汇率基本面模型对人民币汇率的预测能力

本文选取五个主流的汇率基本面模型,使用2005年汇改后的人民币兑美元、欧元、日元、英镑汇率数据进行样本内拟合和样本外预测,并通过计算损失函数和SPA统计量比较五种模型的预测能力。实证结果表明：随机游走模型短期内具有更优的预测能力,但中长期内,汇率基本面模型具有更优的预测能力;总体来讲,汇率基本面模型的预测能力优于随机游走模型,人民币汇率不存在“汇率失联之谜”;对不同的货币,具有最优预测能力的模型不同。     

Predicting loss given default (LGD) for residential mortgage loans: A two-stage model and empirical evidence for UK bank data

With the implementation of the Basel II regulatory framework, it became increasingly important for financial institutions to develop accurate loss models. This work investigates the loss given default (LGD) of mortgage loans using a large set of recovery data of residential mortgage defaults from a major UK bank. A Probability of Repossession Model and a Haircut Model are developed and then combined to give an expected loss percentage. We find that the Probability of Repossession Model should consist of more than just the commonly used loan-to-value ratio, and that the estimation of LGD benefits from the Haircut Model, which predicts the discount which the sale price of a repossessed property may undergo. This two-stage LGD model is shown to perform better than a single-stage LGD model (which models LGD directly from loan and collateral characteristics), as it achieves a better R² value and matches the distribution of the observed LGD more accurately.     

Comparisons of linear regression and survival analysis using single and mixture distributions approaches in modelling LGD

Estimating the recovery rate and recovery amount has become important in consumer credit due to the new Basel Accord regulation and the increase in the number of defaulters as a result of the recession. We compare linear regression and survival analysis models for modelling recovery rates and recovery amounts, in order to predict the loss given default (LGD) for unsecured consumer loans or credit cards. We also look at the advantages and disadvantages of using single and mixture distribution models for estimating these quantities.     

国际贷款损失准备金制度的最新发展及其对我国的启示

本文以巴塞尔新资本协议有关资本监管的内容为背景,总结了发达国家贷款损失准备金政策的最新发展,从准备金的分类、资本与准备金的关系等五个方面对发达国家的贷款损失准备金政策进行了比较分析。最后,对完善我国贷款损失准备金制度提出了若干看法与建议。     

Approximation of aggregate and extremal losses within the very heavy tails framework

The loss distribution approach is one of the three advanced measurement approaches to the Pillar I modeling proposed by Basel II in 2001. In this paper, one possible approximation of the aggregate and maximum loss distribution in the extremely low frequency/high severity case is given, i.e. the case of infinite mean of the loss sizes and loss inter-arrival times. In this study, independent but not identically distributed losses are considered. The minimum loss amount is considered increasing over time. A Monte Carlo simulation algorithm is presented and several quantiles are estimated. The same approximation is used for modeling the maximum and aggregate worldwide economy losses caused by very rare and very extreme events such as 9/11, the Russian rouble crisis, and the U.S. subprime mortgage crisis. The model parameters are fit on a data sample of operational losses. The respective aggregate and extremal loss quantiles are calculated.     

基于工艺改进的高效电机损耗降低研究

结合高效效率的检测,从降低电机总损耗的角度,分别针对定子铜耗、铁耗、转子铜耗、杂散耗、机械耗提出电机生产工艺的改进措施,经生产实践证明能有效降低高效电机的损耗,有效提高了电机的能效水平。     

贸易摩擦背景下提单风险及防范探析

经济全球化进程中,国际贸易冲突如影随形,各国贸易保护手段层出不穷,海关政策五花八门,给进出口企业带来大量挑战。在当前全球贸易环境恶化的情况下,出口方在履约过程中通过提单控制物权极为关键,但同时也面临着出口货物被无单放货、被进口国海关拍卖,然而却维权无力等各种不确定因素。从海运实践着手,结合当前贸易环境,以出口方角度分析提单风险及成因,寻找解决途径,从结算方式、贸易术语、提单种类的选择、投保出口信用险等方面提出了防范建议。     

一种商用车型A柱结构设计及验证

文章对商用车型A柱结构设计过程进行了分析,分析的内容包括功能设计、截面设计、具体的结构设计,以及制造工艺性设计、CAE分析验证等,经过系统的分析总结,提高了设计效率,缩短了汽车的开发时间。     

公允价值会计下未实现损益的影响研究

本文建立了一个价格动力学模型,用以检测与企业过去回报相关的未实现损益.经验表明,当企业在综合收益表中报告了相应投资的未实现损益后,公司价值与盈余都会有较大波动.把未实现损益包含在收益中会引起股价和盈余的波动,这与市场的弱式有效假说不一致.