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Counterparty risk valuation on credit-linked notes under a Markov Chain framework

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Applied Mathematics(A Journal of Chinese Universities) 2021年第1期36卷 31-50页

作者： JIANG Ting-ting QIAN Xiao-song george Xian-zhi yuan Center for Financial Engineering Soochow UniversitySuzhou 215006China Postdoctoral Scientific Research Station Xiamen International BankXiamen 361000China School of Management Xiamen UniversityXiamen 361000China School of Mathematical Sciences Soochow UniversitySuzhou 215006China Business School Chengdu UniversityChengdu 610106China Shanghai Lixin University of Accounting and Finance Shanghai 201620China Business School Sun Yat-Sen UniversityGuangzhou 510275China

A credit-linked note(CLN)is a note paying an enhanced coupon to investors for bearing the credit risk of a reference *** this paper,we study the counterparty risk on CLNs under a Markov chain framework,and introduce a Markov copula model to describe joint defaults between the reference entity underlying the CLN and CLN *** that the respective default intensities are directly and inversely proportional to the interest rate,which follows a CIR process,we obtain the explicit formulae for CLN values through a PDE ***,credit valuation adjustment(CVA)formula is derived to price counterparty credit risk.

关键词： credit-linked notes(CLNs) Markov copula PDE CVA

A Prediction Framework for Turning Period Structures in COVID-19 Epidemic and Its Application to Practical Emergency Risk Management

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Journal of Systems Science and Information 2022年第4期10卷 309-337页

作者： Lan DI Yudi GU Guoqi QIAN george Xianzhi yuan School of Artificial Intelligence and Computer Science Jiangnan UniversityWuxi 214122China Center of Information Construct and Management Jiangnan UniversityWuxi 214122China School of Mathematics&Statistics University of MelbourneMelbourne VIC 3010Australia Business School East China University of Science and TechnologyShanghai 200237China Business School Chengdu UniversityChengdu 610106China Business School Sun Yat-sen UniversityGuangzhou 510275China

The aim of this paper is first to establish a general prediction framework for turning(period)term structures in COVID-19 epidemic related to the implementation of emergency risk management in the practice,which allows us to conduct the reliable estimation for the peak period based on the new concept of“Turning Period”(instead of the traditional one with the focus on“Turning Point”)for infectious disease spreading such as the COVID-19 epidemic appeared early in year *** a fact that emergency risk management is necessarily to implement emergency plans quickly,the identification of the Turning Period is a key element to emergency planning as it needs to provide a time line for effective actions and solutions to combat a pandemic by reducing as much unexpected risk as soon as *** applications,the paper also discusses how this“Turning Term(Period)Structure”is used to predict the peak phase for COVID-19 epidemic in Wuhan from January/2020 to early March/*** study shows that the predication framework established in this paper is capable to provide the trajectory of COVID-19 cases dynamics for a few weeks starting from Feb.10/2020 to early March/2020,from which we successfully predicted that the turning period of COVID-19 epidemic in Wuhan would arrive within one week after Feb.14/2020,as verified by the true observation in the *** method established in this paper for the prediction of“Turning Term(Period)Structures”by applying COVID-19 epidemic in China happened early 2020 seems timely and accurate,providing adequate time for the government,hospitals,essential industry sectors and services to meet peak demands and to prepare aftermath planning,and associated criteria for the Turning Term Structure of COVID-19 epidemic is expected to be a useful and powerful tool to implement the so-called“dynamic zero-COVID-19 policy”ongoing basis in the practice.

关键词： prediction framework turning period structure turing phase COVID-19 epidemic emergency risk management emergency plan Delta and Gamma i SEIR spatio-temporal model supersaturation phenomenon multiplex network dynamic zero-COVID-19 policy

新冠疫情冲击下中国有色金属期货市场效率分析

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计量经济学报 2024年第3期4卷 858-878页

作者：尹涛黄双双吴永强高汉王一鸣袁先智华东政法大学商学院上海201620 北京大学经济学院北京100871 成都大学商学院成都610106 重庆理工大学理学院重庆400054 中山大学管理学院广州510275 浙江清华长三角研究院数字金融研究中心嘉兴314107

由于全球新冠疫情的暴发,各国经济和金融市场受到了严重的冲击,而中国有色金属期货市场也不例外.因此,对于新冠疫情如何影响中国有色金属期货市场的研究,在我国期货市场的发展进程中具有重要的理论和实践意义.本文采用了MF-DFA和多重分... 详细信息

由于全球新冠疫情的暴发,各国经济和金融市场受到了严重的冲击,而中国有色金属期货市场也不例外.因此,对于新冠疫情如何影响中国有色金属期货市场的研究,在我国期货市场的发展进程中具有重要的理论和实践意义.本文采用了MF-DFA和多重分形谱分析方法,通过对沪铜、沪铝、沪锌、沪铅四种有色金属期货价格数据进行分析,探讨了新冠疫情对这些市场效率的影响,并进一步分析了市场风险的变化情况.实证结果显示,除了沪铜期货外,沪铝、沪锌、沪铅三种有色金属期货受到新冠疫情冲击后,市场效率下降、市场风险加大.具体而言,沪铝期货市场效率下降最为明显,而沪铅期货价格波动最为剧烈,市场风险增加最多.此外,本文对新冠疫情前后原始时间序列进行重排和替代处理后发现,在疫情前,时间序列的长程相关性对四种金属期货市场低效性的贡献程度更大;而在疫情之后,时间序列的厚尾分布对沪铜期货市场出现低效性的作用程度更大.而对其他三种有色金属期货来说,时间序列的长程相关性依然是其造成市场低效性更加重要的原因.以上结论阐述了较大冲击因素对市场造成的影响特征,有助于我国有色金属期货市场的成熟稳定发展.

关键词：新冠疫情 MF-DFA 有色金属期货市场多重分形市场效率

L^0-CONVEX COMPACTNESS AND RANDOM NORMAL STRUCTURE IN L^0(F,B)

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Acta Mathematica Scientia 2020年第2期40卷 457-469页

作者： Tiexin GUO Erxin ZHANG Yachao WANG george yuan School of Mathematics and Statistics Central South UniversityChangsha 410083China Centre for Financial Engineering Soochow UniversitySuzhou 215006China

Let(B,||·||)be a Banach space,(?,F,P)a probability space,and L^0(F,B)the set of equivalence classes of strong random elements(or strongly measurable functions)from(?,F,P)to(B,||·||).It is well known that L^0(F,B)becomes a complete random normed module,which has played an important role in the process of applications of random normed modules to the theory of Lebesgue-Bochner function spaces and random operator *** V be a closed convex subset of B and L^0(F,V)the set of equivalence classes of strong random elements from(?,F,P)to *** central purpose of this article is to prove the following two results:(1)L^0(F,V)is L^0-convexly compact if and only if V is weakly compact;(2)L^0(F,V)has random normal structure if V is weakly compact and has normal *** an application,a general random fixed point theorem for a strong random nonexpansive operator is given,which generalizes and improves several well known *** hope that our new method,namely skillfully combining measurable selection theorems,the theory of random normed modules,and Banach space techniques,can be applied in the other related aspects.

关键词： Complete random normed modules fixed point theorem L^0-convex compactness random normal structure random nonexpansive operators

Group relational privacy protection on time-constrained point of interests

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Frontiers of Computer Science 2023年第3期17卷 239-241页

作者： Bo NING Xiaonan LI Fan YANG Yunhao SUN Guanyu LI george Y.yuan Faculty of Information Science and Technology Dalian Maritime UniversityDalian 116026China Faculty of Software Dalian University of Foreign LanguagesDalian 116044China Thinvent Digital Technology Co. Ltd.Nanchang 330029China

1 Introduction With the rapid development of mobile networks,locationbased services has become popular in the daily lives of *** service providers can recommend the profitable services to persons through mining the frequent interests or places of ***,one aspect is that the historical data on Internet can easily cause the leakage of user-relationship privacy,another aspect is that the historical interests of person are always bound to ***,this paper devotes to study a privacy protection method on time-constrained point of interests(PoIs)based on the group relationships of users.

关键词： services relational constrained

Complex Interplay Among DNA Modification,Noncoding RNA Expression and Protein-coding RNA Expression in Salvia miltiorrhiza Chloroplast Genome

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Complex Interplay Among DNA Modification,Noncoding RNA Expre...

建立中国能源市场基础设施与框架制度面临的挑战

第十四届全国中药和天然药物学术研讨会

作者： Haimei Chen Jianhui Zhang george yuan Chang Liu Chinese Academy of Medical Sciences and Peking Union Medical College

＜正＞Salvia miltiorrhiza is one of the most widely used medicinal *** a first step to develop a chloroplast-based genetic engineering method for the over-productiongof active componentsfrom ***,we have analyzed the genome,transcriptome,and base modifications of the *** *** genomic DNA and RNA were extracted from fresh leaves and then subjected to strand-specific RNA-Seq and Single-Molecule Real-Time（SMRT）

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国际石油经济 2008年第8期16卷 50-54页

作者：袁先智黄佳音（编译）中国旅美专家协会美国得克萨斯州不详

文章从实践角度探讨在中国建立能源市场一般基础设施与框架制度所面临的关键问题与相关挑战,包括:1)行业市场类型的选择;2)市场基础设施的建设;3)市场框架制度的建立,文章同时对中国能源市场结构重组提出了建议,并以美国2002至2007年间... 详细信息

文章从实践角度探讨在中国建立能源市场一般基础设施与框架制度所面临的关键问题与相关挑战,包括:1)行业市场类型的选择;2)市场基础设施的建设;3)市场框架制度的建立,文章同时对中国能源市场结构重组提出了建议,并以美国2002至2007年间解除管制的电力市场作为案例,希望中国从中获得一些经验和教训。

关键词：能源市场市场类型基础设施框架制度结构重组

Credit Risk Analysis of Chinese Companies by Applying the CAFÉApproach

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国际计算机前沿大会会议论文集 2022年第2期 475-502页

作者： george X.yuan Chengxing Yan Yunpeng Zhou Haiyang Liu Guoqi Qian Yukun Shi Business School Chengdu UniversityChengdu 610106China Shanghai Hammer Digital Technology Co. Ltd.(Hammer)Shanghai 200093China Business School Sun Yat-Sen UniversityGuangzhou 510275China Business School East China University of Science and TechnologyShanghai 200093China School of Mathematics and Statistics University of MelbourneMelbourneVIC 3010Australia Adam Smith Business School University of GlasgowGlasgow G128QQUK

It is known that the current Credit Rating in financial markets of China is facing at least three problems:1)the rating is falsely high;2)the differentiation of credit rating is insufficient;and 3)the poor performance of predicting early warning,thus we must consider how to create a reasonable new credit risk analysis approach to deal with issues for financial markets in China for those listed companies’*** report shows that by using a newmethod called the“Hologram approach”as a tool,we are able to establish a so-called“CAFÉRisk Analysis System”(in short,“CAFÉApproach”,or“CAFÉ”)to resolve three issues for credit rating in *** particular,the main goal in this paper is to give a comprehensive report for credit risk assessments for eight selected list companies by applying our“CAFÉ”from different industry sectors against actual market performance with the time period from the past one to three years through our one-by-one interpretation for event screening and true occurrence and related *** this way,we show how“CAFÉ”is able to resolve current three major problems of“rating is falsely high,the differentiation of credit rating grades is insufficient,and the poor performance of predicting early warning”in the current credit market in China’s financial industry in practice.

关键词： Credit risk analysis Digital economy Big data financial technology Hologram Unstructured features Credit rating CAFÉassessment system

Origin of Symmetry Breaking and Confinement in Conducting Polymers with Ring Structures

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Communications in Theoretical Physics 2007年第2X期48卷 366-368页

作者： yuan yuan Thomas F. george SUN Xin Research Center for Quantum Manipulation Fudan University Shanghai 200433 China National Lab of Infrared Physics Shanghai 200083 China Office of the Chancellor and Center for Molecular Electronics Departments of Chemistry & Biochemistry and Physics & Astronomy Univ.ersity of Missouri-St. Louis St. Louis Missouri 63121 USA

A model to describe the main features of conjugated polymers with ring structures, such as polythiophene and polypyrrole, is constructed. It is shown that the origin of the symmetry breaking and confinement of a solit... 详细信息

关键词： polymer branch hopping symmetry breaking confinement