Backtesting Value-at-Risk: A Duration-Based Approach

Financial risk model evaluation or backtesting is a key partof the internal model's approach to market risk management aslaid out by the Basle Committee on Banking Supervision. However,existing backtesting methods have relatively low power in realisticsmall sample settings. Our contribution is the exploration ofnew tools for backtesting based on the duration of days betweenthe violations of the Value-at-Risk. Our Monte Carlo resultsshow that in realistic situations, the new duration-based testshave considerably better power properties than the previouslysuggested tests.     

Do Germans Save to Leave an Estate? An Examination of the Bequest Motive

I investigate whether a bequest motive for savings influences the post-retirement wealth trajectories of German households. Two measures of the bequest motive are studied: the existence of children as the main group of potential heirs and the respondents' declared intention to bequeath. While having children has no significant impact on households' wealth trajectories, stated bequest intentions are associated with considerable heterogeneity in wealth holdings. The main conclusion from this study is that both the pure life-cycle model and the life-cycle model with bequest motives provide a valid basis for a theory of household wealth accumulation once the heterogeneity of preferences is acknowledged.
JEL classification : D 91; J 14     

再论“用离心机作静力结构模型试验”

 本文通过最近所作的两个离心模型试验,进一步探讨了用离心机作静力结构模型试验的有关问题,试验结果进一步证明用离心机作静力结构模型试验,无论在理论上和试验技术上都是可行的,最后将有关问题作了进一步的讨论。     

正交曲线坐标下三维代数应力通量模型

针对弯曲及不规则明渠的水动力及物质输运特性，本文建立了曲线坐标系下的三维代数应力通量数学模型，对平面上弯曲及不规则复杂边界情形，采用Poisson方程进行正交曲线坐标变换，各向异性的湍流代数应力通量模型被引用于本文的模拟计算中，以体现复杂边界条件引起的水动力及物质输运特性的变化。通过180度强弯曲明渠水槽及贵溪电厂不规则边界河段物理模型试验两个实例计算表明，实测值与计算吻合良好，效果令人满意。     

对加拿大货币需求的数量分析

在特定的经济条件下，全社会货币需求量以及这个量的变动规律，是一国政府制定并执行货币政策和财政政策时所要考虑的重要参数。战后以来，西方国家政府一般是通过货币政策和财政政策的执行，最终影响产出量和就业水平。分析影响货币需求变动的因素及其变量之间的数量关系，是正确地预测货币需求变动的关键。加拿大的货币需求与其相关的经济因素之间的关系；加拿大货币供求与经济增长之间的关系。     

Pricing practices and firms' market power in international cellular markets, an empirical study

Previous studies on international marketing have typically asked the question: “how is the demand characterized across countries?” Such analysis is then used to provide guidelines for firms to enter new markets and/or to allocate marketing resources across countries. To provide such normative guidelines, however, one also needs to analyze the supply-side of the problem, i.e., ask: “what is the likely market power that firms will be able to command in different countries?” Building on the New Empirical Industrial Organization (NEIO) framework, recent research in marketing provides marketers with a variety of models to explore competitive interactions among firms in the context of a single market. The goal of this paper is to extend this literature to a multimarket/multinational context to help international marketers assess the likely market power they face when entering new countries. We illustrate the proposed method on the mobile telecommunications industry, using price and quantity data from 10 countries around the world, estimating firms' market power as a function of a number of country characteristics.The results indicate that, while the simple presence of competition diminishes firms' market power, it does not lead to perfect competition. Interestingly, a higher number of competitors in a country does not seem to have significant incremental effect on market power. In contrast, the country's commitment to a severe antitrust policy has a significant negative effect, while the monopolist's lead-time before competition is allowed has a significant positive effect on market power. These findings, together with a change in price elasticities as a result of competition, suggest that market power in different countries may originate from two sources: (i) collusive pricing among cellular operators and (ii) consumers' switching costs across service providers. For international marketers, the findings imply that the attractiveness of wealthier countries (with usually faster diffusion rates and larger market potential) may be mitigated by higher levels of competition (as a result of developed antitrust regulation and more consumer exposure to competitive marketing practices). From a policy point of view, it suggests that (in contrast to the conventional wisdom) simple deregulation may not be enough to reduce prices to competitive levels. In addition, a severe antitrust policy is crucial to achieve this goal.     

THE SQUARED ORNSTEIN-UHLENBECK MARKET

We study a complete market containing J assets, each asset contributing to the production of a single commodity at a rate that is a solution to the squared Ornstein-Uhlenbeck (Cox-Ingersoll-Ross) SDE. The assets are owned by K agents with CRRA utility functions, who follow feasible consumption/investment regimes so as to maximize their expected time-additive utility from consumption. We compute the equilibrium for this economy and determine the state-price density process from market clearing. Reducing to a single (representative) agent, and exploiting the relation between the squared-OU and squared-Bessel SDEs, we obtain closed-form expressions for the values of bonds, assets, and options on the total asset value. Typical model parameters are estimated by fitting bond price data, and we use these parameters to price the assets and options numerically. Implications for the total asset price itself as a diffusion are discussed. We also estimate implied volatility surfaces for options and bond yields.     

Pollution Control in Open Economies: Implications of Within-period Interactions for Dynamic Game Equilibrium

This paper examines a two-country, dynamic game model of pollution control in the presence of economic interactions between countries within a period, as well as the environmental interaction between periods (i.e., a change in the stock of global pollution). These economic interactions emerge because of changes in the terms of trade of polluting goods or the market share of domestic polluting industries. It is shown that if within-period externalities exist, a noncooperative equilibrium may result in a smaller stock of global pollution in the steady state than does international cooperation. Moreover, the properties of equilibrium paths depend on the direction and size of such externalities. In addition, trigger strategy equilibria that achieve the outcome of the collusive solution are examined.     

Price-maker型水电厂策略性报价

用古诺模型研究了Price-maker型水电厂在电力市场下的策略报价问题.将系统中各厂商的竞争简化为己方和虚拟对手组成的双人博弈,提出一种基于历史数据、分析对手行为的可行方法.该方法通过分析历史可获得数据,求取对手成本函数参数及系统的逆需求函数,由此获得合理的对手策略估计,并求取在此可能对手策略下的己方最优策略,从而达到己方收益最大的目标.     

Simulation of water and nitrogen dynamics in soils during wastewater applications by using a finite-element model

A mathematical model was developed to simulate water movement, mass transport, and nitrogen transformations in soils during wastewater applications. The model is one-dimensional and based on the Galerkin finite-element method. The submodel of mass transport of nitrogen incorporates the convection-dispersion processes of ammonium and nitrate nitrogen, nitrification, denitrification, ammonium exchange and uptake of ammonium and nitrate ions. The accuracy and validity of the proposed model was examined by comparison with an explicit-implicit finite-difference model results. The model was used for simulation of water and nitrogen dynamics during wastewater application in homogeneous and multi-layered soils under different N concentration, rate, duration and scheduling of application.