A Study of Credit Risk Based on Copula Theory

信用是市场经济的基石，信用风险的危害倍受金融界关注。2008年由美国次贷危机引发的全球金融危机使信用风险成为全球关注的焦点。有效地度量和防范信用风险是世界各国政府和金融机构的当务之急，而度量违约相关性是度量信用风险的关键因素之一。 传统的度量违约相关性的方法主要有两种：一是线性相关系数的相关性测度方法，二是基于正态分布假设下来测度。由于信用风险具有很强的厚尾性和非对称性，用传统方法来度量必然会出现很大的偏差。应用Copula函数研究违约相关性是一个新兴的研究领域，由于Copula函数具有灵活的形式，可以用其捕捉较为复杂的违约相关性，尤其在刻画尾部相关性方面有很好的效果。 本文系统研究了信用...Credit is the cornerstone of market economy. The damage caused by credit risk is an issue of great concern in finance. In 2008, the credit default problem attracted worldwide attention again due to the global financial crisis, which was triggered by the subprime mortgage crisis in the United States. The issues on how to measure credit risk effectively and how to prevent risk efficiently have becom...学位：经济学博士院系专业：经济学院计划统计系_统计学学号：1542006015302

Analysis on the Effect of Mutual Push Between Urbanization and Consumer Demands

从定量的角度,采用向量自回归模型,运用脉冲响应函数对我国城市化和全国平均消费水平进行了动态性研究,揭示了两者内在的相互促进方式.阐述了合理加快城市化建设对扩大消费水平起到决定性作用,平均消费需求的提高又反作用于城市化建设,两者相互拉动.通过脉冲响应函数分析,得出两者相互影响的过程.Using Vector Auto-regression model and Impulse Response Function,this article investigates the dynamic correlation between development of urbanization and the level of consumption.The analysis indicates that the rational acceleration of urbanization can increase the demands of consumption,which have positive reaction to urbanization.教育部新世纪优秀人才计划基金资助项目(NCET-04-0608);; 国家统计局统计科学研究重点基金资助项目(LX200409

Model-free identification for nonlinear properties of rubber-bearings in base-isolated buildings

基底隔震建筑结构的抗震性能高度依赖于橡胶支座隔震系统的非线性特性。提出一种基于数据的方法,仅利用量测现役结构的部分加速度动力响应和作用在结构基底的激励,在不需要橡胶支座隔震系统数学模型的情况下,识别出橡胶支座隔震系统的非线性特性。首先,在微弱基底激励作用下,基于扩展卡尔曼预测估计算法识别出结构的物理参数,包括橡胶支座的线性刚度和阻尼。然后,在强基底激励作用下,将橡胶支座出现的非线性视为作用于结构的“附加未知虚拟外力“,通过依次对结构响应进行卡尔曼预测估计和对“附加未知虚拟外力“的最小二乘识别,可以识别橡胶支座的非线性力。数值算例结果表明,提出的方法可以识别出橡胶支座的非线性特性,并具有良好的精度。Aseismic behavior of base-isolated structures is highly dependent on nonlinear properties of their rubberbearing isolated system.Here,a data-based method using only partial measurements of structural dynamic response and excitation was proposed to identify the nonlinear property of the rubber-bearing isolated system without its mathematical model.Firstly,structural parameters including the linear stiffness and damping of the rubber-bearing under a minor earthquake were identified based on the extended Kalman estimator approach.Then,the nonlinear effect of the rubberbearing was treated as an additional unknown fictitious loading exerted on the building under a severe earthquake.With sequential application of Kalman estimator method in the structural responses and the least-square estimation of the additional unknown fictitious loading,the nonlinear property of the rubber-bearing was identified.Numerical simulation results demonstrated that the proposed method is capable of identifying nonlinear property of a rubber-bearing isolated system with good accuracy.国家自然科学基金课题(51178406); 同济大学土木工程防灾国家重点实验室开放课题(SLDRCE10-MB-01)资

The Study on Security Investment Attitude from the Viewpoint of Data Mining

证券公司对于客户的挖掘和分类有利于挖掘潜在客户和做出适当的营销决策。本文将决策树、逻辑斯蒂回归和贝氏机率分类算法用于判断被访者是否购买股票,以此挖掘潜在客户,用K-means聚类法将股票购买者划分不同的类型,并建议采取不同的服务和营销方式,提高客户的忠诚度。It's benifit to securities companies by making appropriate marketing decisions and mining the potential customers through mining and classification of their customers.Decision Tree,logistic regression,Bayesian probability classification algorithm are used to judge whether the customers will buy some stocks or not to potential customers.Different categories of customers can be got by K-means cluster through analyzing the existing customers of securities companies.Thereby different services will be adopted to satisfy the different demands from different customers and to enhance the customer loyalty.国家教育部社科研究规划项目(06JA910003)资

Measuring trace elements in alisma orientalis (Sam) juzep from four districts with ICP-MS

本文采用电热板—HNO_3—H_2O_2消解体系,电感耦合等离子体质谱(ICP—MS)法对分别产于福建建瓯、福建龙海、江西彭山、四川罐县等四个不同地区的泽泻进行微量元素的定量分析,通过数据处理统计,对泽泻中微量元素含量测定的结果、方法的准确性及其应用进行初步探讨。TCP - MS analytical technique has been used to measure the content of multi-elements in Alisma orientalis (Sam). Juzep, samples with the electrothermal plate and HNO3 - H2O2 dissolved system. The samples come from four districts: Jian'ou of Fujian province, Longhai of Fujian province, Pengshan of Jianxi province and Guanxian of Sichuan province. According to the data processing, we discuss the different content of trace elements from the selective four districts. evaluate the accuracy of this mthod and debate the application primarily.国家自然科学基金;; 福建省中药质量控制重点项

DETERMINATION OF ELEMENTS' CONTENT OF RHIZOME ALISMATICS IN FUJIAN AND ITS CLASSIFICATION DISCRIMINATION

利用电感耦合等离子体质谱 (ICP -MS) ,对福建建瓯产大叶、小叶泽泻中 17种元素的含量进行了测定 ,在此基础上 ,运用SAS软件的DISCRIM过程对两类泽泻样品进行了判别分析 ,取得了良好的分类判别结果 ,利用上述方法得到的泽泻元素含量分布图谱有可能为中药材指纹图谱的建立及其规范化种植提供新的途径。element contents of Rhizoma alismatics in Jianou Fujian were determined by ICP-MS. On the basis of the results, the classification discrimination of the two sorts of Rhizome Alismatics, which were Alismao rientalis (Sam.) Juzep and Alisma canaliculatum A. Braun et Bouche, respectively. was obtained by the software of the SAS. The distribution curve of elements' content measured in Rhizome Alismatics may provide probably a new way for the standardization growth and the fingerprint foundation of Traditional Chinese Medicine.福建省青年科技人才创新基金项目 ( 2 0 0 1J0 5 3 ) ;; 福建泽泻GAP重点项目资

Oil Spill identification by near-infrared spectroscopy coupled with clustering analysis based on principle components

鉴于目前没有一种方法能独立解决溢油鉴别的所有问题,本文提出了近红外光谱技术结合主成分聚类分析鉴别溢油种类的方法。通过有机溶剂萃取出自行配制的汽油、柴油和润滑油模拟样品中的溢油后记录其近红外光谱,对5800～6200cm-1区段范围内的谱图经多元散射校正(MSC)、Norris一阶导数平滑预处理处理后求其主成分,并在主成分的基础上引入Ward聚类分析法(离差平方和法)对样品分类。结果表明近红外光谱技术结合聚类分析能对体积分数在0.4～0.8mL/L间的海面溢油样品正确、快速分类,近红外光谱技术结合主成分聚类可作为溢油鉴别的一种辅助方法。Owing to none of the existing method can do it all for oil identification, but a method by near-infrared spectroscopy (NIR) coupled with clustering based on principle components is proposed. Petroleum oil stimulating samples of gasoline, diesel fuel and lubricating oil were employed to develop the method. NIR spectra ranges of 5800～6200cm~(-1) were recorded with the multiplicative signal correction and Norris first derivative filter pretreatments. The clustering analysis by Ward's method base on the different principle components was discussed. The results show that the method provides the rapid and accurate classification for spilled oil with concentration between 0.4～0.8 μL/L.国家高技术发展计划(863)资助项目(2001AA635040

Application of oil spill identification by GCMS——A case study

通过对中国近海海域一个具体海面溢油事例的研究,提出了通过气相色谱及气质联用技术进行海面溢油鉴别的方法。采用GC-FID对油样中的正构烷烃的主要组分进行定性分析,利用GC-MS对油中难降解的生物标记化合物:霍烷及其他五环三萜类化合物、规则甾烷及重排甾烷类化合物、三芳甾类化合物、多环芳烃进行分析,计算相应的比值并采用"t-分布"方法进行溢油样品和可疑溢油源样的相关分析。结果如下:(1)从GC-FID色谱图可以看出,YY2679与KY0631、KY0632的色谱图极其相似,与其余四个可疑油源的色谱图差异较大。六个可疑油源的R值在0.04~1.95之间,只有KY0631和KY0632的R值小于0.1,KY0633~KY0636与YY2679的差异不是由风化引起的,可以排除,由此可以推断出YY2679溢油样品可能来源于KY0631或KY0632两个可疑溢油源。(2)采用21个生物标志物指标进行相关性判别,KY0631可疑溢油源在比值点的区间范围为95%和98%时,有多个点x或y误差棒均未跨过直线y=x。KY0632可疑溢油源在比值点的区间范围为95%时,各点的x或y误差棒均跨过直线y=x,由此推断YY2679溢油样品和可疑油源KY0632是同一油源。On the basis of a case study,a method to identify the spilled oil at sea was introduced.N-alkane distribution patterns of unknown oil were recognized by gas chromatography-mass spectrometry determined the distribution of a suit of petroleum biomarkers hopanes,triterpanes,regular steranes diasteranes,triaromatic steroids and polycyclic aromatic hydrocarbons.The calculated diagnostic ratios for selected biomarker in the source of the spilled oil were done.The correlation studies compared the spill sample and suspected source were made.The results showed three samples nearly identical GC chromatographic profiles,n-alkane distribution patterns,as well as nearly identical diagnostic ratios.This implies that they were most likely from the same source.In 95%confidence limit,all diagnostic ratios of sample KY0632 is exactly the same as for YY2679,so conclusion that the sample of KY2679 and YY0632 are come from the same source

应用带八级杆碰撞/反应池(ORS)的电感耦合等离子体质谱(ICP-MS)同时测定大洋海水中的痕量元素

采用带八级杆碰撞 /反应池 (ORS)的电感耦合等离子体质谱 (ICP MS)同时测定海水中的多种痕量元素 .在碰撞池中引入氢气或者氦气 ,消除海水基体盐分带入的分子离子 ,例如ArCl+,ArNa+等对超痕量As,Cu等的干扰 .可以直接同时测定稀释海水中的多种痕量元素 ,如V ,Cr,Mn ,Fe ,Co,Ni,Cu ,Zn ,As,Cd ,Pb和U .除了样品稀释外不需要任何预处理与富集工作 ,用海水标准参考样品NASS 5进行方法验证 ,大多数元素的测定误差在 1 5 %以内

Research on siderophore secreted by Prorocentrum donghaiense Lu under iron-limited conditions

在铁限制条件下,进行东海原甲藻分泌铁载体的动态研究。对藻类在富铁与缺铁条件下生长状况、生长过程中分泌铁载体的情况以及海藻接种量对铁载体分泌的影响进行了连续观测,结果表明:东海原甲藻在缺铁条件下生长状况远不如在富铁条件下;随着藻类的生长,分泌铁载体不断增多,达指数生长期时,其分泌量也达到了最大值,之后藻类的生长和铁载体分泌都呈现下降趋势;高接种量东海原甲藻能分泌较多的铁载体,并在较短时间到达峰值。Under iron-limited conditions,marine microorganisms are able to secrete low-molecular-weight,highly specific iron chelators termed siderophores.These compounds scavenge iron from protein complexes or insoluble hydroxides in the extracellular environment and transport it to the cell cytosol via a membrane-bound receptor protein in the microorganism.Iron is a necessary requirement in marine ecosystems.Therefore research on siderophores is very significant to interpretation of high nitrate low chlorophyll(HNLC) regions and iron hypothesis.However,it is not clear whether eukaryotic phytoplankton can produce the iron-specific chelating compounds.Therefore,a systematic investigation was carried out for siderophore secreted by P.donghaiense Lu under iron-limited conditions.Parameters studied included the growth of the algae in iron-added and iron-deficient medium,the secretion of siderophore during algae growth,and the effect of algae population inoculated on the siderophore production.Results showed that the algae growth rate in iron-deficient medium was slower than those in iron-rich medium.Under iron-limited conditions,the siderophore production increased along with algae growth.Maximum production was observed in the exponential growth period.Thereafter the rate of algae growth and siderophore secretion started to decrease.Furthermore,increasing algae populationt resulted in secreting more siderophore and shortening the time needed to reach maximum production.国家高技术研究发展计划资助项目(2001AA635040);; 国家海洋局青年基金资助项目(2005102);; 国家重点基础研究发展规划资助项目(2001CB409702);; 青岛市科技将材计划资助项目~