RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES

We show that when a real-valued risk measure is defined on a solid, rearrangement invariant space of random variables, then necessarily it satisfies a weak compactness, also called continuity from below, property, and the space necessarily consists of integrable random variables. As a result we see that a risk measure defined for, say, Cauchy-distributed random variable, must take infinite values for some of the random variables.     

AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS

In an environment in which the primitive is the space of distribution functions, we characterize the quantile functions by the axioms ordinal covariance, monotonicity with respect to first-order stochastic dominance, and upper semicontinuity. We show how to characterize the VaR in a similar manner.     

CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES

Constant proportion portfolio insurance (CPPI) allows an investor to limit downside risk while retaining some upside potential by maintaining an exposure to risky assets equal to a constant multiple of the cushion , the difference between the current portfolio value and the guaranteed amount. Whereas in diffusion models with continuous trading, this strategy has no downside risk, in real markets this risk is nonnegligible and grows with the multiplier value. We study the behavior of CPPI strategies in models where the price of the underlying portfolio may experience downward jumps. Our framework leads to analytically tractable expressions for the probability of hitting the floor, the expected loss, and the distribution of losses. This allows to measure the gap risk but also leads to a criterion for adjusting the multiplier based on the investor's risk aversion. Finally, we study the problem of hedging the downside risk of a CPPI strategy using options. The results are applied to a jump-diffusion model with parameters estimated from returns series of various assets and indices.     

金融危机对我国银行理财产品影响及应对之策初探

由华尔街次贷危机引发的全球金融危机正在由虚拟经济向实体经济蔓延．由发达国家向发展中国家蔓延,中国也将不可避免的受到影响和波及,银行业理财产品市场也遭受了极大的考验。文章在对金融危机对我国银行理财产品影响分析的基础上,提出了应对之策。     

A decision analytic approach for technology portfolio prioritization: aviation safety applications

A decision analytic approach for evaluating new aviation safety products and technologies is developed and demonstrated to consolidate five existing program assessment metrics to develop a unified metric that simultaneously considers the relative importance and contribution of each. This allows for a meaningful and objective evaluation and comparison of the National Aeronautics and Space Administration (NASA) Aviation Safety Program (AvSP) advanced aeronautical products and technologies. The resulting decision model is referred to as the Composite Program Assessment Score (CPAS). The CPAS includes the five existing metrics; technical development risk, implementation risk, fatal accident rate reduction, safety benefits and cost, and safety risk reduction, which are each defined and quantified by different sources. The CPAS involves the scaling and combination of these individual metrics. In this paper, two alternative combinatorial modeling approaches to calculate the CPAS are presented. The weighted sum model and an additive value theory model are compared and contrasted. The resulting CPAS metrics allow an overall comparison of all 48 of the NASA AvSP products and technologies. Currently CPAS is based on preliminary weight measures from subject matter experts to reflect the relative importance of each metric. Actual case studies of both linear and non‐linear value functions are demonstrated.     

福建省中小企业信用担保机构发展瓶颈与对策

建立中小企业信用担保体系,是解决当前中小企业融资的有效途径之一。现阶段福建中小企业信用担保机构发展环境和发展势头良好,但面临可持续发展能力有限、代偿能力有限、违规经营乱象、与银行合作困难、内部风险控制能力较弱等发展瓶颈。因此,担保机构应提高自身的业务拓展能力和公司治理能力;政府应加强政策监管,完善信用评级工作,健全担保业多方风险分担机制和引导行业自律规范发展。     

激励性规制的强度分析

网络型产业中存在的信息不对称使规制契约的存在成为必然。现实经济活动中之所以要设计和采用不同强度的激励性规制,主要是由于没有哪种规制机制能够解决所有问题。在理论综述的基础上,借鉴前人的研究,分析了网络型产业的激励性规制模型中的激励强度与激励绩效的关系,并指出其在实践中的应用以及对我国的借鉴。     

改革开放30年与商事法律制度建设

商事法律制度在我国改革开放这30年来取得了骄人的成绩,并极大的促进了我国经济制度的发展,但商事法律制度发展还存看各商事单行法制度之间缺乏制度衔接,商事法律制度移植水土不服等问题.应制定商事通则,做到商事立法的移植与本土化相结合,商事单行法制定与其他法律制度相结合.要借鉴各国经验,构建出有中国特色的社会主义商法体系.     

航天型号研制风险控制研究

航天型号研制是国防建设的重点任务之一,是多学科、多专业综合的系统工程,整个过程可谓风险重重,因此对其风险控制就显得至关重要,作者在以往对型号研制风险管理过程和控制措施的研究成果的基础上,进一步深入研究了航天型号研制风险控制的具体措施,并对其在实践中的应用提供了相应建议。