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.     

The application of Operation and Technology Roadmapping to aid Singaporean SMEs identify and select emerging technologies

In order to aid Singaporean SMEs identify and select emerging technologies for business benefit, a modified process of the Cambridge T-Plan methodology has been introduced and applied to a pilot sample of 30 companies in a variety of manufacturing sectors. This fast and simple process takes the company through five key steps to enable them to create their first Operation and Technology Roadmap (OTR). The paper explains the background to the approach and focuses on the initial benefits identified by a survey of the pilot companies.     

日本循环经济的运作方式及启示

日本是世界上最早探索循环经济发展模式的国家之一,也是循环经济立法最全、资源循环利用率最高的国家。日本发展循环经济是客观资源条件、经济快速增长和实现可持续发展的要求,多年来,在循环经济的实践中取得了很大的成绩,积累了丰富的经验。目前我国已充分认识到发展循环经济的重要性,日本在建立循环型社会方面的运作方式给我们提供了经验和启示。     

Operational Research and the environment

The discipline of Operational Research (OR) is primarily concerned with improving the effectiveness and efficiency of decision processes. These processes take place everywhere in society: industry, banking, agriculture, government, politics. Frequent use of mathematical optimization models is typical of OR. Since the early '80s these models are increasingly packaged in a user-friendly way, as Decision Support Systems. In the following we will illustrate how OR can be used to describe and solve a number of environmental problems.     

Flexibility at different stages in the life cycle of projects: An empirical illustration of the “freedom to maneuver”

Many textbooks on project management present illustrations concerning the relative size of project attributes during different project phases. The derived models all have attributes in common, such as uncertainty, significance of decisions, and degree of freedom to maneuver, that are typically high in the beginning of the project and low in the end. At the same time, variables such as the accumulated cost and available information begin at low levels and end up at a high level at the end of the project. Based on empirical data from projects, this paper illustrates and quantifies one of these attributes, the freedom to maneuver, in different project phases.     

工程建设项目战略灵活性的实物期权评价

为了进一步提高项目价值,项目经理必须认识项目规划和管理的不确定性。传统的工程项目规划、预算和管理往往认为不确定性降低了项目的价值,并没有从中充分地挖掘增加项目价值的机会。实物期权方法就是利用战略灵活性来识别和把握在动态不确定中所隐蔽的项目价值。通过一个高速公路项目的案例来展示实物期权方法所带来的管理灵活性对评价和选择战略的重要意义。还讨论了实物期权应用中的一些问题,指出了今后研究的方向。     

利率市场化能降低企业营运风险吗?——基于融资约束和企业金融化的双重视角

如何提高金融服务实体经济的结构性调节功能并促进企业有序运营与健康发展是金融供给侧结构性改革的重要目标。利率市场化改革作为金融领域最重要的改革之一,其在微观层面如何影响实体经济运行引起了高度关注。本文首先从理论上诠释了利率市场化通过缓解融资约束、抑制金融化进而降低企业营运风险的逻辑关系。为识别利率市场化与企业营运风险之间的因果效应,本文以中国人民银行2004年10月取消金融机构贷款利率上限和2013年7月取消金融机构贷款利率下限为外生冲击,基于融资约束差异构造准自然实验为上述理论推断提供经验证据。特别地,利率市场化每增加1单位标准差,企业营运风险平均约下降样本标准差的2.39%。异质性分析表明,利率市场化对企业营运风险的抑制效应在融资约束程度较高、行业竞争程度较高、投资机会较多的企业中尤为明显。本文研究对于进一步优化资源配置效率、实现金融与实体经济高质量发展具有一定参考意义。     

Completing the State Space with Subjective States

We define an opportunity act as a mapping from an exogenously given objective state space to a set of lotteries over prizes, and consider preferences over opportunity acts. We allow the preferences to be possibly uncertainty averse. Our main theorem provides an axiomatization of the maxmin expected utility model. In the theorem we construct subjective states to complete the objective state space. As in E. Dekel et al. (Econometrica, in press), we obtain a unique subjective state space. We also allow for preference for flexibility in some of the subjective states and commitment in others. Journal of Economic Literature Classification Number: D81.     

Overeducation, regional labor markets, and spatial flexibility

For most workers, access to suitable employment is severely restricted by the fact that they look for jobs in the regional labor market rather than the global one. In this paper we analyze how macrolevel opportunities (regional market characteristics) and microlevel restrictions (the extent to which job searchers are restricted to the regional market) can help to explain the phenomenon of overeducation. We use a two-step procedure to control selective access to employment. The results show that the size of the labor market is an important factor in avoiding overeducation.