Linear Correlation and EVT: Properties and Caveats

Due to the current credit crisis, critical questions are beingasked concerning some of the quantitative methods used in riskmanagement under the Basel II proposals. In this paper I havegiven a critical look at Extreme Value Theory and Copulas. Boththeir potential applications and the possible caveats are discussed,and this mainly with the subprime crisis as a background.     

中国大豆外贸依存度影响因素分析

本文利用年度数据,测算了1988—2007年中国大豆外贸依存度,并对中国大豆外贸依存度的变化趋势特征进行了分析。在此基础上,构建了中国大豆外贸依存度实证模型,定量分析了中国大豆外贸依存度的影响因素。研究结果表明:国内大豆压榨需求和大豆关税税率的变化对中国大豆外贸依存度具有显著影响;而国内外大豆价格差、外汇储备以及实施转基因安全管理条例等因素对中国大豆外贸依存度的影响不显著。     

多维邻近性对校企创新合作绩效的影响研究

在百年未有之大变局的时代背景下,加强校企创新合作、促进科技成果转化是提升国家创新实力、促进国家科技变革的关键。然而,总体上看中国校企创新合作绩效不容乐观,如何提升其整体绩效也就成了亟需解决的问题。多维邻近性作为衡量校企创新合作绩效的常用前置因素,其影响关系也在不断随外界环境的变化而变化。因而文章在理论分析及案例调研的基础上,构建了多维邻近性的内涵维度以及对校企创新合作绩效的影响关系模型,并通过问卷调查等方法结合结构方程对概念模型进行探索验证。结果表明：认知、技术及关系邻近性通过合作信任度和合作依赖度两个中介正向影响校企创新合作绩效,地理邻近性的作用在下降,政府引导支持和技术中介服务在两者之间起的调节作用互补且显著。     

我国外贸依存度影响因素的灰色关联度分析

以对加工贸易、汇率、GDP等影响贸易依存度的主要因素定量分析为基础,建立灰色关联模型,分析外贸依存度与其影响因素的关联程度。结果表明,我国外贸依存度的迅速提高主要受到汇率的影响,紧随其后的依次是GDP水平、加工贸易和GDP构成差异。而国家根据经济发展情况以及开放程度制定的不同外贸政策,使得外贸依存度也呈现出阶段性变化。     

国际分工对产业结构演进的影响及其对我国的启示——基于新兴工业化国家跨国面板数据的经验分析

从需求角度探讨了国际分工与产业结构演变的关系,提出国际分工主要通过直接效应和间接效应,以及由此衍生的收入效应、关联效应和替代效应来影响一国产业结构变化的理论假说。采用20世纪80年代陆续进入工业化成熟期的15个新兴工业化国家的跨国面板数据进行了实证检验,发现这些新兴工业化国家在产业结构向服务经济转型的同时,制造业的比较优势和外贸依存度却出现了下降趋势,国内最终消费占比呈现上升趋势。其经济含义表明:新兴工业化国家如果过度强化在国际分工中的制造国地位,长期依靠商品贸易来拉动经济增长,可能阻碍产业结构由工业经济向服务经济的转型;而随着制造业比较优势的下降,如果减少对商品贸易的依赖,更多地依靠国内需求来发展经济,对于产业结构的转型将有正面的促进作用。以上结论对于我国经济结构的调整具有重要的借鉴意义。     

自然资源依赖对城乡收入差距的影响研究

［目的］针对全国31个省（市、区）（不含港澳台地区）、自然资源依赖度高的地区和自然资源依赖度低的地区,从整体和分区域研究自然资源依赖对城乡收入差距的影响,探究不同区域其影响程度的差异性,进而为弱化各区域城乡收入差距,解决由城乡收入差距拉大造成的各类社会矛盾具有重要的现实意义。［方法］从理论上分析了自然资源依赖对城乡收入差距的影响,并利用1999—2017年的省级面板数据,运用固定效应模型,从全国和分区域实证分析了自然资源依赖对城乡收入差距的影响。［结果］针对全国,自然资源依赖会拉大城乡收入差距; 分区域结果,针对自然资源依赖度高的地区,自然资源依赖拉大城乡收入差距; 针对自然资源依赖度低的地区,自然资源依赖对城乡收入差距影响不显著。［结论］为缩小城乡收入差距,需要降低经济体对自然资源的依赖,针对自然资源依赖度高的地区,政府通过将部分自然资源收益转化为农业创新基金和农村基础设施投入,促进自然资源收益向农村公共资本转化,完善现有的自然资源收益分配及转化制度; 鼓励资源型产业技术创新,加大研发投入,延长资源产业链; 加大农村教育投入、提升农村人力资本质量。     

Conditions Ensuring the Decomposition of Asset Demand for All Risk-Averse Investors

Abstract

The paper explores how the demand for a risky asset can be decomposed into an investment effect and a hedging effect by all risk-averse investors. This question has been shown to be complex when considered outside of the mean-variance framework. Dependence among returns on the risky assets is restricted to quadrant dependence and it is found that the demand for one risky asset can be decomposed into an investment component based on the risk premium offered by the asset and a hedging component used against the fluctuations in the return on the other risky asset. The paper also discusses how the class of quadrant-dependent distributions is related to that of two-fund separating distributions. This contribution opens up the search for broader distributional hypotheses suitable to asset demand models. Examples are discussed.     

Untersuchung über die Kränklichkeit in den staatlich unterstützten Krankenkassen Schwedens

Abstract

Von den Vorschriften, die für die staatlich unterstützten Krankenkassen gelten, werde ich hier nur so viel mitteilen, was für den Aufbau der mathematiscben Formeln notwendig ist, sowie einige Tatsachen, die bei Vergleichen mit anderen Kränklichkeitsmaterialien von Bedeutung sind. Im übrigen wird auf das Gesetz über Krankenkassen hingewiesen.     

Multivariate Cox Hidden Markov models with an application to operational risk

ABSTRACT

Modeling multivariate time-series aggregate losses is an important actuarial topic that is very challenging due to the fact that losses can be serially dependent with heterogeneous dependence structures across loss types and business lines. In this paper, we investigate a flexible class of multivariate Cox Hidden Markov Models for the joint arrival process of loss events. Some of the nice properties possessed by this class of models, such as closed-form expressions, thinning properties and model versatility are discussed in details. We provide the expectation-maximization (EM) algorithm for efficient model calibration. Applying the proposed model to an operational risk dataset, we demonstrate that the model offers sufficient flexibility to capture most characteristics of the observed loss frequencies. By modeling the log-transformed loss severities through mixture of Erlang distributions, we can model the aggregate losses. Finally, out-of-sample testing shows that the proposed model is adequate to predict short-term future operational risk losses.     

Is investment decision-making influenced by perceptions relating to auditors’ client dependence and amount of audit fees?

The objectives of this study are to examine whether investing decisions are affected by knowledge about the auditor's revenue dependence on a client and whether the amount spent by a company on audit fees affects decisions to invest in the company. A behavioral experiment is conducted where risk assessments and investing decisions are made for four hypothetical investing scenarios. The study finds that investing decisions are affected by knowledge about an auditor's revenue dependence on a client, but are not affected by knowledge about the size of a client's audit fees.