厚尾事件度量和压力测试在我国商业银行的应用研究

2008年爆发的全球性金融危机的原因在于市场参与各方都没有意识到整个经济中信贷增长、杠杆作用和房价泡沫形成了代价巨大的厚尾事件风险。本文旨在分析厚尾分布度量及压力测试方法的基础上,研究压力测试在我国的适用性,并对我国商业银行应用压力测试提出具体建议。     

复合材料层合结构层间应力分析

采用理论分析和数值模拟相结合的方法,研究了不同纤维铺设角下承受分布载荷层合板层间应力分布规律。研究结果表明:复合材料层合板层间剪应力τxz随纤维铺设角θ的增加而逐渐减小,但减小趋势不断减弱;层合板层间剪应力τyz随纤维铺设角度θ的增加而逐渐增加;距层合板中心o点距离为0~1.348m,层间剪应力随距离增大变化缓慢,为1.348~1.418m,层间剪应力急剧增大,在自由边界角节点处层间应力达到极值,此处易于发生脱层效应。     

混凝土施工温度与裂缝的控制浅析

混凝土裂缝的出现会影响建筑结构的安全和使用寿命,文章对混凝土裂缝产生的原因及控制措施提出了一些看法。     

稀释蒸汽发生器管口泄漏原因分析和对策

针对乙烯装置的稀释燕汽发生器在使用中频繁发生管口焊缝腐蚀、泄漏等问题,从设备结构和工艺运行角度上对此进行了分析,认为该换热器发生了应力腐蚀和汽蚀,提出了改进该换热设备结构,调整换热器的工艺过程等措施,从而使问题得到解决.     

Adverse risk interaction: An integrated approach

This paper studies adverse interaction between credit and market risk. We develop a comprehensive Merton-type model, in which payment ability of borrowers is driven by the overall economic growth, while the level of their liabilities is sensitive to market variables. To illustrate the model, we apply numerical simulations to estimate credit, market and integrated Value at Risk from the loss distribution using industry-wide data from the Serbian banking sector. We show that—even after accounting for presence of market risk in the banking book—the total risk remains higher than the simple sum of credit and market risk. The results emphasize the importance of integrated approach to assessment of economic capital.     

A New Cluster-Based Financial Vulnerability Indicator and Its Application to Household Stress Testing in Croatia

In this paper, we propose a new approach to household financial vulnerability analysis employing cluster technique in the identification of potentially vulnerable households. The cluster-based vulnerability indicator is applied to stress testing with the specific aim of assessing the extent to which the prolonged economic downturn following the Great Recession of 2008–9 hurt indebted households in Croatia. We compare the results based on the new approach with those based on traditional methods. Interest rate shocks have a stronger effect on household vulnerability in the traditional approach, whereas decrease in employment is found to be more disruptive in the cluster-based approach.     

矩形截面梁的截面翘曲模型建立及剪应力的进一步研究

在材料力学中,梁发生横力弯曲时,其截面上的剪应力一直用平面假设进行分析,然而事实上截面会发生翘曲变形,这就导致了传统的剪应力计算公式的精度不足,与工程实际有时会产生较大差距.本文根据截面翘曲的事实,提出了截面变形的奇次柱面假设,并以此假设为依据,用理论分析并结合实验的手段,进一步寻求更精确的剪应力计算公式.     

微波测定煤炭含水量方法的研究

针对传统的煤炭含水量测定方法耗时过长、准确性不高,通过分析矩形波导内介质的介电常数对截止频率的影响,提出了一种新的测算煤炭含水量的方法,该方法具有测量速度快、灵敏度高、不接触被测样品、抗干扰能力强等优点。     

Role stress and entrepreneurship research

Entrepreneurship as a domain of research has grown by benefiting from more established disciplines. However, a commonality in the early stages of applying established theories to entrepreneurship is the lack of grounded research frameworks. This paper reviews literature on role stress and develops a conceptual framework that illustrates how this construct can serve entrepreneurship research. Based on a review of psychological and sociological literature, the paper proposes a model of antecedents and consequences to entrepreneur role stress. Suggestions for future research and practical implications are also presented.     

Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests

This paper proposes a novel methodology to calibrate the magnitude of the countercyclical capital buffer (CCyB) using market-based stress tests. The macroprudential authority in our paper aims to contain the possibility of a breach of a minimum capital ratio in the event of a severe system-wide shock within a certain permissible failure probability. We apply the methodology by stress-testing major banks in six advanced economies on a quarterly basis over a period of 27 years. The estimates suggest that the cap on the CCyB should not be less than around 1.7% of total assets. Its potential normal-times level is estimated at approximately 0.8% of total assets.