With the application of phasor measurement units(PMU)in the distribution system,it is expected that the performance of the distribution system state estimation can be improved obviously with the PMU measurements into ...With the application of phasor measurement units(PMU)in the distribution system,it is expected that the performance of the distribution system state estimation can be improved obviously with the PMU measurements into consideration.How to appropriately place the PMUs in the distribution is therefore become an important issue due to the economical consideration.According to the concept of efficient frontier,a value-at-risk based approach is proposed to make optimal placement of PMU taking account of the uncertainty of measure errors,statistical characteristics of the pseudo measurements,and reliability of the measurement instrument.The reasonability and feasibility of the proposed model is illustrated with 12-node system and IEEE-33 node system.Simulation results indicated that uncertainties of measurement error and instrument fault result in more PMU to be installed,and measurement uncertainty is the main affect factor unless the fault rate of PMU is quite high.展开更多
This paper investigates methods of value-at-risk (VaR) estimation using extreme value theory (EVT). It compares two different estimation methods, 'two-step subsample bootstrap' based on moment estimation and m...This paper investigates methods of value-at-risk (VaR) estimation using extreme value theory (EVT). It compares two different estimation methods, 'two-step subsample bootstrap' based on moment estimation and maximum likelihood estimation (MLE), according to their theoretical bases and computation procedures. Then, the estimation results are analyzed together with those of normal method and empirical method. The empirical research of foreign exchange data shows that the EVT methods have good characters in estimating VaR under extreme conditions and 'two-step subsample bootstrap' method is preferable to MLE.展开更多
根据g-h分布的统计特性,提出了基于投资组合极端损失的V aR计算方法——g-h V aR法.该方法结合了分析方法、历史模拟方法和极值理论方法的优点,能够较好地处理组合回报的不对称现象的厚尾现象.证券市场的实证研究表明,该方法优于常用的...根据g-h分布的统计特性,提出了基于投资组合极端损失的V aR计算方法——g-h V aR法.该方法结合了分析方法、历史模拟方法和极值理论方法的优点,能够较好地处理组合回报的不对称现象的厚尾现象.证券市场的实证研究表明,该方法优于常用的δ-正态方法.展开更多
Operational risk events have severely impacted the development of third-party payment(TPP)platforms,and have even led to a discussion on the operational risk capital charge settlement by relevant international regulat...Operational risk events have severely impacted the development of third-party payment(TPP)platforms,and have even led to a discussion on the operational risk capital charge settlement by relevant international regulators.However,prior studies have mostly focused on qualitative mechanism analysis,and have rarely examined quantitative risk assessment based on actual operational risk events.Therefore,this study attempts to assess the operational risk on TPP platforms in China by constructing a systematic framework incorporating database construction and risk modeling.First,the operational risk database that covers 202 events between Q1,2014,and Q2,2020 is constructed.Then,specific causes are clarified,and the characteristics are analyzed from both the trend and loss severity perspectives.Finally,the piecewise-defined severity distribution based-Loss Distribution Approach(PSD-LDA)with double truncation is utilized to assess the operational risk.Two main conclusions are drawn from the empirical analysis.First,legal risk and external fraud risk are the two main causes of operational risk.Second,the yearly Value at Risk and Expected Shortfall are 724.46 million yuan and 1081.98 million yuan under the 99.9%significance level,respectively.Our results are beneficial for both TPP platform operators and regulators in managing and controlling operational risk.展开更多
基金The author Min Liu received the grant of the National Natural Science Foundation of China(http://www.nsfc.gov.cn/)(51967004).
文摘With the application of phasor measurement units(PMU)in the distribution system,it is expected that the performance of the distribution system state estimation can be improved obviously with the PMU measurements into consideration.How to appropriately place the PMUs in the distribution is therefore become an important issue due to the economical consideration.According to the concept of efficient frontier,a value-at-risk based approach is proposed to make optimal placement of PMU taking account of the uncertainty of measure errors,statistical characteristics of the pseudo measurements,and reliability of the measurement instrument.The reasonability and feasibility of the proposed model is illustrated with 12-node system and IEEE-33 node system.Simulation results indicated that uncertainties of measurement error and instrument fault result in more PMU to be installed,and measurement uncertainty is the main affect factor unless the fault rate of PMU is quite high.
基金the National Natural Science Foundation of China (No. 79970041).
文摘This paper investigates methods of value-at-risk (VaR) estimation using extreme value theory (EVT). It compares two different estimation methods, 'two-step subsample bootstrap' based on moment estimation and maximum likelihood estimation (MLE), according to their theoretical bases and computation procedures. Then, the estimation results are analyzed together with those of normal method and empirical method. The empirical research of foreign exchange data shows that the EVT methods have good characters in estimating VaR under extreme conditions and 'two-step subsample bootstrap' method is preferable to MLE.
基金supported by grants from the National Natural Science Foundation of China(71425002,72101166)the Capital University of Economics and Business for the Fundamental Research Funds for Universities affiliated to Beijing(XRZ2021066).
文摘Operational risk events have severely impacted the development of third-party payment(TPP)platforms,and have even led to a discussion on the operational risk capital charge settlement by relevant international regulators.However,prior studies have mostly focused on qualitative mechanism analysis,and have rarely examined quantitative risk assessment based on actual operational risk events.Therefore,this study attempts to assess the operational risk on TPP platforms in China by constructing a systematic framework incorporating database construction and risk modeling.First,the operational risk database that covers 202 events between Q1,2014,and Q2,2020 is constructed.Then,specific causes are clarified,and the characteristics are analyzed from both the trend and loss severity perspectives.Finally,the piecewise-defined severity distribution based-Loss Distribution Approach(PSD-LDA)with double truncation is utilized to assess the operational risk.Two main conclusions are drawn from the empirical analysis.First,legal risk and external fraud risk are the two main causes of operational risk.Second,the yearly Value at Risk and Expected Shortfall are 724.46 million yuan and 1081.98 million yuan under the 99.9%significance level,respectively.Our results are beneficial for both TPP platform operators and regulators in managing and controlling operational risk.
