风险价值及压力测试在采购策略中的应用

首先分析了供应链采购风险管理的重要性,然后分别介绍了VaR和压力测试这两种风险测度方法,并在此基础上建立了采购风险度量模型,为制定科学的采购策略提供了量化的决策依据。     

浅析光纤测试技术技巧

光纤的传输速度快,对信号的输入输出起着重要的作用。在光纤布线中,信号衰减不可避免,加上其它不可知因素都对光纤测试带来很大难度。文中就光纤测试技术技巧方面展开探讨。     

基于风险价值法和压力测试法的企业风险管理方法研究

本文提出风险价值法和压力测试法的企业风险管理方法,克服了传统方法只给出风险相对严重程度的不足。建立风险量化评估、预警和控制体系,采用优化组合方法,实施一体化风险管理,规避重大风险事件的发生。     

Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios

We extract from the yield curve a new measure of fundamental economic uncertainty, based on McDiarmid’s diameter and related methods for optimal uncertainty quantification (OUQ). OUQ seeks analytical bounds on a system’s behaviour, even where aspects of the underlying data-generating process and system response function are not completely known. We use OUQ to stress test a simple fixed-income portfolio, certifying its safety—i.e. that potential losses will be ‘small’ in an appropriate sense. The results give explicit tradeoffs between: scenario count, maximum loss, test horizon, and confidence level. Unfortunately, uncertainty peaks in late 2008, weakening certification assurances just when they are needed most.     

Default contagion and systemic risk in loan guarantee networks

This paper studies systemic risk in the Chinese debt market stemming from inter‐corporate loan guarantees using field data from Zhejiang Province. We apply a weighted and directed network model to analyse the implications for default contagion and systemic risk under different stress testing scenarios. The empirical results indicate that the topology of the loan guarantee network is close to a ‘scale‐free’ structure, which is known to be robust against accidental failures but vulnerable to coordinated attacks. Hence, the network is able to cope with idiosyncratic shocks resulting from single company failures, but can easily suffer from more widespread contagion if a group of systemically important companies are hit by a targeted shock. We further demonstrate that within our sample of small and medium‐sized enterprise (SME) companies, increasing leverage reduces network stability and exacerbates the effects of contagion. More lenient bank lending policies increase the survival rate of sample companies and thereby reduce the losses from default contagion.     

心理授权与员工创新行为的关系——心理契约新视角的中介作用

本文研究心理授权对员工创新行为的影响,并引入了员工感知到的“员工对组织的责任”这一心理契约视角为中介变量,通过对不同行业企业进行调查,共收集312份问卷,进行实证研究发现,工作意义、自我决策、自我效能感、影响力对员工创新行为有正向影响;心理契约在工作意义、自我效能感对员工创新行为的关系中起完全中介作用,在自我决策、影响力对员工创新行为的关系中不起中介作用。     

我国商业银行宏观压力测试研究——基于四类银行的SUR模型

本文以不良贷款率作为评估银行主要风险的指标,建立SUR模型对我国国有商业银行、股份制银行,城市商业银行和农村商业银行四类银行进行了宏观压力测试。通过构建房价下跌和物价上涨的极端情景,运用蒙特卡洛模拟方法得到宏观经济因素冲击下四类银行的贷款损失分布,结果表明在设定的压力情景下,四类银行的贷款损失率都有不同程度的上升,国有商业银行的稳健性最好,而城市商业银行表现相对较差。     

房地产开发企业违约概率压力测试研究——现金流蒙特卡洛模拟方法在银行中的应用

本文采用蒙特卡洛模拟方法,根据现金净额是否为负这一标准来判断房地产开发企业是否违约,在对企业的现金流进行随机模拟的基础上来计算企业的违约概率。压力测试的场景为房价下降,利率上升。压力传导途径为房价与利率变动导致企业销售收入变动,销售收入的改变导致企业的现金流量表发生变化。房价和利率对销售收入的冲击是随机的,企业的现金流也是随机的,本文通过随机模拟估算了企业的现金流为负的频率,以此作为企业违约的概率。压力测试表明,当房价下降幅度到达15%附近时,房地产开发商的违约概率开始急剧上升。     

声发射技术在起重机检测中的应用

介绍了几种常用的起重机检测方法,对声发射检测技术做了简要说明,分别从检测标准、应用及检测系统三方面综述了声发射技术在起重机检测中的应用现状。     

食品检验检测中存在的问题分析及应对措施

随着我国社会经济的快速发展,人们的饮食变得丰富多样,食品的种类越来越多,食品安全问题也受到社会的广泛关注.为加强对食品安全生产的规范与管理,相关部门制定了很多食品安全相关法律法规.本文分析了食品检验检测中存在的问题并提出应对措施,以促进食品检验检测的进一步发展.