基于C藤Copula模型的混业经营下 聚合风险的度量

本文首次提出了对混业经营下聚合风险度量问题的实证研究,以VaR作为风险度量的工具,根据混业经营下金融机构所拥有的资产组合的特点,首先利用ARMA(1,1)-GARCH(1,1)模型提取了各单个资产的标准残差,再选取C藤Copula对各单个资产之间的相依结构进行了拟合,最后根据拟合的参数借助于蒙特卡罗模拟法进行了逆向模拟,得到了C藤Copula模型下VaR的回溯测试结果.同时,采用类似的方法,分别对R藤和D藤Copula模型下的VaR进行了回溯测试,并将3种模型下的回测结果进行了对比,得出了C藤Copula模型下得到的结果误差最小的结论.此外,文中还给出了用C藤Copula对多维数据之间的相依结构进行拟合的算法步骤以及利用蒙特卡罗模拟法求解多维资产组合VaR的步骤和方法.     

基于Copula方法的条件VaR估计

给出了股价日内波幅的定义，并应用Copula方法得到了股票价格日内波幅和收益率的相依结构，以及两者之间的尾部相依系数．利用Copula相依结构可以估计出联合分布以及日内波幅条件下的条件分布，进而得到条件VaR的估计．最后对上证指数和浦发银行股票进行了实证分析和比较，获得了有意义的结果．     

基于藤copula方法的区域性金融危机传染分析

金融危机传染检验是国际金融领域中值得研究的重要问题,大多数危机传染效应的检验方法都是基于两两国家之间的相依结构.利用藤结构下的pair copula模型得到一种新的区域性金融危机传染检验方法,全面地分析多个国家(或地区)收益率之间的相依结构,通过多元相依结构的变化对危机传染效应进行检验.最后对亚洲和欧洲几个主要股票市场指数和S&P500指数数据进行了实证分析,从区域的角度对比研究了美国次级债金融危机对亚洲和欧洲市场的传染效应.     

我国银行业系统性风险结构度量——基于尾部依赖视角

根据系统性风险的定义,系统性风险可以拆分为金融机构之间的风险传染以及风险传染之间的相依关系。Copula函数可以作为度量系统性风险的一种新方法,并具备很多优良性质。在此基础上引入C藤copula,该方法不仅可以度量出系统性风险的大小,而且可以度量出系统性风险中的传染结构,使得风险度量结果更加合理。运用C藤copula对我国银行业系统性风险结构进行了实证分析,结果表明,可以从控制商业银行之间风险传染的微观审慎监管以及控制银行之间风险传染之间的相依性的宏观审慎监管两个层面来对银行业系统性风险进行管理。     

基于ARMA-GARCH模型的风险价值与条件风险价值计算

基于ARMA-GARCH模型,给出风险价值VaR、条件风险价值CVaR的计算公式,分别在标准正态分布、student＇T分布、Skewed-T分布、广义误差分布条件下对模型进行数值模拟,并用上证A股、大同煤业股票相关数据拟合模型来进行实证分析.结果表明,利用ARMA-GARCH模型给出的计算公式能够准确地估计VaR值与CVaR值,并且随着给定概率水平p的减少,VaR与CVaR的值增大,对于给定同一概率水平的CVaR值比VaR值大,CVaR比VaR更能体现风险度量的大小.     

基于藤Copula-GARCH模型的金融资产间相依性研究

目的在金融市场多元化的背景下,研究各市场间的相关性对风险控制及投资组合问题有着巨大的帮助,构建GARCH Pair-Copula模型研究标普500指数、道琼斯工业指数、恒生指数、日经225指数、沪深300指数之间的相依关系。方法选取5个股指的日收益率序列,利用AR(1)-GARCH(1,1)-偏斜t模型和AR(1)-GJR(1,1)-偏斜t模型拟合其分布,用IFM方法估计参数,利用AIC和BIC准则选取最优的模型。结果在C藤和D藤结构下,选取Clayton Pair-Copula,t Pair-Copula,SJC Pair-Copula刻画市场间的相依关系。结论基于C藤的t Pair-Copula能较好地刻画市场间尾部对称的相依结构。     

基于copula的上市公司信用风险和市值变化相关性分析

首先应用结合变量选择的logistic模型估计了上市公司的违约概率,接着采用核密度估计方法和Archimedean copula函数分别拟合了上市公司的违约概率变化和市值变化的边缘分布和联合分布.并在大样本下通过条件VaR检验了结构化信用分析模型在中国市场的适用性.实证结果显示上市公司信用风险和公司市值变化之间存在负相关关系,公司财务的恶化或好转会对市值产生影响,且违约概率上升风险对市值降低较为敏感.此外,市场违约概率分布的变化是影响模型预测精度的主要因素,而违约概率和市值变化间相依结构的影响则相对较小.     

基于时变pair-copula的多资产投资组合VaR分析

在对资产组合的研究中采用pair-copula法构建了反映多个资产收益实际分布和相依性的联合分布函数,对每个pair-copula用二元时变copula替换原先的二元静态copula得到时变pair-copula,并结合蒙特卡洛模拟技术,给出投资组合的风险价值VaR的计算方法,最后通过实证分析验证了该模型的有效性和优越性.     

基于pair copula函数的资产组合风险分析

通过构造pair copula-GARCH-VaR模型来度量金融资产组合的风险,其中,用GJR-GARCH模型估计单个资产的分布,用pair copula函数来描绘组合中两两资产之间的相关结构,再通过Monte Carlo模拟的方法计算资产组合的VaR值.在实证分析中,取四支股票构成资产组合,用构造出的模型计算组合的风险价值,并将传统的n维copula方法与pair copula方法进行比较,证实了pair copula方法有更高的灵活性和准确性.     

基于藤Copula-POT的多资产尾部相依结构的研究

在基于pair-Copula高维建模方法的藤Copula理论框架下,构建了藤结构Copula-POT模型,并采用C藤和D藤结构分解下的Gaussian Copula和Frank Copula函数来研究外汇资产间的尾部相依结构.该模型考虑了单个资产的尾部特征,且克服了传统Copula的"维数灾难"问题,能更好地描述资产尾部间的相依结构.基于四种外汇资产(美元、欧元、日元和港币)的实证结果表明D藤能更好的对外汇资产间尾部相依结构进行描述,且D藤分解模式下的Frank Copula能更准确反映外汇资产尾部间的相依性,并针对外汇储备投资,给出相应的建议.     

Markedness and its Interpretation in Language Use

Language markedness is a common phenomenon in languages, and is reflected from hearing, vision and sense, i.e. the variation in the three aspects such as phonology, morphology and semantics. This paper focuses on the interpretation of markedness in language use following the three perspectives, i.e. pragmatic interpretation, psychological interpretation and cognitive interpretation, with an aim to define the function of markedness.     

Features of Women's language

Language is a means of verbal communication. People use language to communicate with each other. In the society, no two speakers are exactly alike in the way of speaking. Some differences are due to age, gender, statue and personality. Above all, gender is one of the obvious reasons. The writer of this paper tries to describe the features of women＇s language from these perspectives： pronunciation, intonation, diction, subjects, grammar and discourse. From the discussion of the features of women＇s language, more attention should be paid to language use in social context. What＇s more, the linguistic phenomena in a speaking community can be understood more thoroughly.     

An Analysis of Catherine＇s Character——Wuthering Heights

Wuthering Heights, Emily Bronte＇s only novel, was published in December of 1847 under the pseudonym Ellis Bell. The book did not gain immediate success, but it is now thought one of the finest novels in the English language. Catherine is the key character of this masterpiece, because everybody and everything center on her though she had a short life. We can understand this masterpiece better if we know Catherine well.     

Lower Paleozoic oil relationships within Williston Basin, Canada

The Williston Basin is a significant petroleum province, containing oil production zones that include the Middle Cambrian to Lower Ordovician, Upper Ordovician, Middle Devonian, Upper Devonian and Mississippian and within the Jurassic and Cretaceous. The oils of the Williston Basin exhibit a wide range of geochemical characteristics defined as "oil families", although the geochemical signature of the Cambrian Deadwood Formation and Lower Ordovician Winnipeg reservoired oils does not match any "oil family". Despite their close stratigraphic proximity, it is evident that the oils of the Lower Palaeozoic within the Williston Basin are distinct. This suggests the presence of a new "oil family" within the Williston Basin. Diagnostic geochemical signatures occur in the gasoline range chromatograms, within saturate fraction gas chromatograms and biomarker fingerprints. However, some of the established criteria and cross-plots that are currently used to segregate oils into distinct genetic families within the basin do not always meet with success, particularly when applied to the Lower Palaeozoic oils of the Deadwood and Winnipeg Formation.     

低渗透非均质砂岩油藏启动压力梯度研究

理论推导与室内实验相结合,建立了低渗透非均质砂岩油藏启动压力梯度确定方法。首先借助油藏流场与电场相似的原理,推导了非均质砂岩油藏启动压力梯度计算公式。其次基于稳定流实验方法,建立了非均质砂岩油藏启动压力梯度测试方法。结果表明:低渗透非均质砂岩油藏的启动压力梯度确定遵循两个等效原则。平面非均质油藏的启动压力梯度等于各级渗透率段的启动压力梯度关于长度的加权平均;纵向非均质油藏的启动压力梯度等于各渗透率层的启动压力梯度关于渗透率与渗流面积乘积的加权平均。研究成果可用于有效指导低渗透非均质砂岩油藏的合理井距确定,促进该类油藏的高效开发。     

On Tragic Consciousness In The Works By Ernest Hemingway

As an American modern novelist who were famous in the literary world, Hemingway was not a person who always followed the trend but a sharp observer. At the same time, he was a tragedy maestro, he paid great attention on existence, fate and end-result. The dramatis personae's tragedy of his works was an extreme limit by all means tragedy on the meaning of fearless challenge that failed. The beauty of tragedy was not produced on the destruction of life, but now this kind of value was in the impact activity. They performed for the reader about the tragedy on challenging for the limit and the death.     

Design and analysis of generic LBS application developing platform

Location based services is promising due to its novel working style and contents.A software platform is proposed to provide application programs of typical location based services and support new applications developing efficiently. The analysis shows that this scheme is easy implemented, low cost and adapt to all kinds of mobile nework system.     

Achieving Unusual States of Matter Under High Pressure

正The periodicity of the elements and the non-reactivity of the inner-shell electrons are two related principles of chemistry,rooted in the atomic shell structure.Within compounds,Group I elements,for example,invariably assume the+1 oxidation state,and their chemical properties differ completely from those of the p-block elements.These general rules govern our understanding of chemical structures and reactions.Using first principles calcula-     

Exchange-Correlation and Electronic Excitation Energies from Pairing Matrix Fluctuations

We have developed an adiabatic connection to formulate the ground-state exchange-correlation energy in terms of pairing matrix linear fluctuations.This formulation of the exchange-correlation energy opens a new channel for density functional approximations based on the many-body perturbation theory.We illustrate the potential of such approaches with an approximation based on the particle-particle Random Phase Approximation(pp-RPA).This re-     

Density Functional Theory for the Response of Periodic Systems to Electric Fields Based on the Vector Potential Approach

正The electronic and nuclear(structural/vibrational)response of 1D-3D nanoscale systems to electric fields gives rise to a host of optical,mechanical,spectral,etc.properties that are of high theoretical and applied interest.Due to the computational difficulty of treating such large systems it is convenient to model them as infinite and periodic(at least,in first approximation).The fundamental theoretical/computational problem in doing so is that