土地收储项目风险评估的模糊综合评价模型

针对土地收储项目风险的评估,综合运用正态分布检验、层次分析、模糊综合评价、残差分析等方法,以及Matlab7、Excel、Eviews6等编程软件,分析了土地收储项目风险指标与项目风险的关系,并依托模糊综合评价模型,给出了基于四个风险指标的风险评估方法。     

走向风险管理的内部控制研究

针对层出不穷的财务舞弊案例,新COSO框架下对内部控制和风险管理进行了新的补充和界定。通过对风险管理和内部控制的分析比较,在新框架的基础上,针对我国企业内部控制方面存在的弊端,提出企业内部控制将发展为更全面的风险管理。     

公私合作制交通工程项目风险管理

交通工程采用公私合作制（PPP）模式有很多优点,同时也伴随着大量风险和障碍．分析了交通工程PPP项目存在的主要风险及其后果,提出了减轻公私双方风险的原则和方法,并按照风险公平分担的基本原则,即由最具控制能力且控制成本最低的那方承担风险,所得回报与所承担风险匹配,给出了不同风险的分担策略以减少项目成本和提高项目成功的可能性,提出了PPP项目风险度量的风险指数模型及其计算过程和方法．     

Forecasting value‐at‐risk with a parsimonious portfolio spillover GARCH (PS‐GARCH) model

Accurate modelling of volatility (or risk) is important in finance, particularly as it relates to the modelling and forecasting of value‐at‐risk (VaR) thresholds. As financial applications typically deal with a portfolio of assets and risk, there are several multivariate GARCH models which specify the risk of one asset as depending on its own past as well as the past behaviour of other assets. Multivariate effects, whereby the risk of a given asset depends on the previous risk of any other asset, are termed spillover effects. In this paper we analyse the importance of considering spillover effects when forecasting financial volatility. The forecasting performance of the VARMA‐GARCH model of Ling and McAleer (2003), which includes spillover effects from all assets, the CCC model of Bollerslev (1990), which includes no spillovers, and a new Portfolio Spillover GARCH (PS‐GARCH) model, which accommodates aggregate spillovers parsimoniously and hence avoids the so‐called curse of dimensionality, are compared using a VaR example for a portfolio containing four international stock market indices. The empirical results suggest that spillover effects are statistically significant. However, the VaR threshold forecasts are generally found to be insensitive to the inclusion of spillover effects in any of the multivariate models considered. Copyright © 2008 John Wiley & Sons, Ltd.     

基于信用迁移的贷款组合多目标优化问题研究

针对现有研究大都仅对单个目标进行优化的现状,提出一种优化决策模型,即将企业信用风险迁移引入到贷款收益率的计算中,以限制资产数目、决策变量上下界等为约束条件,建立组合投资的收益最大、同时方差风险最小的优化决策模型。该模型是一个混合0-1变量的多目标规划问题,提出求解该模型的一种自适应改变惯性权重的离散粒子群算法,数值结果表明该算法是有效的,模型是合理的。     

求解热传导方程的四阶有限容积紧致格式

对非齐次热传导方程提出了一种数值求解的有限容积紧致格式,该格式具有空间上的四阶精度,且与有限差分紧致格式相比,更好地保持了问题的物理守恒性.数值算例表明,在相同的结点下,有限容积紧致格式比有限差分非紧致格式的精度更高.     

次近邻简立方格子键渗流模型的重整化群方法研究

采用实空间重整化群方法,对次近邻简立方格子键渗流模型进行了研究,得到了临界值Pc、模型在相变点的临界指数ν。最后说明了所得结果的合理性。     

Use of Internet Technology for the Improvement of Execution Management in Geotechnical Engineering Projects

An internet-based information and monitoring platform for the specific requirements of geotechnical engineering projects is presented. The platform is based on a hybrid-model approach consisting of a model-based information management system and a resource management system, the latter also referred to as DCMS. Project key information can be accessed via the main user interface, the graphical navigator. The graphical navigator provides also a direct access to additional information in the DCMS. Prompt reac-tion in exceptional situations as well as in daily work gets an extensive support. In practical applications it has been proven that this platform seems to be an adequate tool especially for risk assessment and management in geotechnical engineering projects. Components and advantages of the platform as well as ex periences from the applications are presented and discussed in the paper.     

带干扰的双险种复合负二项风险模型

基于保险公司在实际经营中收益所具有的不确定性,在现有文献模型的基础上建立了一个更现实的风险模型即带干扰的双险种复合负二项风险模型,给出了其破产概率的表达式及其相应的Lundberg不等式.