传统仓储向全程物流转化的几点尝试

通过一个传统储运企业在实践中运作全程物流管理的几点的做法,阐述了储运企业将来发展的必然方向.     

On the necessity of five risk measures

The banking systems that deal with risk management depend on underlying risk measures. Following the Basel II accord, there are two separate methods by which banks may determine their capital requirement. The Value at Risk measure plays an important role in computing the capital for both approaches. In this paper we analyze the errors produced by using this measure. We discuss other measures, demonstrating their strengths and shortcomings. We give examples, showing the need for the information from multiple risk measures in order to determine a bank’s loss distribution. We conclude by suggesting a regulatory requirement of multiple risk measures being reported by banks, giving specific recommendations.     

Martingalized historical approach for option pricing

In a discrete time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor (SDF) and the empirical martingale correction methodologies. Using a CAC 40 options dataset, the differences are found to be small: the higher order moment correction involved in the SDF approach may not be that essential to reduce option pricing errors. This paper puts into evidence the fact that an appropriate modelling under the historical measure associated with an adequate correction (that we call here a “martingale correction”) permits to provide option prices which are close to market ones.     

基于投影寻踪的商务酒店微观选址研究

商务酒店微观选址属于多指标综合评价问题,各指标在性质和重要性方面均存在明显差异。本文用投影寻踪(Projection Pursuit Clustering,PPC)技术建立商务酒店微观选址综合评价模型,该模型通过优化投影向量系数,将影响酒店微观选址的多维指标转化为综合反映各指标信息的一维综合投影值,并依据该投影值的大小对酒店位置的优劣进行客观评价和排序;同时,根据各评价指标投影向量系数的大小和是否大于0,可以判定评价指标的性质、重要性及其进行排序。实例研究表明,PPC建模过程简单,对样本数量的要求不高,可避免人为因素的干扰,模型的稳健性好,为商务酒店微观选址的非线性决策问题提供了一种新的研究方法。     

我国在海外植树造林探讨

《京都议定书》规定的温室气体减排要求,发达国家可在海外进行碳交易和植树造林,购买和替代减排配额。虽然此义务目前不在发展中国家实行,我国也不承担减排义务,但发达国家承诺的义务只到2012年。一些国家已经要求世界温室气体排放第二位的中国承担义务。我国木材加工制造业、建筑业消耗及民间和政府消费,都需要大量的木材原料及加工产品,国内难以满足。为此,依据合理的国际分工及国际义务以及我国的实际需要,到热带发展中国家植树造林,配合走出去战略,既履行国际义务,援助发展中国家,又可得到我国工业与民用的木材原料供应。     

Who will Meet China’s Import Demand for Forest Products?

Via computable general equilibrium modeling we find that as a result of economic growth, Yuan appreciation, and logging restrictions in China, China’s imports and exports of forest products would dramatically increase, and China’s imports would have displacement effects as timber-exporting countries would increase their exports to China while reducing their shipments to other countries. Such displacement effects would make pressure on forests in supplying countries less than they otherwise might be. Global economic growth is a dominant driving force for China’s imports. Russia, Southeast Asia, and Africa would remain major foreign suppliers of logs to China, while supply sources for Chinese imported lumber and paper products would be relatively diverse.     

“TRIPS-递增”协定:类型化与特征分析(下)——基于后TRIPS时代知识产权国际保护制度发展趋势的一种考察

三、“TRIPS-递增”协定的特征分析 （一）“TRIPS-递增”协定与多边知识产权国际条约（或软法规范）互为联结,编织了一个错综复杂的条约网络     

Prediction in chaotic time series: methods and comparisons with an application to financial intra-day data

Different prediction methods for chaotic deterministic systems are compared. Two methods of reconstructing the dynamics of the systems are considered with a view to producing a profitable trading model. The methods developed are the ‘nearest neighbours’ method and the ‘radial basis functions’ method. The optimal prediction horizon according to the sampling time step, and a reliable method to measure the prediction error are discussed. These methods are applied to the intra-day series of exchange rates, namely DEM/FRF. Developments concerning the importance of noise when chaotic systems are studied are provided.     

Empirical estimation of tail dependence using copulas: application to Asian markets

This paper introduces non-parametric estimators for upper and lower tail dependence whose confidence intervals are obtained with a bootstrap method. We call these estimators ‘naïve estimators’ as they represent a discretization of Joe's formulae linking copulas to tail dependence. We apply the methodology to an empirical data set composed of three composite indexes for the three Tigers (Thailand, Malaysia and Indonesia). The extremes show a dependence structure which is symmetric for the Thai and Malaysian markets and asymmetric for the Thai and Indonesian markets and for the Malaysian and the Indonesian markets. Using these results we estimate the copula (which belongs to the Student or Archimedean copula families) for each pair of markets by two methods. Finally, we provide risk measurements using the best copula associated with each pair of markets.     

Change analysis of a dynamic copula for measuring dependence in multivariate financial data

This paper proposes a new approach to measure dependencies in multivariate financial data. Data in finance and insurance often cover a long time period. Therefore, the economic factors may induce some changes within the dependence structure. Recently, two methods have been proposed using copulas to analyse such changes. The first approach investigates changes within the parameters of the copula. The second determines the sequence of copulas using moving windows. In this paper we take into account the non-stationarity of the data and analyse the impact of (1) time-varying parameters for a copula family, and (2) the sequence of copulas, on the computations of the VaR and ES measures. We propose tests based on conditional copulas and the goodness-of-fit to decide the type of change, and further give the corresponding change analysis. We illustrate our approach using the Standard & Poor 500 and Nasdaq indices in order to compute risk measures using the two previous methods.