Asset Allocation under the Basel Accord Risk Measures

Financial institutions are currently required to meet more stringent capital requirements than they were before the recent financial crisis; in particular, the capital requirement for a large bank's trading book under the Basel 2.5 Accord more than doubles that under the Basel II Accord. The significant increase in capital requirements renders it necessary for banks to take into account the constraint of capital requirement when they make asset allocation decisions. In this paper, we propose a new asset allocation model that incorporates the regulatory capital requirements under both the Basel 2.5 Accord, which is currently in effect, and the Basel III Accord, which was recently proposed and is currently under discussion. We propose an unified algorithm based on the alternating direction augmented Lagrangian method to solve the model; we also establish the first-order optimality of the limit points of the sequence generated by the algorithm under some mild conditions. The algorithm is simple and easy to implement; each step of the algorithm consists of solving convex quadratic programming or one-dimensional subproblems. Numerical experiments on simulated and real market data show that the algorithm compares favorably with other existing methods, especially in cases in which the model is non-convex

Microblog Internet Public Opinion Characteristics and Propagation Mechanisms Analysis—A Case Study on Jiaxin Yao Trial

With its rapid development in recent years, microblog has gradually become the storm center of public opinion and one of the mainstream media. However, behind its flourish, microblog also brings hidden problems such as rumor and defraud, pressing for governance and supervision. With content analysis, this paper studies the heated discussion concerning Jiaxin Yao trial on March 23th, 2011 on Sina microblog. We make sampling analysis of the relevant information on microblog, establish three analytical unit—netizen characteristics, information characteristics and propagation characteristics, and do data statistics after coding. Based on data statistics, an multiple linear regression equation is found to describe the degree of transmission of the topic on microblog, thus outlining a preliminary transmission mechanism of public opinion on microblog. Some suggestions on how to use, supervise and guide the internet public opinion are also included in this paper

Microstructural characterisation of organic matter pores in coal-measure shale

      To gain the insight into the nature of organic matter (OM) micro-nanometer pores and fractal features of coal-measure shale from the OM macromolecular evolution perspective, 28 Taiyuan formation shale samples are collected from Qinshui Basin and characterized with Rock-eval, Field emission scanning electron microscope (FE-SEM), low-pressure N2 gas adsorption (Lp-N2GA) and Fourier transform infrared spectroscopy (FTIR). The results show that OM is in the high-over mature stage. Pore size ranges from 5.7 to 26.7 nm and pores less than 4 nm are dominant. Two pore fractal dimensions D1 and D2 are obtained from Lp-N2GA with the Frenkel-Halsey-Hill method, which are in the range of 2.272-2.617 and 2.561-2.799, respectively. A series of FTIR structure parameters are obtained by peak fitting the FTIR spectra to describe the microstructure of OM molecules, such as length of aliphatic chain, degree of aromatic carbon condensation and hydrocarbon generation potential. Micro-nanometer OM-related pores in FE-SEM images can be classified as OM hydrocarbon-generating pores, OM structure pores, OM intergranular pores and micro- cracks, with the first being most developed. Both hydrocarbon-generation and condensation of aromatic nucleus have positive effects on D1 . Hydrocarbon-generation is more effective for the development of micropores, while the condensation of aromatic nucleus is more conducive for the development of mesopores (<10 nm). The higher the total organic carbon content, and the more the micropores and mesopores (<10 nm) develop, the higher the value of D1 .Cited as: Li, K., Kong, S., Xia, P., Wang, X. Microstructural characterisation of organic matter pores in coal-measure shale. Advances in Geo-Energy Research, 2020, 4(4): 372-391, doi: 10.46690/ager.2020.04.0