Loss aversion and market crashes

This study proposes a rational expectation equilibrium model of stock market crashes with information asymmetry and loss averse speculators. We obtain a state-dependent linear optimal trading strategy, which makes the equilibrium price tractable. The model predicts nonlinear market depth and the result that small shocks to fundamentals (e.g., supply or informational shocks) can cause abrupt price movements. We demonstrate that short-sale constraints intensify asset price collapses relative to upward movements. The model also generates contagion between uncorrelated assets. These results are consistent with the main puzzling features observed during market crashes, namely abrupt and asymmetric price movements that are not driven by major news events but coupled with a spillover effect between unrelated markets.     

Predicting LGD distributions with mixed continuous and discrete ordinal outcomes

The loss given default (LGD) distribution is known to have a complex structure. Consequently, the parametric approach for its prediction by fitting a density function may suffer a loss of predictive power. To overcome this potential drawback, we use the cumulative probability model (CPM) to predict the LGD distribution. The CPM applies a transformed variable to model the LGD distribution. This transformed variable has a semiparametric structure. It models the predictor effects parametrically. The functional form of the transformation is unspecified. Thus, CPM provides more flexibility and simplicity in modeling the LGD distribution. To implement CPM, we collect a sample of defaulted debts from Moody’s Default and Recovery Database. Given this sample, we use an expanding rolling window approach to investigate the out-of-time performance of CPM and its alternatives. Our results confirm that CPM is better than its alternatives, in the sense of yielding more accurate LGD distribution predictions.     

低损耗高Q值声表面波谐振器

介绍了低损耗高Q值声表面瑞利波和声表面横波谐振器的原理、结构、制作和关键的设计参数，以及实验结果。其中双端声表面瑞利波谐振器的有载Q值可达5000以上，无载Q值可达20000以上。     

Separation of small and large claims on the basis of collective models

This paper is inspired by two papers of Riegel who proposed to consider the paid and incurred loss development of the individual claims and to use a filter in order to separate small and large claims and to construct loss development squares for the paid or incurred small or large claims and for the numbers of large claims. We show that such loss development squares can be constructed from collective models for the accident years. Moreover, under certain assumptions on these collective models, we show that a development pattern exists for each of these loss development squares, which implies that various methods of loss reserving can be used for prediction and that the chain ladder method is a natural method for the prediction of future numbers of large claims.     

浅析送电线路跨（穿）越物高程测量方法

文章以跨（穿）越高压线为例,讨论了送电线路测量中特殊地形地貌情况下测量跨（穿）越物高程的几种方法,并推导出了相应的计算公式。     

零膨胀损失次数的贝叶斯分位回归模型

研究目标：建立零膨胀损失次数的贝叶斯分位回归模型。研究方法：通过增加随机扰动将离散型的损失次数数据转化为连续型数据,在预测误差平方和最小的条件下,求解出分位数水平,并应用贝叶斯方法求解分位回归模型中的参数。研究发现：基于得到的分位回归模型及相应的分位数水平,实现对未来的损失频率的预测。研究创新：借助等式关系,求解分位回归的分位数水平,避免主观选择分位数水平的弊端,实现对零膨胀损失次数贝叶斯分位回归建模。研究价值：基于一组实际数据的实证分析结果表明,该模型可以显著改进现有模型的拟合效果。     

贷款损失准备金与资本充足率监管——来自日本银行业的实证分析

在以资本充足率监管为核心的国际银行业监管框架内,贷款损失准备金是影响资本充足率监管有效性的重要因素。本文运用向量自回归模型实证考察了日本银行业贷款准备金政策对资本的影响,实证结果表明:(1)银行增加贷款准备金计提在短期内会对资本造成负面冲击,而长期内却有利于提高资本水平;(2)短期内贷款准备金对资本的负面冲击向长期内贷款准备金对稳定和提高资本水平均衡调整的速度很慢,意味着贷款准备金政策的缺陷严重削弱了日本银行业资本监管的有效性。本文从日本银行业贷款准备金政策的发展进一步分析了实证结果的原因,并且指出我国实施资本充足率监管在完善贷款准备金政策方面的建议。     

我国发展“绿色保险”的经济学分析

本文从经济学的角度阐述了在我国发展"绿色保险"不仅有利于环境外部不经济的内部化和分散风险补偿损失,而且有利于社会可持续发展目标的实现和拓宽我国保险业的发展空间。     

突发信源模型存在的问题及其改进

在ＡＴＭ网络的流量控制问题的研究中，突发信源模型是一种被广泛采用的信源分析模型，然而，目前常用的突发信源模型并不完善，以致常常实际的队列分析。为此，本文提出了一种改进的突发信源模型，这种改进的模型不仅在理论上更加完善，而且更与情况相吻合。