A decision rule to minimize daily capital charges in forecasting value‐at‐risk

Under the Basel II Accord, banks and other authorized deposit‐taking institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of value‐at‐risk (VaR) models to measure risk. Sometimes the risk estimates communicated using these models are too high, thereby leading to large capital requirements and high capital costs. At other times, the risk estimates are too low, leading to excessive violations, so that realized losses are above the estimated risk. In this paper we analyze the profit‐maximizing problem of an ADI subject to capital requirements under the Basel II Accord as ADIs have to choose an optimal VaR reporting strategy that minimizes daily capital charges. Accordingly, we suggest a dynamic communication and forecasting strategy that responds to violations in a discrete and instantaneous manner, while adapting more slowly in periods of no violations. We apply the proposed strategy to Standard & Poor's 500 Index and show there can be substantial savings in daily capital charges, while restricting the number of violations to within the Basel II penalty limits. Copyright © 2009 John Wiley & Sons, Ltd.     

Forward Rates,Monetary Policy and the Economic Cycle

The short end of the yield curve incorporates essential information to forecast central banks' decisions, but in a biased manner. This article proposes a new method to forecast the Fed and the European Central Bank's decision rate by correcting the swap rates for their cyclical economic premium, using an affine term structure model. The corrected yields offer a higher out‐of‐sample forecasting power than the yields themselves. They also deliver forecasts that are either comparable or better than those obtained with a factor‐augmented vector autoregressive model, underlining the fact that yields are likely to contain at least as much information regarding monetary policy as a dataset composed of economic data series. Copyright © 2015 John Wiley & Sons, Ltd.     

Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations

This paper provides clear‐cut evidence that the out‐of‐sample VaR (value‐at‐risk) forecasting performance of alternative parametric volatility models, like EGARCH (exponential general autoregressive conditional heteroskedasticity) or GARCH, and Markov regime‐switching models, can be considerably improved if they are combined with skewed distributions of asset return innovations. The performance of these models is found to be similar to that of the EVT (extreme value theory) approach. The performance of the latter approach can also be improved if asset return innovations are assumed to be skewed distributed. The performance of the Markov regime‐switching model is considerably improved if this model allows for EGARCH effects, for all different volatility regimes considered. Copyright © 2014 John Wiley & Sons, Ltd.     

考虑专家信息的威布尔型产品定时截尾可靠性验收试验方案设计

可靠性验收试验是检验产品是否达到可靠性要求而进行的试验。试验方案的确定需要保证使用方风险和生产方风险可控。当前GJB899A中定时截尾试验方案往往需要较长的试验时间,短时试验方案又存在两类风险较大的问题,实际应用颇受诟病。根本原因在于GJB899A的试验方案确定只考虑了系统试验数据,而忽视了其多源信息。因此,本文针对复杂系统验收试验前存在多种形式专家信息,考虑系统寿命服从威布尔分布的情况,结合专家信息来计算产品在给定试验方案下的两类风险,进一步推导得到试验时间较短、风险可控的试验方案。文章最后给出了案例分析,通过对比,验证了所提方法的有效性。     

系统重要性股权质押上市公司的识别 ——股权质押违约的系统性风险贡献度视角

股权质押风险一旦爆发呈联动效应,影响范围将迅速波及多个市场,极有可能衍生出系统性风险,对整个金融市场和实体经济带来极大危害.围绕股权质押违约风险在股票市场和基金市场传染的核心问题,借鉴网络科学研究工具,从关联市场视角探索股权质押风险跨市场传染的路径和规律.首先描述了股权质押二部图网络的构建方法,利用关联网络的阈值传染模...     

论投资项目风险管理的重要性

阐述了项目风险管理的相关概念,分析了项目风险的特性,介绍了项目风险管理的主要方法和内容,探讨了项目风险管理的意义.     

我国创业投资中的风险与控制

通过发展创业投资来推动我国高新技术产业化的发展 ,已成为我国各级政府和科技、经济、金融等各界人士的共识 .然而 ,在看到创业投资发展有利之处的同时 ,我们也应注意到创业投资所蕴藏的巨大风险 .因此 ,认识创业投资的风险 ,研究其风险的控制问题是我国创业投资成功的关键 .此文主要探讨了创业投资运作各个阶段所存在的风险及控制风险的措施     

信息不完全与资产组合理论的文献综述

介绍了信息不完全与资产组合理论的基本理论成果,指出作为信息情报科学与经济学的交叉学科,现代资产组合理论是这一领域最为成功和最活跃的理论.     

我国企业安全生产风险抵押金制度的完善

指出企业安全生产风险抵押金制度具有适用主体特定、存储目的特定、存储金额特定、使用方式特定等特点。认为实施该制度很好地保障了五类企业劳动者的生命财产安全,对企业负责人加强安全生产也有很大的敦促作用,但是该制度也存在一些问题。提出了扩大存储的有效范围、拓宽抵押金的使用范围、加强监管等具体改进措施。     

从“新规范”看工程造价人员应增强的四种意识

本文通过对比我国颁布实施的两个工程量清单计价规范,即《建设工程工程量清单计价规范》GB50500-2003和GB50500-2008,总结出08规范的新特点,由此提炼出对具体贯彻者——工程造价人员提出的新要求,提出了为适应新环境造价人员应增强的四种意识。