creditrisk~+模型在信贷组合信用风险度量中的应用研究

creditrisk~+模型以泊松分布为理论基础,是一种输入数据较少、计算复杂度较小、便于在银行实际中应用和推广的信贷组合信用风险度量模型.本文在分析国外creditrisk~+模型频带划分缺陷基础上,改用加权平均的频带划分方法,并提出了新的违约率参数的确定办法,利用creditrisk~+模型对大连市商业银行某支行224笔中小公司贷款的非预期损失进行了实证计算.结果发现:creditrisk~+模型可以有效地计量信贷组合的非预期损失且可提高我国商业银行经济资本管理效率.     

资本约束对商业银行风险偏好的影响—来自中部某省份若干家商业银行的实证检验

本文以滞后一期的自回归模型为基础,综合运用统计描连、单位根检验、协整检验等技术,针对2002年至2006年中部某省份若干家商业银行的数据,实证检验了资本约束政策的实施对商业银行风险偏好的影响。结论显示:资本约束对商业银行的风险行为选择的影响巨大,但是资本软约束会强烈抵消资本约束带来的正效应;中小型银行比大型银行更具有政策的敏感度,中国的商业银行体系应当进一步进行深入的市场经济改革。本文的创新在于:建立了一个信贷行为偏好指数来刻画商业银行的风险偏好,并把资本约束的实施与资本约束的软化引入计量模型,分别进行了总量检验与分类检验,从而得到了有中国特色的分析结论与政策建议。     

粉状工业炸药配方设计的数学模型

论述了含C、H、O、N、Al元素的工业炸药配方设计数学模型的建构方法 ,研究了无梯硝铵炸药、铵梯油炸药和含铝铵梯油炸药配方设计及最优化的数学模型 ,给出了上述几种粉状工业炸药配方设计及最优化数学模型的计算结果。对用理论配方所制工业炸药的爆炸性能也进行了研究 ,以证实数学模型的可靠性。     

商业银行多项资产的合理分布

随着我国金融市场的进一步改革和完善,商业银行必须加强风险意识、优化资产结构、进行科学的资产管理,追求最大的利润,这已经成为日益增长的社会需求,本运用科布-道格拉斯型的效用函数,对商业银行资产的合理分配建立了一个理论模型,并分别讨论了在确定情形下和不确定情形下国有商业银行应该如何进行资产的合理分布,以达到规避风险和利润最大,即达到效用最大的目的。     

A novel technique for predicting ionizing radiation effects of commercial MOS devices

A nondestructive selection technique for predicting ionizing radiation effects of commercial metal-oxide-semiconductor (MOS) devices has been put forward. The basic principle and application details of this technique have been discussed. Practical application for the 54HC04 and 54HC08 circuits has shown that the predicted radiation-sensitive parameters such as threshold voltage, static power supply current and radiation failure total dose are consistent with the experimental results obtained only by measuring original electrical parameters. It is important and necessary to choose suitable information parameters. This novel technique can be used for initial radiation selection of some commercial MOS devices.     

Monitoring of Spirulina Flakes and Powders from Italian Companies

Microalgae and microalgae-derived compounds have great potential as supplements in the human diet and as a source of bioactive products with health benefits. Spirulina (Arthrospira platensis (Nordstedt) Gomont, or Spirulina platensis) belongs to the class of cyanobacteria and has been studied for its numerous health benefits, which include anti-inflammatory properties, among others. This work was aimed at comparing some spirulina products available on the Italian market. The commercial products here analyzed consisted of spirulina cultivated and processed with different approaches. Single-component spirulina products in powder and flake form, free of any type of excipient produced from four different companies operating in the sector, have been analyzed. The macro- and micromorphological examination, and the content of pigments, phycobiliproteins, phenols, and proteins have shown differences regarding the morphology and chemical composition, especially for those classes of particularly unstable compounds such as chlorophylls and carotenoids, suggesting a great influence of both culture conditions and processing methods.     

基于综合风险收益的贷款组合优化决策

商业银行货款组合决策的过程,是遵循“效益性、安全性、流动性”的原则,在综合考虑贷款收益和风险的前提下,从众多的贷款对象中选择一组合适的贷款对象的过程。建立综合考虑贷款收益和风险的贷款决策模型,有利于银行通过量化计算进行科学决策,以提高信贷质量,达到商业银行的经营目标。     

Comparison of commercial organic polymer‐based and silica‐based monolithic columns using mixtures of analytes differing in size and chemistry

Commercially available silica‐based monolithic columns Chromolith RP‐8e, Chromolith RP‐18, and Chromolith HR RP‐18, and polymer‐based monolithic columns ProSwift RP‐1S, ProSwift RP‐2H, and ProSwift RP‐3U varying in pore size and bonded phase have been tested for the fast separation of selected sets of analytes. These mixtures of analytes included small molecules (uracil, caffeine, 1‐phenylethanol, butyl paraben, and anthracene), acylated insulins, and intact proteins (ribonuclease A, cytochrome C, transferrin, apomyoglobin, and thyroglobulin), and covered wide range of chemistries and sizes. Small molecules were well separated with a height equivalent to theoretical plate of 11–26 μm using silica‐based monolithic columns, while organic polymer‐based monoliths excelled in the fast sub 1 min baseline separations of large molecules. A peak capacity of 37 was found for separation of acylated insulins on Chromolith columns using a 3 min gradient at a flow rate of 3 ml/min. Poor recovery of proteins from Chromolith columns and significant peak tailing of small molecules using ProSwift columns were the major obstacles in using monolithic columns in those applications.     

基于泰尔指数的盈利能力差异性测度研究

盈利能力是商业银行稳健性的重要保证。资产收益率(ROA)是衡量商业银行盈利能力的一个重要指标,但其无法直接衡量不同类型银行间盈利能力的差异性,也无法直接体现盈利能力差异不同影响因素的贡献度。基于此,本文的主要工作是在资产收益率的基础上,利用泰尔指数构造了单位资产收益率泰尔指数(ROUAT)与人均收益率泰尔指数(ROPPT)两个指标,用来测度商业银行盈利能力的差异性,并对中国13家上市商业银行2006~2015年的财务数据进行实证。实证结果表明:国有控股银行盈利能力的组内差异远大于股份制银行的组内差异,也大于国有控股银行和股份制银行的组间差异。通过对单位资产收益率泰尔指数(ROUAT)与人均收益率泰尔指数(ROPPT)对比,进一步发现人均收益率差异比单位资产收益率差异表现更为突出,说明现阶段银行的员工人数比银行的总资产对银行盈利能力的影响大。本文的主要贡献是利用泰尔指数和资产收益率构造了单位资产收益率泰尔指数和人均收益率泰尔指数两个指标,解决了不同分组下的商业银行的盈利能力差异性的测度问题,解决了差异性影响因素的贡献度问题,盈利能力差异性的测度为相关部门的政策制定提供参考。     

双目标DEA模型及其在商业银行评价中的应用

为了解决传统DEA模型所存在的判别能力弱和不现实权重两个缺陷,本文提出了一种双目标DEA模型。该模型在相同的约束条件下,同时以最大化各自效率和最小化所有效率值差异为目标。最后,通过某商业银行分支机构效率评价实例对所提出的方法进行了演示,说明了所提出方法的优点,着重说明了该方法可以很好地解决传统DEA方法所存在的两个缺陷。