Operational risk quantified with spectral risk measures: a refined closed-form approximation

The quantification of operational risk has become an important issue as a result of the new capital charges required by the Basel Capital Accord (Basel II) to cover the potential losses of this type of risk. In this paper, we investigate second-order approximation of operational risk quantified with spectral risk measures (OpSRMs) within the theory of second-order regular variation (2RV) and second-order subexponentiality. The result shows that asymptotically two cases (the fast convergence case and the slow convergence) arise depending on the range of the second-order parameter. We also show that the second-order approximation under 2RV is asymptotically equivalent to the slow convergence case. A number of Monte Carlo simulations for a range of empirically relevant frequency and severity distributions are employed to illustrate the performance of our second-order results. The simulation results indicate that our second-order approximations tend to reduce the estimation errors to a great degree, especially for the fast convergence case, and are able to capture the sub-extremal behavior of OpSRMs better than the first-order approximation. Our asymptotic results have implications for the regulation of financial institutions, and may provide further insights into the measurement and management of operational risk.     

水文序列相依变异识别的RIC定阶准则——以自回归模型为例

水文过程相依性是水文变异的主要表现形式之一,应用自回归模型对其进行拟合时合理确定模型阶数是一个难点问题。本文在分析AIC和BIC准则的基础上,提出了一种以原序列与其相依成分的相关系数作为拟合度指标,同时借用信息熵形式的函数式,作为模型不确定性度量指标的自回归模型定阶准则(简称RIC准则)。以AR(1)、AR(2)、AR(3)和AR(4)模型为例进行统计试验,将不同序列长度下该准则的定阶准确率与其他定阶准则进行比较,试验结果表明,RIC准则对于上述模型均具有较好的适应性,且定阶准确率远高于AIC准则,其中对于前三阶模型RIC准则优于BIC准则,但四阶模型略低于BIC准则。RIC准则的优势是可以同时满足模型定阶、相依程度分级与模型检验的需求,将其应用于实测水文序列分析,结果显示,该准则能较准确地识别自回归模型的阶数,且符合提出的"相依有变异而残差无变异的最小阶数"的检验标准。     

灰局势决策在水利工程开发方案优选中的应用

针对水利工程开发方案优选具有多目标、多层次等特点,建立灰局势决策模型并应用变异系数法确定评价指标权重。利用该模型对灌区改建扩建规划方案进行优选,结果表明这是一种有效的方法。     

应用改进BP网络对潼关高程的预测

作者在分析了影响汛前和汛后潼关高程变化值的因素的基础上，利用改进BP网络模型对非特征汛期和汛期潼关高程的变化值进行了计算。计算中不采用潼关的绝对高程，而用高程的变化量作为网络的较出物正量，从而减少计算误差，同时又能客观地考虑各影响因子的作用。改进后的BP模型学习时间短，精度满足要求。用该模型计算的潼关高程变化趋势与实际水库调度运行中的高程基本吻合。     

新疆平原区降水入渗补给地下水研究

以新疆昌吉地下水均衡试验站测得的降水入渗补给地下水量资料为基础 ,讨论了影响降水入渗补给地下水的因素 ,计算了潜水年降水入渗补给系数 ,建立了年降水入渗补给系数与潜水埋深间的经验公式     

黄河下游河道萎缩致灾机理探讨

本文基于水力学原理，结合实体模型试验及原型实测资料分析，探讨了黄河下游河道萎缩的概念、致灾效应和致灾机理。分析表明，河道萎缩是造床过程中河道排洪输沙功能衰退的一种演变现象，其致灾效应是使洪水涨率增大，同流量下洪水水位不断抬升。致灾的现象主要表现在畸型河势增加、工程险情增多、直接造成工程损失及滩区经济损失等。试验研究揭示，主河槽宽度缩窄造成洪水水位涨幅增大，河底平均高程抬升和过水断面面积减小造成洪水水位起涨的基准面抬升是河道萎缩致灾的主要原因。河道萎缩致灾效应的大小与萎缩模式有关，其中以“集中淤槽”模式所形成的致灾效应尤为明显。     

企业持续成长模式探讨——“变异”与持续成长

本文讨论了企业的持续成长模式．在借鉴生物生存机理的基础上．提出了“前变异”与“后变异”的概念．认为“前变异”是企业获取突破性技术的基本模式．“前变异”具有随机性和无指向性的特点．企业中大量存在的非分工合作是产生“前变异”的基础。     

Lake-Level Change and Water Balance Analysis at Lake Qinghai,West China during Recent Decades

Lake Qinghai, the largest saline lake with an area of 4,260 km² (2000) and average depth of 21 m (1985) in West China, has experienced severe decline in water level in recent decades. This study aimed to investigate water balance of the lake and identify the causes for the decline in lake level. There was a 3.35-m decline in water level with an average decreasing rate of 8.0 cm year⁻¹ between 1959 and 2000. The lake water balance showed that mean annual precipitation between 1959 and 2000 over the lake was 357 ± 10 mm, evaporation was 924 ± 10 mm, surface runoff water inflow was 348 ± 21 mm, groundwater inflow was 138 mm ± 9 and the change in lake level was −80 ± 31 mm. The variation of lake level was highly positively correlated to surface runoff and precipitation and negatively to evaporation, the correlation coefficients were 0.89, 0.81 and −0.66, respectively. Water consumption by human activities accounts for 1% of the evaporation loss of the lake, implying that water consumption by human activities has little effect on lake level decline. Most dramatic decline in lake level occurred in the warm and dry years, and moderate decline in the cold and dry years, and relatively slight decline in the warm and wet years, therefore, the trend of cold/warm and dry climate in recent decades may be the main reasons for the decline in lake level.     

降雨空间分布模式识别

以广东省内186个站点的年降雨量分布为基础，把模式识别的聚类分析理论方法引入降雨空间特征分类研究中，进行降雨特征空间分布模式识别，以预测无雨量站点的降雨模式，从而分析水资源的空间分布模式，以便制订有效的水资源利用方案。结果表明，广东省年降雨量在空间上的分布可划分为6类模式；同时基于BP人工神经网络算法，建立了以高程、气温、蒸发量为主要参数的可判别和预测无雨量测站区域的降雨空间分布模式所属类别的模型，经过模型的学习和验证，效果较好。     

灞河生态治理工程模型试验研究

通过模型试验 ,对位于西安市东郊因采沙使河道破坏严重的灞河河段进行了复现试验和研究 ,并以此为依据 ,通过优化比较为设计部门提供了合理的橡胶坝坝址和坝座高程。在此基础上 ,又对建坝后橡胶坝对上下游冲淤变化的影响进行了试验研究和分析 ,解决了工程设计中的一些关键技术问题