Systemic risk in banking networks: Advantages of “tiered” banking systems

This paper studies the risk and potential impact of system-wide defaults in a tiered banking network, where a small group of head institutions has many credit linkages with other banks, while the majority of banks have only a few links. A network is random and displays a given distribution of the number of banks׳ linkages, known as degree. We model tiering by a negative correlation between degrees of neighboring banks and by a scale-free degree distribution. The main findings of the paper highlight the advantages of tiering. Both the risk of systemic crisis and the potential scope of the crisis are lower in systems with negative correlation of bank degrees than in other types of systems. Similarly, in scale-free networks, the resilience of the system to shocks is increasing with the level of tiering.     

商业银行内部评级法的违约概率预测新方法——基于二值响应面板数据模型的研究

违约概率(PD)的计量是商业银行内部评级体系的基础,它对整个内部评级体系的效果有根本性的影响.目前各种违约概率计量方法最大的缺陷是忽略了时间效应的影响.本文提出的含随机截距项的二值响应面板数据模型是对现有各种方法的深入和完善.首先,它成功地将二值响应模型融合在面板数据分析中;其次,它特别考虑了因为观测时间不同而产生的时间效应,依此在模型中加入了随机截距项.实证结果表明,这一方法具有更好的解释能力和预测效果,是银行业进行内部评级工作理想的模型,因此具有很强的理论价值和实践意义.     

空间曲线基本三棱形之浅认识

本文给出了空间曲线基本三棱形三个基本向量由一般参数形式到自然参数的证明,并将其应用到实际做题中。     

《金属卤化物灯(钠铊铟系列)性能要求》标准解读

金属卤化物灯(钠铊铟系列)是一种节能环保的新光源。GB/T 24333-2009《金属卤化物灯(钠铊铟系列)性能要求》中规定了该光源的适用对象、术语和定义、技术要求、试验方法、检验规则和标志等要素,为相关人员更好地应用标准来提升该系列产品的品质。本文对标准内容进行深层次解读。     

A stochastic shift model for economically designed charts constrained by the process stage configuration

An economic model including the labor resource and the process stage configuration is proposed to design X¯ charts allowing for all the design parameters to be varied in an adaptive way. A random shift size is considered during the economic design selection. The results obtained for a benchmark of 64 process stage scenarios show that the activities configuration and some process operating parameters influence the selection of the best control chart strategy; to model the random shift size, its exact distribution can be approximately fitted by a discrete distribution obtained from a relatively small sample of historical data. However, an accurate estimation of the inspection costs associated to the SPC activities is far from being achieved. An illustrative example shows the implementation of the proposed economic model in a real industrial case.     

Evaluating the effects of area closure for recreational fishing in a coral reef ecosystem: The benefits of an integrated economic and biophysical modeling

This paper presents an integrated agent-based model of recreational fishing behavior within a reef ecosystem as a platform for the evaluation of recreational fishing management strategies. Angler behavior is described using econometrically estimated site choice models, with site choice among anglers driven by site attributes and angler characteristics. The biophysical model represents the marine reef environment as a system with different trophic levels identifying algal and coral growth as well as two types of fish (piscivores and herbivores). Ecosystem dynamics are driven by interactions within the trophic levels and interaction between fish populations and fishing activities.The model is used to simulate recreational fishing activities and their interactions with the environment. Recreational fishing sites from the Ningaloo Marine Park, an iconic coral reef system in Western Australia, are used as a case study. A set of management strategies, including “business-as-usual” and different site closure durations, are assessed for two different levels of fishing pressures. The results show that not only the effectiveness but also the distribution of management impacts across space and over time can be very different from what one would expect without the benefit of integrated modeling.     

Mobility and optimal tenure choice

In this paper, we offer a dynamic model of the optimal tenure behavior of an individual who faces the possibility of moving multiple times during his lifetime. We also investigate the lifetime effects of such factors as income tax, property tax, transaction costs, and mortgage rates on the household’s tenure choice. The agents in the model utilize a genetic algorithm, a probabilistic search approach, to determine their optimal lifetime tenure choice path. The agents are forward looking in that they anticipate such possible events as changes in jobs, marital status, household size, or dissatisfaction with current residence. Our results suggest several housing policy implications and explain some of the empirical findings in the literature.     

基于主成分的BP神经网络煤层气产能预测方法

提出基于主成分的BP神经网络煤层气产能预测方法具有良好的仿真预测功能,预测结果相对误差平均1．67％,相对误差最大3．33％,最小0．22％,预测精度较高;为采用量化的排采参数预测煤层气产能提供了一种新方法。BP神经网络煤层气产能预测方法引入主成分分析,可以有效提高网络运行效率。对于产出关系不确定的煤层气井,可利用该方法获得排采参数到产气量的非线性映射关系,实现产量预测。     

Modelling microstructure noise with mutually exciting point processes

We introduce a new stochastic model for the variations of asset prices at the tick-by-tick level in dimension 1 (for a single asset) and 2 (for a pair of assets). The construction is based on marked point processes and relies on mutually exciting stochastic intensities as introduced by Hawkes. We associate a counting process with the positive and negative jumps of an asset price. By suitably coupling the stochastic intensities of upward and downward changes of prices for several assets simultaneously, we can reproduce microstructure noise (i.e. strong microscopic mean reversion at the level of seconds to a few minutes) and the Epps effect (i.e. the decorrelation of the increments in microscopic scales) while preserving standard Brownian diffusion behaviour on large scales. More effectively, we obtain analytical closed-form formulae for the mean signature plot and the correlation of two price increments that enable us to track across scales the effect of the mean-reversion up to the diffusive limit of the model. We show that the theoretical results are consistent with empirical fits on futures Euro–Bund and Euro–Bobl in several situations.