计方法,并使用微波仿真软件Serenade8.5对振荡器进行仿真分析,给出了仿真和实际电路的结果。     

汽车倾斜牌照中字符的定位与提取

提出了汽车图像中倾斜汽车牌照字符的定位与提取算法。该算法针对汽车牌照的灰度特点,先确定牌照的位置,并从背景中分割出来。对二值化车牌定位图通过Hough变换,计算出车牌主要直线的倾斜角度,通过插值旋转后,重新确定车牌字符的边界,最后精确地提取出汽车牌照中的字符。与其它传统的方法比较,该方法在运算速度和精确性上有一定优势。     

小仰角下移动卫星通信性能的改善及仿真

移动卫星通信系统为功率受限系统,相对地面移动通信而言,其链路余量较小,而且由于多径及遮蔽效应,当系统工作在小仰角时,其信号衰落可达到30dB,这对系统的设计提出了严峻的挑战。本文研究了信道编码和交织技术在移动卫星通信系统中的应用。通过仿真,得到了应用该技术对不同仰角特别是小仰角条件下系统性能的改善程度。同时,在研究信道相关的基础上,给出了交织相关参数的设计准则。