Forecasting of dependence,market, and investment risks of a global index portfolio

This paper undertakes an in-sample and rolling-window comparative analysis of dependence, market, and portfolio investment risks on a 10-year global index portfolio of developed, emerging, and commodity markets. We draw our empirical results by fitting vine copulas (e.g., r-vines, c-vines, d-vines), IGARCH(1,1) RiskMetrics value-at-risk (VaR), and portfolio optimization methods based on risk measures such as the variance, conditional value-at-risk, conditional drawdown-at-risk, minimizing regret (Minimax), and mean absolute deviation. The empirical results indicate that all international indices tend to correlate strongly in the negative tail of the return distribution; however, emerging markets, relative to developed and commodity markets, exhibit greater dependence, market, and portfolio investment risks. The portfolio optimization shows a clear preference towards the gold commodity for investment, while Japan and Canada are found to have the highest and lowest market risk, respectively. The vine copula analysis identifies symmetry in the dependence dynamics of the global index portfolio modeled. Large VaR diversification benefits are produced at the 95% and 99% confidence levels by the modeled international index portfolio. The empirical results may appeal to international portfolio investors and risk managers for advanced portfolio management, hedging, and risk forecasting.     

互联网金融环境下智能投顾对于投资行为的影响

基于国内知名网贷平台的数据，采用固定效应模型和双重差分分析方法，研究了智能投顾的使用对于投资者的投资金额和风险偏好的影响。实证结果表明，智能投顾的使用会减少投资者的单笔投资金额，增加投资者的总投资金额，并使得投资者的风险偏好趋于保守。研究结果丰富了智能投顾和行为金融学的研究内容，加深了智能投顾企业对于投资者行为的理解，使其可以更好地设计和完善相关服务。     

怀化高速洪江服务区雷电灾害的防护

为降低山区高速公路雷电灾害的风险，以怀化高速洪江服务区为试点，选取周边2007-2016年的闪电数据，结合区内环境和天气系统，采用数理统计方法分析服务区的雷电特征、雷电风险等级等.洪江服务区属多雷或强雷地带，雷电风险逐年递增，雷电的密度呈东多西少、强度呈西强东弱的趋势，特别是偏东和东北方位约200 m（服务区加油站附近）以远是大片的高雷区.西风带与东风波天气系统会对服务区雷电产生不同的影响.建议考虑服务区环境和雷电风险等级，按标准对防雷设施进行检测整改，加强偏东和东北方位的防雷设施建设，开展雷电灾害防护宣传等以减少雷电灾害的发生.     

Forecasting High‐Frequency Risk Measures

This article proposes intraday high‐frequency risk (HFR) measures for market risk in the case of irregularly spaced high‐frequency data. In this context, we distinguish three concepts of value‐at‐risk (VaR): the total VaR, the marginal (or per‐time‐unit) VaR and the instantaneous VaR. Since the market risk is obviously related to the duration between two consecutive trades, these measures are completed with a duration risk measure, i.e. the time‐at‐risk (TaR). We propose a forecasting procedure for VaR and TaR for each trade or other market microstructure event. Subsequently, we perform a backtesting procedure specifically designed to assess the validity of the VaR and TaR forecasts on irregularly spaced data. The performance of the HFR measure is illustrated in an empirical application for two stocks (Bank of America and Microsoft) and an exchange‐traded fund based on Standard & Poor's 500 index. We show that the intraday HFR forecasts capture accurately the volatility and duration dynamics for these three assets. Copyright © 2015 John Wiley & Sons, Ltd.     

多米诺骨牌理论中的人为失误与风险管理(英文)

通过介绍多米诺骨牌理论在风险管理中的作用原理,提出海事风险管理应主要以控制人为失误为主的观点,深入分析人为失误的原因,提出控制人为失误的方法,总结多米诺骨牌理论的优缺点.     

Dynamic density forecasts for multivariate asset returns

We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time‐varying) non‐central co‐moments of assets. We estimate the coefficients of the polynomial via the method of moments for a carefully selected set of co‐moments. In an extensive empirical study, we compare the proposed model with a range of other models widely used in the literature. Employing a recently proposed as well as standard techniques to evaluate multivariate forecasts, we conclude that the augmented joint density provides highly accurate forecasts of the ‘negative tail’ of the joint distribution. Copyright © 2010 John Wiley & Sons, Ltd.     

基于不确定理论的短期风险模型

在保险实务中,给定时间内的理赔总量是一个非常重要的数据,而针对该数据的模型更是保险风险分析中的基础模型.本文通过对给定时间内发生索赔的保单的研究分析,以不确定理论为工具,给出了两个带有限制条件的基于不确定理论的短期风险模型的分布,及其期望的一个性质.     

信息不对称理论的工程项目主体行为博弈分析

将信息不对称理论引入到工程项目风险管理中,对工程项目主体行为博弈进行了分析.首先,就业主与承包商在项目招投标阶段和合同履行阶段的博弈进行了分析,通过分析发现应当建立激励与约束机制避免逆向选择和道德风险,从而降低项目风险.随后,就业主与监理单位之间的博弈和承包商与监理单位之间的博弈进行了分析,分析表明可以通过奖励和惩罚两种方法来提高监理方的工作积极性;应当不断提高对监理单位的约束程度,促使监理系统成为一个自适应系统.     

企业战略风险的模糊评价模型

基于战略风险管理的基本概念与内容,从战略风险评价角度出发,提出了一类企业战略风险的模糊评价方法.即通过分析比较传统概率风险测度的不足,将模糊评价方法用于战略风险的评价,以更能准确地反映和把握企业战略的风险程度.     

基于ESS的银行资金营运风险系统的研究

经理支持系统ESS(Executive Support System),作为企业高层管理人员直接使用的信息系统,利用计算机技术和通信技术,专门用以支持高层管理和决策人员对企业内、外部信息的查询分析,支持高层管理人员的日常管理和战略决策工作。将ESS技术应用到银行业的资金营运风险管理中,改变了银行原资金营运风险管理模式,为银行风险管理提供了一项可行性方案,并取得了良好的效果。