A framework to measure integrated risk

A framework underlying various models that measure the credit risk of a portfolio is extended in this paper to allow the integration of credit risk with a range of market risks using Monte Carlo simulation. A structural model is proposed that allows interest rates to be stochastic and provides closed-form expressions for the market value of a firm's equity and its probability of default. This model is embedded within the integrated framework and the general approach illustrated by measuring the risk of a foreign exchange forward when there is a significant probability of default by the counterparty. For this example moving from a market risk calculation to an integrated risk calculation reduces the expected future value of the instrument by an amount that could not be calculated using the common pre-settlement exposure technique for estimating the credit risk of a derivative.     

A cross-currency Lévy market model

The Lévy Libor or market model which was introduced in Eberlein and Özkan (The Lévy Libor model. Financ. Stochast., 2005, 9, 327–348) is extended to a multi-currency setting. As an application we derive closed form pricing formulas for cross-currency derivatives. Foreign caps and floors and cross-currency swaps are studied in detail. Numerically efficient pricing algorithms based on bilateral Laplace transforms are derived. A calibration example is given for a two-currency setting (EUR, USD).     

马尾口岸蝇类生物多样性和携带病原微生物情况的研究

目的全面掌握马尾口岸蝇类的种群分布及季节消长变化,分析不同生境和地点蝇类携带病原微生物的差别,对相关疾病的流行风险进行评估。方法根据马尾口岸地理分布和港口类型,2007年7月至2008年6月间,抽取8个监测点7个不同生境实施为期1年的蝇类本底调查,按生境分类对携带病原微生物进行检测。结果捕获蝇类49579只,年平均密度74.67只/笼.日,隶属4科22属36种,比2004年多19种,其中4种未见在福州分布记录,大头金蝇为优势种群。垃圾堆蝇密度最高,高于荒地、居民室外和食堂。大裕堆场和中钢码头蝇密度较高,高于居委会、青州堆场、局本部和闽鑫物流。5至10月份捕获的蝇数占总数的94.57%,出现了9月和5月的双峰。蝇类体内、外均虽未检出痢疾杆菌、伤寒杆菌和霍乱弧菌等强致病菌,但普遍检出了变形杆菌、铜绿假单胞菌和肺炎克雷伯菌等,以及可引起食物中毒的病原菌如金黄色葡萄球菌、变形杆菌等,个别样本检出气单胞菌和小肠耶尔森氏菌。部分蝇体内检出柯萨奇病毒和轮状病毒（A组）。结论马尾口岸蝇种丰富,比4年前有了较大增长,出现了4种输入性蝇种,蝇类体表和体内携带的病毒,可能引起食物中毒及其他肠道传染病传播的风险。     

我国旅游资源和景区研究的十个前沿问题

旅游景区是旅游产业发展的核心要素，也是主要的旅游吸引物。有关旅游景区的规划、建设、管理和营销已成为研究重点，但总体上看，旅游景区研究还严重滞后于景区开发建设的实际需求。本文提出了我国旅游资源和景区发展中10个迫切需要研究的问题。     

发展外汇衍生类产品业务问题的思考

大力发展外汇衍生类产品业务是我国商业银行和涉外企业的战略选择。外汇衍生类产品业务在我国仍处于发展的初级阶段，存在着很多亟待解决的问题，只有采取加快人才培养、加大监管力度、完善金融市场等措施，才能实现快速发展。     

前馈技术在改善功率放大器线性中的应用

推导并分析了存在增益和相位跟踪等误差情况下,功率放大器前馈技术对三阶线性失真的改善情况,并从原理上论述了前馈技术的工作原理.前馈技术一般可将三阶互调降低10～30 dB,在新一代的抗干扰跳/扩频电台中有广泛应用.     

异质性、外资企业生产率与产业集聚

本文采用2000~2007年工业企业数据,系统考察了外资企业与我国地区产业集聚之间的互动促进关系,并从企业规模、控制权性质两个维度分析不同外资企业与产业集聚之间互动关系的路径差异。结果发现:外资企业与地区产业集聚之间的互动促进关系主要是外资企业与其前后关联行业集聚之间的互动促进,外资企业与同行业的集聚并未形成相互依赖、相互促进的关系;外商独资企业与其前后向关联行业的集聚均存在互动促进,且外商独资与其后向关联行业的集聚之间形成的互动促进是外资企业与我国产业集聚互动促进的主要路径;中外合资企业仅与其前向关联行业集聚之间形成稳定的互动促进关系。     

Does foreign investment benefit the exporting activities of Vietnamese firms?

Using firm-level data, this paper examines the effects of foreign investment on the exporting behaviour of domestic firms in the Vietnamese manufacturing and service sectors. Applying the Heckman selection model on panel data and following the Wooldridge approach, we find that investment by foreign firms has a significant positive effect on the decision of domestic firms in the same and upstream sectors to export. The proportion of exports of domestic firms declines through horizontal and forward linkages, but increases through backward linkages in the manufacturing sector. However, there is only weak evidence in support of export spillovers on domestic firms in the service sector. We also find that the presence of foreign firms has differing effects on the exporting activities of low- versus high-tech firms in the manufacturing sector.     

Cross‐sectional Restrictions on the Spot and Forward Term Structures of Interest Rates and Panel Unit Root Tests

In this paper we examine the stationarity of all the rates comprising the USD, GBP, DM and JPY spot and forward term structures. Instead of focussing on short maturity interest rates, as most other papers do, we perform a detailed analysis of the whole range of spot and forward interest rates of the 4 main currencies. We investigate the issue of stationarity within the framework of an equilibrium interest rate model such as Vasicek (1977), that defines the cross-sectional and time series properties that interest rates of various maturities must satisfy. We show that within a one-factor interest rate model, such as Vasicek, all interest rates are restricted to exhibit the same mean reverting behaviour. This restriction allows us to apply more powerful panel unit root tests. This methodology increases considerably the number of observations available and as a result the power of the unit root tests. The higher power of these tests allows us to demonstrate that there does exist mean reversion on the spot and forward US interest rates and the forward DM and GBP interest rates.     

尿素二分塔技改总结

通过对尿素二分塔的改造，解决了二分塔困扰我公司生产的一些难题，使其达到高负荷长周期稳定运行的目的。