Non-linear Gaussian sovereign CDS pricing models

Prior literature indicates that quadratic models and the Black–Karasinski model are very promising for CDS pricing. This paper extends these models and the Black [J. Finance 1995, 50, 1371–1376] model for pricing sovereign CDS’s. For all 10 sovereigns in the sample quadratic models best fit CDS spreads in-sample, and a four factor quadratic model can account for the joint effects on CDS spreads of default risk, default loss risk and liquidity risk with no restriction to factors correlation. Liquidity risk appears to affect sovereign CDS spreads. However, quadratic models tend to over-fit some CDS maturities at the expense of other maturities, while the BK model is particularly immune from this tendency. The Black model seems preferable because its out-of-sample performance in the time series dimension is the best.     

Identifying “best” applicants in recruiting using data envelopment analysis

Selecting the most promising candidates to fill an open position can be a difficult task when there are many applicants. Each applicant achieves certain performance levels in various categories and the resulting information can be overwhelming. We demonstrate how data envelopment analysis (DEA) can be used as a fair screening and sorting tool to support the candidate selection and decision-making process. Each applicant is viewed as an entity with multiple achievements. Without any a priori preference or information on the multiple achievements, DEA identifies the non-dominated solutions, which, in our case, represent the “best” candidates. A DEA-aided recruiting process was developed that (1) determines the performance levels of the “best” candidates relative to other applicants; (2) evaluates the degree of excellence of “best” candidates’ performance; (3) forms consistent tradeoff information on multiple recruiting criteria among search committee members, and, then, (4) clusters the applicants.     

数学素质教育的发现法

素质教育倡导数学教学应重视学生的主观能动性，力求使学生亲身经历数学问题的发现过程，体验研究成果的喜悦。文章就发现法教学从理论到实践阐述了这种教学方式的五种途径。     

A comparative site evaluation study for relocating Japanese government agencies out of Tokyo

As a national project of Japan, plans for the relocation of several government agencies out of Tokyo have been ongoing. This paper is concerned with the problem of site selection for this project. The National Land Agency, the agency responsible for this project, has declared that the process of site selection should be rational, open to the public and easily understandable. In an effort to meet these requirements, we propose a consensus-making method for reaching a group decision, based on a combination of the analytic hierarchy process (AHP) and the Assurance Region model of data envelopment analysis (DEA). Several strategic uses of these methodologies, e.g., Delphi procedures, are also discussed. Based on these analyses, the “Wise Men” Committee for deciding the best site has chosen two from among ten contenders, one from the North-East and the other from the Central part of Japan, as candidates for the best relocation site. We could not discriminate between the two with respect to the multiple criteria chosen for evaluating sites. The Committee recommended the two sites to the Prime Minister at the end of December 1999. The Prime Minister reported this conclusion to the Diet. This topic is currently the focus of political discussions in the Diet. In this report, the authors summarize the decision-making processes that the Wise Men Committee followed, putting emphasis on the methodological aspects.     

我国环保设备制造业产业布局的实证研究——长三角地区的发展对策

我国环保设备制造业存在很大的发展空间，本文主要运用区位商分析法、评价投入和产出相对效率的数据包络分析法（DEA），结合各地区、城市和企业的市场占有率指标，对我国环保设备制造业的区域分布特征、产业专业化程度、产业效率以及市场绩效方面的现状进行实证，得出我国环保设备制造业的产业分布图，并从区域分工和协作的角度提出长三角地区两省一市环保设备制造业的发展对策。     

低负荷维氏硬度法的负荷选择

本文按照维氏硬度测定的技术条件,将基本公式H_v=1854P/D~2加以变换,从而得到一些较为简单的数学关系式.利用这些关系式,可以对不同金属薄带材料,很容易计算出较合理的负荷大小,既能保证不被"打穿",也使视场内有一个适合观测的压痕图象.     

CCM在公路工程项目进度管理中的实证分析

本文论述了CCM技术以及项目进度延迟的原因。并采用基于TOC的CCM技术,对公路工程 项目进度管理进行了实证分析。通过分析结果与传统方法的比较,论证CCM技术在公路工程项目进度管 理中的实用价值。     

国有商业银行改革过程中的经营效率评价

本文采用非参数分析的数据包络分析方法DEA,对我国国有商业银行改革过程中的经营水平和改革成效进行了分析。分析结果显示,我国国有商业银行改革有一定的成效,但阶段性非常明显,突出表现在1994-1997年和2003-2004年。改革过程中的银行经营效率与政府的政策推动和扶持有相当紧密的关系。     

工业企业竞争力的DEA评价研究

长期以来,如何全面描述技术创新能力和竞争力的关系一直是人们关注的难点。本文从技术学习、R＆D、制造、营销、组织管理、资源以及战略等7个方面对技术创新能力进行了全范围衡量,并应用DEA方法对182家工业企业的技术创新能力与7个竞争力指标之间的关系进行了研究。分析结果显示,技术创新能力与竞争力之间的关系并不是规模递增型。考虑到技术创新能力与竞争力的取值范围,本文提出了控制投影模型,之后提出了基于相对误差的灵敏度分析模型。     

Finding Closest Targets in Non-Oriented DEA Models: The Case of Convex and Non-Convex Technologies

This paper draws attention for the fact that traditional Data Envelopment Analysis (DEA) models do not provide the closest possible targets (or peers) to inefficient units, and presents a procedure to obtain such targets.It focuses on non-oriented efficiency measures (which assume that production units are able to control, and thus change, inputs and outputs simultaneously) both measured in relation to a Free Disposal Hull (FDH) technology and in relation to a convex technology. The approaches developed for finding close targets are applied to a sample of Portuguese bank branches.