Measuring financial risks with copulas

This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using the concept of copulas. We select some special copulas and identify the type of dependency captured by each one. We fit copulas to daily returns and simulate from the fitted models. We compare the effect of the choice of copula on risk measures and assess the variability of one-step-ahead predictions of portfolio losses. We analyze extreme scenarios and fit extreme value copulas to the block maxima and minima from daily returns. The stress scenarios constructed are compared to those obtained using models from the extreme value theory. We illustrate the usefulness of the copula approach using two stock market indexes.     

DETERMINANTS OF SOVEREIGN BONDS RATINGS: A ROBUSTNESS ANALYSIS

Several studies have attempted to deduce the determinants of sovereign bond ratings. In this study, Extreme Bounds Analysis is applied to approximately 30 factors proposed by the literature in order to assess their robustness with a focus on the relative importance that economic and political variables receive in the shaping of the ratings. We find that policies that constrain the public sector are among the most robust. Variables such as rule of law, openness to economic flows, central bank independence, and market friendly policies are found to be more robustly correlated with the ratings than foreign reserves, fiscal deficit, sovereign bond yields, and economic growth.     

Stock price synchronicity to oil shocks across quantiles: Evidence from Chinese oil firms

This paper investigates behaviour of stock price synchronicity to oil shocks across quantiles for Chinese oil firms. The spillover effects of the oil market on a firm are segregated into firm-specific and market-wide information. First, our results report a higher level of synchronicity by dynamic conditional correlations than by R-square since the former better captures dynamic linear dependence. Second, we find strong evidence of size effect. In particular, stock price synchronicity is generally higher in large-cap firms than in small-cap ones. Oil shocks affect synchronicity in the upper quantiles differently based on firm size. Third, we also find that synchronicity responds to oil shocks significantly in extreme low quantiles, implying that shocks in the oil market are transmitted to Chinese oil firms via firm-specific information. Finally, we determine that oil shocks have little or no immediate impact on stock price synchronicity; instead, cumulative lagged effect is evident. This evidence highlights the lagging effect of spillover of oil shocks on Chinese oil firms.     

中国金融系统风险溢出效应研究——基于溢出指数和波动溢出网络

文章基于溢出指数和波动溢出网络方法,从静态和动态分别度量我国金融系统不同子市场间的风险联动水平及变动趋势。研究结果表明,我国金融系统风险溢出效应整体水平较高,各市场间联动性较强;市场内部滞后效应大于市场之间溢出效应,两两有向溢出效应具有强不对称性;作为我国金融系统的风险中心,货币市场始终处于风险溢出方,但在金融危机时期,其对外风险溢出效应相对减弱,而大宗商品市场、资本市场、房地产市场等其余市场的风险溢出效应相对增强。值得注意的是,当前我国金融系统整体风险溢出水平较高,市场间风险相关性较强,需要进一步加强系统性风险的监测与防范。     

低温低密度水泥复合减轻材料研究

深水固井一直存在低环境温度、低破裂压力梯度、潜在浅层流、材料成本较高等技术难题。针对这些问题开发出了一种适用于低温（10 ℃）深水固井的低密度水泥复合减轻材料体系KBS1053,该水泥体系的密度为1.55 g/cm3,具有低温下凝结速度较快、低温强度发展较好、浆体流动性较好等特点,其早期抗压强度高于同等密度空心玻璃微珠低密度水泥体系,且原材料来源广泛,具有良好的工程性能和经济效益。     

中水源热泵地板供暖运行策略分析

为研究中水源热泵地板供暖系统的节能策略,以石家庄市某实际运行小区的中水源热泵地板辐射供暖系统为对象,引入室外综合温度的概念,综合考虑室外气温、太阳辐射热与风速等环境因子的影响,推导得出了地板辐射供暖系统质调节情况下,保证热用户舒适度的二次网供、回水温度调节公式。经实际运行测试,由该调节公式计算得出的二次网供、回水温度作为地板辐射供暖系统分时段质调节的依据,可以在满足热用户舒适度要求的情况下,取得良好的节能效果。中水源热泵系统与地板辐射供暖系统的结合及推广为城市集中供热提供了新思路。     

浅谈井下高温锂电池的安全应用

本文对锂电池的爆炸原理进行了分析,并从防爆结构和管理制度两个方面对井下高温锂电池的安全使用进行了论述,对井下高温锂电池安全使用具有借鉴意义。     

The effects of ambient temperature changes on foodborne illness outbreaks associated with the restaurant industry

Foodborne illness outbreaks generate serious socioeconomic costs in the United States. Among many causes, the effects of weather change and the habit of frequently dining out at restaurants are very important topics for researchers, because ambient temperature change may influence the entire process of food consumption from farms to tables, and restaurants are considered to be the most predominant single location responsible for foodborne illness outbreaks. However, few studies have examined both factors simultaneously, although empirical findings support a significant relationship between each factor and foodborne illness outbreaks. Therefore, the objective of this study is to link the effects of ambient temperature change with foodborne illness outbreaks in restaurant business settings. Furthermore, this study aims to identify how restaurant firms have performed compared with others in regard to foodborne illness outbreaks. Finally, this study intends to suggest how restaurant firms can reduce or prevent the prevalence of foodborne illness outbreaks.     

算术平均值与n几何平均值不等式的动态规划证明

章求解了两类规划总是的极值，并据此得到一些不等式的简化证明。     

基于变参PI算法的单片机过零控制系统

文章阐述了一种可变参数的 PI 算法,基于该算法用单片机对燃油炉炉温进行过零控制。文章给出了单片机控制的接口电路及其程序框图。