基于过程挖掘的物流运作风险发现研究

为了探究物流运作过程中存在的风险,提高物流运作效率,增强物流企业管理能力,以真实的事件日志为基础,运用过程挖掘方法发现物流企业运作过程中的风险。首先以Petri网理论为基础,构建了理想的工作模型,然后使用过程挖掘工具ProM,运用模糊挖掘算法和启发式挖掘算法,对物流运作过程中产生的真实事件日志进行挖掘,获得实际的客观视图,最后利用ProM工具的一致性检查发现物流运作过程中的异常行为模式,并分析物流运作过程中的偏差以及存在的风险。结果表明,过程挖掘能客观地揭示事件日志中活动之间的依赖关系,并发现物流企业自身运作过程中的偏差和风险。研究结果为全面、系统地分析物流企业潜在风险提供了新思路,有助于物流企业发现运作过程中的问题,对物流企业优化运作过程和提高管理效率具有重要的借鉴意义。     

水上加油站安全环保风险分析与管理建议

安全和环保是确保水上加油站生产经营稳定的两大基础。文章结合长江内趸船式水上加油站运行管理实践,论述水上加油站特点,辨识水上加油站经营过程中安全环保风险因素,分析水上加油站安全环保管理现状和存在的问题,并提出应对措施和管理建议。     

工程质量保险在高校基建工作中应用的研究

随着我国经济的不断发展,对建筑工程质量提出了更高的要求。高校基建部门担负着基础设施建设的繁重任务,如何提高基建部门的风险管理水平,提高工程质量变得越来越重要,工程质量保险这一新兴的保险模式对高校基建工作起到很大的促进作用。     

基于失效风险的建筑物预防维修成本模型优化

建筑物预防性维修成本的最优控制问题,是企业现代化经营管理的一个重要组成部分,直接影响到企业的经济效益。针对承受重复荷载作用的建筑构件,失效概率随服役时间增加而增大的实际情况,提出了失效风险的概念。采用役龄回退因子描述了维修后失效概率降低的程度,在此基础上推算出满足可靠度约束条件,适用于特定时间段非等间隔检测期序列,计算出单位维修周期内的检测次数。通过对维修成本函数的分析,建立了基于等失效风险状态的维修成本优化模型。为房屋物业管理部门进行建筑物的维修和更换决策提供参考依据。     

机构投资者对证券市场价格波动性的影响——基于Topview数据的实证研究

本文在完整的市场结构数据基础上,研究了市场波动性与机构投资者之间的相互关系。在研究数据方面,我们采用了深度、高频的Topview数据,既避免了前人在研究数据方面的以偏概全,也让我们可以采用更为先进、稳健的实证方法。我们设定了恰当的波动性度量指标,运用了稳健的因果推断方法。并用脉冲响应和方差分解的方法细腻刻画两者之间的相互关系。本文的主要结论是:机构投资者持股比率的波动对上证指数波动有显著的影响,是导致上证指数波动最为主要的原因,法人投资者和个人大户投资者持股比率的变动对上证指数的波动几乎没有影响,机构投资者持股比率波动还会向法人投资者、个人大户投资者持股比率溢出,这些表明在上海证券市场上机构投资者是市场波动的主要来源和主要原因。机构投资者的多元化、坚决推进市场的规范化改革应当成为未来政策关注的重点。     

创业企业贷款组合风险管理研究——基于不同生命阶段的视角

投资品种的多样化与分散化是金融风险管理的核心方法,它可以有效地防范和控制各类风险。对银行业来说,将贷款分散地投放给不同行业、不同区域或处于不同生命阶段的企业,可以减少其因借款企业违约而可能遭受的损失。因此,银行在贷款投放过程中,如何进行多样化和分散化,以达到整个贷款组合收益的最大化和风险的最小化是一个决策难题。本文通过对贷款组合风险和预期收益的度量,提出针对不同生命阶段创业企业的贷款组合优化模型,并进行了相关实证研究,研究结果表明模型具有较强的适用性。     

The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis

Do shareholders gain when managers disperse corporate resources through activities classified as corporate social responsibility (CSR)? Strategy scholars have recently developed a theoretical model that links such activities to shareholder value when a firm suffers a negative event; we test key portions of this theory of the ‘insurance‐like’ property of CSR activity. We posit that such activity leads to positive attributions from stakeholders, who then temper their negative judgments and sanctions toward firms because of this goodwill. We extend the risk management model by theorizing that some types of CSR activities will be more likely to create goodwill and offer insurance‐like protection than other types. We delineate several firm and event specific characteristics that we expect to influence the link between CSR activities and an insurance effect. We then test our model using an event study of 178 negative legal/regulatory actions against firms throughout the 11 years from 1993–2003. We find that participation in institutional CSR activities—those aimed at a firm's secondary stakeholders or society at large—provides an ‘insurance‐like’ benefit, while participation in technical CSRs—those activities targeting a firm's trading partners—yields no such benefits. We conclude by considering the implications of our findings for future theorizing and research into the economic value of CSR engagement. Copyright © 2008 John Wiley & Sons, Ltd.     

我国地方政府债券发行长效机制的构建研究

在经历了长期的沉寂之后,我国的地方政府债券在2009年正式启动。虽然近期在二级市场上,地方政府债券遭到投资者的冷遇,但地方政府债券的持续发行有其理论与现实基础,从中国经济长远发展的角度考虑,应当构建地方政府债券发行的长效运行机制。在短期内应尽快建立地方政府债券发行的激励与约束机制以防范地方债务风险,在中长期应不断深化财政体制改革,逐步实现真正的地方政府债券制度安排。     

A High‐Frequency Investigation of the Interaction between Volatility and DAX Returns

One of the most noticeable stylised facts in finance is that stock index returns are negatively correlated with changes in volatility. The economic rationale for the effect is still controversial. The competing explanations have different implications for the origin of the relationship: Are volatility changes induced by index movements, or inversely, does volatility drive index returns? To differentiate between the alternative hypotheses, we analyse the lead‐lag relationship of option implied volatility and index return in Germany based on Granger causality tests and impulse‐response functions. Our dataset consists of all transactions in DAX options and futures over the time period from 1995 to 2005. Analyzing returns over 5‐minute intervals, we find that the relationship is return‐driven in the sense that index returns Granger cause volatility changes. This causal relationship is statistically and economically significant and can be clearly separated from the contemporaneous correlation. The largest part of the implied volatility response occurs immediately, but we also observe a smaller retarded reaction for up to one hour. A volatility feedback effect is not discernible. If it exists, the stock market appears to correctly anticipate its importance for index returns.     

The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market

This article presents joint econometric analysis of interest rate risk, issuer‐specific risk (credit risk) and bond‐specific risk (liquidity risk) in a reduced‐form framework. We estimate issuer‐specific and bond‐specific risk from corporate bond data in the German market. We find that bond‐specific risk plays a crucial role in the pricing of corporate bonds. We observe substantial differences between different bonds with respect to the relative influence of issuer‐specific vs. bond‐specific spread on the level and the volatility of the total spread. Issuer‐specific risk exhibits strong autocorrelation and a strong impact of weekday effects, the level of the risk‐free term structure and the debt to value ratio. Moreover, we can observe some impact of the stock market volatility, the respective stock's return and the distance to default. For the bond‐specific risk we find strong autocorrelation, some impact of the stock market index, the stock market volatility, weekday effects and monthly effects as well as a very weak impact of the risk‐free term structure and the specific stock's return. Altogether, the determinants of the spread components vary strongly between different bonds/issuers.