我国城镇化的风险分析与对策

我国城镇化进程面临着资源风险、生态风险、农业风险和社会安全与稳定的风险,风险的症结在农村,化解风险的关键在政府有作为。文章认为,对农民工应"缓办户口,多发工钱",提高农民工的生活水平和支援农村的能力;在农业发展上,应聚集人才与推进农业规模化经营并重,走现代化农业之路;在城市建设中,应解决好建筑二步制施工与安全设防的问题。     

EXTREME VALUE AT RISK: A SCENARIO FOR RISK MANAGEMENT

This paper uses the generalised extreme value (GEV) distribution to model the extreme losses that are likely to occur during market crashes, in the case of an investor who has long positions in stocks and currencies. The null hypothesis – which tests for normality of asset returns – is rejected due to asymmetry of these returns. We assume that the asymmetric behaviour and volatility of the returns are captured by the shape and scale parameters, respectively, of a GEV distribution. The data set includes stock indices for the United States, Japan, the United Kingdom, Germany, France and South Africa, and the South African rand exchange rates against the US dollar observed from 3 January 2005 to 30 December 2009. In addition, we divide this sample period into two periods: the pre‐crisis period, from 3 January 2005 to 31 December 2007 and the crisis period, from 1 January 2008 to 30 December 2009. We compared the estimates of value at risk (VaR) using an extreme value theory (EVT) model, with the estimates derived from the traditional variance–covariance method and found that during the crisis the 99% extreme VaR estimates are more reliable as they lie within the Basel II green zone. These results suggest that, at higher quintiles, the VaR estimates based on EVT are reliable and more accurate than estimates from the traditional method.     

进口信用证开立中银行的风险规避

进口信用证是国际业务结算诸品种中收益较高的一种.但是银行在进口开证业务快速发展的同时,也应重视风险的防范与控制,使之成为效益增长点而不是风险爆发点.     

信用违约风险传染模型的比较研究

本文试图对几种有代表性的模型进行比较,来分析由于建模方式的不同,而导致的对信用期权定价和对冲的结果的不同.如果将违约风险传染考虑进去,类似德隆帝国崩溃的事件,或许就能避免.     

商品林业投资风险AHP分析

行业投资风险的分析与测度,具有重要的经济意义。传统林业经济理论始终认为,商品林业投资是高风险的行业。本文运用层次分析方法(AHP)对商品林业投资项目和电子工业投资项目风险进行比较研究,从定性和定量角度出发,研究分析和初步测定商品林业投资风险.     

论中小建筑施工企业的风险管理

介绍风险管理的内涵及目标,针对中小建筑施工企业,分析风险管理的流程,介绍中小建筑施工企业规避各类常见风险的对策。     

价补分离政策下农户的玉米种植行为研究基于吉林省宏观与微观数据分析

[目的]通过对价补分离政策实施前后吉林省玉米种植相关数据的分析,初步了解政策对农户种植行为产生的影响,进而探索吉林省农户在价补分离政策实施的第3年其玉米种植行为所受的主要影响因素。[方法]文章以吉林省玉米种植农户为研究对象,基于宏观与微观数据,采用多元Logistic模型分析农户玉米种植行为与政策之间的关系。[结果]价补分离政策改变吉林省农户的玉米种植行为。因价补分离政策实施导致的玉米价格下跌造成单位面积收益降低时,农户会寻求其他单位面积收益更高的作物,进而调整种植行为。[结论]玉米生产者补贴的发放对农户玉米种植行为调整具有引导作用。玉米优势产区与非优势产区的农户对价补分离政策不同的种植行为响应验证价补分离政策在保障粮食安全的同时调减玉米非优势产区玉米种植的作用。同时政策在实施过程中存在农户理解不到位及滞后性问题,因此从完善价补分离政策并提高农户对政策的认知程度等方面提出建议以更好地实现在调整玉米种植结构的同时稳定农户收入的政策目标。     

INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES

Using duality methods, we prove several key properties of the indifference price π for contingent claims. The underlying market model is very general and the mathematical formulation is based on a duality naturally induced by the problem. In particular, the indifference price π turns out to be a convex risk measure on the Orlicz space induced by the utility function.