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Risk Driven Dynamic Test Based on Fuzzy Comprehensive Judgment Theory 被引量:5
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作者 Yu Song Pei Wang 《通讯和计算机(中英文版)》 2010年第6期1-5,共5页
关键词 模糊综合评判理论 测试驱动 风险 动态试验 静态测试方法 软件测试 软件工程 测试软件
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A Test Case Prioritization through Correlation of Requirement and Risk
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作者 Miso Yoon Eunyoung Lee +1 位作者 Mikyoung Song Byoungju Choi 《Journal of Software Engineering and Applications》 2012年第10期823-835,共13页
Test case prioritization techniques have been focused on regression testing which is conducted on an already executed test suite. In fact, the test case prioritization for new testing is also required. In this paper, ... Test case prioritization techniques have been focused on regression testing which is conducted on an already executed test suite. In fact, the test case prioritization for new testing is also required. In this paper, we propose a method to prioritize new test cases by calculating risk exposure value for requirements and analyzing risk items based on the calculation to evaluate relevant test cases and thereby determining the test case priority through the evaluated values. Moreover, we demonstrate effectiveness of our technique through empirical studies in terms of both APFD and fault severity. 展开更多
关键词 test CASE PRIORITY risk-Based testing REQUIREMENT Analysis risk EXPOSURE
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The Empirical Tests on Risk in Chinese Futures Market
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作者 Hong Tian Li Tang 《Chinese Business Review》 2003年第3期54-57,共4页
The Research on Market Risks has been developed abroad in all sorts of markets since 1960's. It's necessary to comprehend and consider opportunity and challenge in Chinese futures market from the viewpoint of risk m... The Research on Market Risks has been developed abroad in all sorts of markets since 1960's. It's necessary to comprehend and consider opportunity and challenge in Chinese futures market from the viewpoint of risk management. With different ARCH models, we find heteroscedasticity does exist in Chinese market, so we adopt the Variance Ratio. We test empirically the prices of Chinese futures market from 1993 to 2002. The results show that only futures price of copper meets the random walk, thereby confirming the weak form market efficiency. It also means that the function of price discovery is weak and the risk of futures market is poor. Finally, we give much constructive policy advice. 展开更多
关键词 Chinese futures market risk management empirical tests
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Profile Likelihood Tests for Common Risk Ratios in Meta-Analysis Studies
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作者 Chukiat Viwatwongkasem Khanokporn Donjdee Tantanut Poodphraw 《Open Journal of Statistics》 2018年第6期915-930,共16页
It is well-known that the power of Cochran’s Q test to assess the presence of heterogeneity among treatment effects in a clinical meta-analysis is low due to the small number of studies combined. Two modified tests (... It is well-known that the power of Cochran’s Q test to assess the presence of heterogeneity among treatment effects in a clinical meta-analysis is low due to the small number of studies combined. Two modified tests (PL1, PL2) were proposed by replacing the profile maximum likelihood estimator (PMLE) into the variance formula of logarithm of risk ratio in the standard chi-square test statistic for testing the null common risk ratios across all k studies (i = 1, L, k). The simply naive test (SIM) as another comparative candidate has considerably arisen. The performance of tests in terms of type I error rate under the null hypothesis and power of test under the random effects hypothesis was done via a simulation plan with various combinations of significance levels, numbers of studies, sample sizes in treatment and control arms, and true risk ratios as effect sizes of interest. The results indicated that for moderate to large study sizes (k?≥ 16)?in combination with moderate to large sample sizes?(?≥ 50), three tests (PL1, PL2, and Q) could control type I error rates in almost all situations. Two proposed tests (PL1, PL2) performed best with the highest power when?k?≥ 16?and moderate sample sizes (= 50,100);this finding was very useful to make a recommendation to use them in practical situations. Meanwhile, the standard Q test performed best when?k?≥ 16 and large sample sizes (≥ 500). Moreover, no tests were reasonable for small sample sizes (≤ 10), regardless of study size k. The simply naive test (SIM) is recommended to be adopted with high performance when k = 4 in combination with (≥ 500). 展开更多
关键词 PROFILE LIKELIHOOD test Cochran Q test META-ANALYSIS HETEROGENEITY risk Ratios
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Assessment of cardiovascular risk in diabetes:Risk scores and provocative testing
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作者 Teresa Lam Kharis Burns +2 位作者 Mark Dennis N Wah Cheung Jenny E Gunton 《World Journal of Diabetes》 SCIE CAS 2015年第4期634-641,共8页
Cardiovascular disease(CVD) is the leading cause of morbidity and mortality among patients with diabetes mellitus,who have a risk of cardiovascular mortality two to four times that of people without diabetes.An indivi... Cardiovascular disease(CVD) is the leading cause of morbidity and mortality among patients with diabetes mellitus,who have a risk of cardiovascular mortality two to four times that of people without diabetes.An individualised approach to cardiovascular risk estimation and management is needed.Over the past decades,many risk scores have been developed to predict CVD.However,few have been externally validated in a diabetic population and limited studies have examined the impact of applying a prediction model in clinical practice.Currently,guidelines are focused on testing for CVD in symptomatic patients.Atypical symptoms or silent ischemia are more common in the diabetic population,and with additional markers of vascular disease such as erectile dysfunction and autonomic neuropathy,these guidelines can be difficult to interpret.We propose an algorithm incorporating cardiovascular risk scores in combination with typical and atypical signs and symptoms to alert clinicians to consider further investigation with provocative testing.The modalities for investigation of CVD are discussed. 展开更多
关键词 DIABETES Cardiovascular risk risk SCORES Provocative testing SILENT ISCHAEMIA ATYPICAL symptoms
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A Problem of Testing Homogeneity Against Order Constraints on Risk Differences
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作者 胡果荣 高巍 史宁中 《Northeastern Mathematical Journal》 CSCD 2004年第2期127-130,共4页
Consider I pairs of independent binomial variates x0i and x1i with corresponding parameters P0i and p1i and sample sizes n0i and n1i for i=1, …,I. Let △i = P1i-P0i be the difference of the two binomial parameters, w... Consider I pairs of independent binomial variates x0i and x1i with corresponding parameters P0i and p1i and sample sizes n0i and n1i for i=1, …,I. Let △i = P1i-P0i be the difference of the two binomial parameters, where △i’s are to be of interest and P0i’s are nuisance parameters. The null hypothesis of homogeneity on the risk difference can be written as 展开更多
关键词 risk difference likelihood ratio test HOMOGENEITY simple order maximum likelihood estimation
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中国系统性金融风险信息溢出者是谁——来自SRISK模型及网络分析法的经验证据 被引量:3
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作者 任英华 刘洋 +1 位作者 彭庆雪 汤季蓉 《湖南大学学报(社会科学版)》 CSSCI 北大核心 2021年第3期49-59,共11页
基于SRISK模型测度2009-2019年银行、多元金融、保险和房地产四部门共计240家上市公司的系统性风险,并通过有向网络分析金融机构之间风险信息的溢出效应,研究发现“h=132天,C=-40%”更加符合我国系统性危机事件定义方式;在风险总量上,... 基于SRISK模型测度2009-2019年银行、多元金融、保险和房地产四部门共计240家上市公司的系统性风险,并通过有向网络分析金融机构之间风险信息的溢出效应,研究发现“h=132天,C=-40%”更加符合我国系统性危机事件定义方式;在风险总量上,银行和保险部门占据重要地位,房地产近年来上升趋势明显;在风险信息传导上,银行是重要的长期风险信息溢出者。 展开更多
关键词 Srisk 系统性金融风险 蒙特卡罗方法 有向格兰杰因果检验 风险溢出网络
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文献《Atlas V Development—Overview of Dynamics Testing》点评
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作者 冯振兴 《航天器环境工程》 2012年第3期349-354,共6页
文章对《Atlas V运载火箭的研发——动力学试验概况》一文的技术内容进行了较全面的阐述,对Atlas V研制过程中所涉及的降低发射风险的系统工程方法,减少起飞振动方面的技术工作、声载荷及声环境的试验验证方法,模态和刚度试验技术及动... 文章对《Atlas V运载火箭的研发——动力学试验概况》一文的技术内容进行了较全面的阐述,对Atlas V研制过程中所涉及的降低发射风险的系统工程方法,减少起飞振动方面的技术工作、声载荷及声环境的试验验证方法,模态和刚度试验技术及动力学试验计划纲要等动力学环境试验内容与特点进行了较为详细的分析与点评,并在此基础上提出了利用混响室激励方法开展全尺寸运载火箭模态试验的建议。 展开更多
关键词 运载火箭 发射风险 结构动力学试验 振动试验 声试验 模态试验 刚度试验 冲击试验
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Application of quantitative estimates of fecal hemoglobin concentration for risk prediction of colorectal neoplasia 被引量:1
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作者 Chao-Sheng Liao Yu-Min Lin +6 位作者 Hung-Chuen Chang Yu-Hung Chen Lee-Won Chong Chun-Hao Chen Yueh-Shih Lin Kuo-Ching Yang Chia-Hui Shih 《World Journal of Gastroenterology》 SCIE CAS 2013年第45期8366-8372,共7页
AIM:To determine the role of the fecal immunochemical test(FIT),used to evaluate fecal hemoglobin concentration,in the prediction of histological grade and risk of colorectal tumors.METHODS:We enrolled 17881 individua... AIM:To determine the role of the fecal immunochemical test(FIT),used to evaluate fecal hemoglobin concentration,in the prediction of histological grade and risk of colorectal tumors.METHODS:We enrolled 17881 individuals who attended the two-step colorectal cancer screening program in a single hospital between January 2010 and October 2011.Colonoscopy was recommended to the participants with an FIT of≥12 ngHb/mL buffer.We classified colorectal lesions as cancer(C),advanced adenoma(AA),adenoma(A),and others(O)by their colonoscopic and histological findings.Multiple linear regression analysis adjusted for age and gender was used to determine the association between the FIT results and colorectal tumor grade.The risk of adenomatous neoplasia was estimated by calculating the positive predictive values for different FIT concentrations.RESULTS:The positive rate of the FIT was 10.9%(1948/17881).The attendance rate for colonoscopy was 63.1%(1229/1948).The number of false positive results was 23.Of these 1229 cases,the numbers of O,A,AA,and C were 759,221,201,and 48,respectively.Regression analysis revealed a positive association between histological grade and FIT concentration(β=0.088,P<0.01).A significant log-linear relationship was found between the concentration and positive predictive value of the FIT for predicting colorectal tumors(R2>0.95,P<0.001).CONCLUSION:Higher FIT concentrations are associated with more advanced histological grades.Risk prediction for colorectal neoplasia based on individual FIT concentrations is significant and may help to improve the performance of screening programs. 展开更多
关键词 COLORECTAL cancer FECAL immunochemical test SCREENING risk prediction Performance
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Effect of various drinking water on human micronucleus frequency in high-risk population of PHC 被引量:1
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《World Journal of Gastroenterology》 SCIE CAS CSCD 1998年第2期91-92,共2页
EfectofvariousdrinkingwateronhumanmicronucleusfrequencyinhighriskpopulationofPHCLIUEr,ZHANGQiNanandLIWen... EfectofvariousdrinkingwateronhumanmicronucleusfrequencyinhighriskpopulationofPHCLIUEr,ZHANGQiNanandLIWenGuangSubjectheadi... 展开更多
关键词 liver neoplasms/etiology carcinoma hepatocellular/etiology WATER MICRONUCLEUS tests LYMPHOCYTES risk factors
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Safety Control Technology of Deepwater Perforated Gas Well Testing 被引量:1
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作者 Hao Liang Muwang Wu 《Engineering(科研)》 2019年第3期131-136,共6页
Due to the high difficulties, high investment, and high risks in deepwater oil and gas well testing, major safety problems can occur easily. A key to prevent accidents is to conduct safety assessment and control on de... Due to the high difficulties, high investment, and high risks in deepwater oil and gas well testing, major safety problems can occur easily. A key to prevent accidents is to conduct safety assessment and control on deepwater testing and to improve the testing technology. The deepwater of the South China Sea has some special environmental features: long distance from offshore, frequent typhoons in summer and constant monsoons in winter, and the presence of sandy slopes, sandy ridges and internal waves, coupled with the complex properties of oil and gas reserves which bring more challenges to deepwater well testing. In combination with deepwater well testing practice in the South China Sea, this paper analyzes the main potential risks in deepwater well testing and concludes that there are risks of failures of testing string, tools, and ground processes. Other risks are gas hydrate blockage, reservoir stratum sanding, and typhoon impacts. Specific precautions are also proposed in response to these risks in the paper. 展开更多
关键词 SAFETY Control WELL testING DEEPWATER risk
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Myocardial perfusion imaging in patients with a recent, normal exercise test
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作者 Ann Bovin Ib C Klausen Lars J Petersen 《World Journal of Cardiology》 CAS 2013年第3期54-59,共6页
AIM: To investigate the added value of myocardial perfusion scintigraphy imaging (MPI) in consecutive patients with suspected coronary artery disease (CAD) and a recent, normal exercise electrocardiography (ECG). METH... AIM: To investigate the added value of myocardial perfusion scintigraphy imaging (MPI) in consecutive patients with suspected coronary artery disease (CAD) and a recent, normal exercise electrocardiography (ECG). METHODS: This study was a retrospective analysis of consecutive patients referred for MPI during a 2-year period from 2006-2007 at one clinic. All eligible patients were suspected of suffering from CAD, and had performed a satisfactory bicycle exercise test (i.e. , peak heart rate > 85% of the expected, age-predicted maximum) within 6 mo of referral, their exercise ECG was had no signs of ischemia, there was no exercise-limiting angina, and no cardiac events occurred between the exercise test and referral. The patients subsequently underwent a standard 2-d, stress-rest exercise MPI. Ischemia was defined based on visual scoring supported by quantitative segmental analysis (i.e. , sum of stress score > 3). The results of cardiac catheterizationwere analyzed, and clinical follow up was performed by review of electronic medical files. RESULTS: A total of 56 patients fulfilled the eligibility criteria. Most patients had a low or intermediate ATPⅢ pretest risk of CAD (6 patients had a high pre-test risk). The referral exercise test showed a mean Duke score of 5 (range: 2 to 11), which translated to a low postexercise risk in 66% and intermediate risk in 34%. A total of seven patients were reported with ischemia by MPI. Three of these patients had high ATPⅢ pre-test risk scores. Six of these seven patients underwent cardiac catheterization, which showed significant stenosis in one patient with a high pre-test risk of CAD, and indeterminate lesions in three patients (two of whom had high pre-test risk scores). With MPI as a gate keeper for catheterization, no significant, epicardial stenosis was observed in any of the 50 patients (0%, 95% confidence interval 0.0 to 7.1) with low to intermediate pre-test risk of CAD and a negative exercise test. No cardiac events occurred in any patients within a median follow up period of > 1200 d. CONCLUSION: The added diagnostic value of MPI in patients with low or intermediate risk of CAD and a recent, normal exercise test is marginal. 展开更多
关键词 Single photon emission tomography ISCHEMIC heart disease MYOCARDIAL PERFUSION imaging Pretest risk Post-test risk Added value Exercise electro-cardiography
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Modeling dependence based on mixture copulas and its application in risk management 被引量:2
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作者 OUYANG Zi-sheng LIAO Hui YANG Xiang-qun 《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2009年第4期393-401,共9页
This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using the copula, and the application of copula functions in VaR valuation. After the introduction of th... This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using the copula, and the application of copula functions in VaR valuation. After the introduction of the pure copula method and the maximum and minimum mixture copula method, authors present a new algorithm based on the more generalized mixture copula functions and the dependence measure, and apply the method to the portfolio of Shanghai stock composite index and Shenzhen stock component index. Comparing with the results from various methods, one can find that the mixture copula method is better than the pure Gaussian copula method and the maximum and minimum mixture copula method on different VaR level. 展开更多
关键词 Gaussian mixture copula VALUE-AT-risk DEPENDENCE back-test Spearman's rho
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中国优控多环芳烃土壤污染特征及国内外生物可给性研究进展 被引量:1
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作者 陈梦舫 周源 +4 位作者 韩璐 李义连 陈雪艳 侯少林 李婧 《土壤学报》 CAS CSCD 北大核心 2024年第4期892-915,共24页
多环芳烃(PolycyclicAromaticHydrocarbons,PAHs)是一类持久性有机污染物,容易在土壤中累积并且毒性显著,但PAHs在土壤固相上的吸附性较强,基于土壤污染总量暴露会导致高估人群健康风险。本研究基于2000―2020年间发表的123篇文献,总结... 多环芳烃(PolycyclicAromaticHydrocarbons,PAHs)是一类持久性有机污染物,容易在土壤中累积并且毒性显著,但PAHs在土壤固相上的吸附性较强,基于土壤污染总量暴露会导致高估人群健康风险。本研究基于2000―2020年间发表的123篇文献,总结了我国土壤中16种优先控制多环芳烃(∑_(16)PAHs)的污染浓度分布和组成特征,介绍了11种常见的模拟PAHs生物可给性测试方法和主要影响因素,并总结了PAHs的生物可给性系数范围。调研表明土壤∑_(16)PAHs最高与平均浓度分别为23250和1314.7μg·kg^(–1),污染较为严重;近年来PAHs生物可给性测试方法主要基于生理原理提取法(PBET),在模拟消化过程和吸附剂等方面不断完善和改进,并且消化条件、土壤性质等因素对生物可给性结果影响较大。16种PAHs的生物可给性平均值范围为13.2%~72.4%,其中■和苯并[b]荧蒽的生物可给性较高,对∑_(16)PAHs暴露产生贡献较高。本调研结果为开展土壤PAHs污染精细化风险评估研究提供重要理论参考依据。 展开更多
关键词 土壤 PAHS 生物有效性 生物可给性 体外胃肠模拟法 精细化风险评估
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导弹命中精度的序贯截尾概率圆检验方法 被引量:1
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作者 杨华波 张士峰 《国防科技大学学报》 EI CAS CSCD 北大核心 2024年第2期62-69,共8页
针对圆概率偏差检验难以直接计算的问题,提出序贯截尾概率圆检验方法,以目标点为中心,绘制两个同心圆,其中小圆以内区域为接受域,大圆以外区域为拒绝域,中间区域为继续试验域,在此基础上定义了序贯检验的基本决策规则,给出了双方风险及... 针对圆概率偏差检验难以直接计算的问题,提出序贯截尾概率圆检验方法,以目标点为中心,绘制两个同心圆,其中小圆以内区域为接受域,大圆以外区域为拒绝域,中间区域为继续试验域,在此基础上定义了序贯检验的基本决策规则,给出了双方风险及平均试验次数计算模型,提出了两种不同的决策阈值优化计算模型,通过求解优化问题确定接受域及拒绝域半径。利用数值仿真分析了两种不同决策阈值计算方法下检验方案中的各类参数,其中以平均试验次数最小为优化目标的计算模型具有更好的工程实用性。 展开更多
关键词 命中精度 圆概率偏差 序贯截尾概率圆检验 研制方风险 使用方风险 平均试验次数
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医疗器械检验报告审核和质量管理探讨
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作者 章娜 陈鸿波 +1 位作者 项新华 李静莉 《中国药事》 CAS 2024年第10期1143-1148,共6页
目的:医疗器械具有复杂性、特殊性、专业性、涉及门类广等特点,面对医疗器械开放自检及检验市场竞争日益加剧的形势,如何提升检验能力,适应产业的迅速发展,确保检验结果的科学性、公正性、权威性,是各医疗器械检验机构面临的共同挑战。... 目的:医疗器械具有复杂性、特殊性、专业性、涉及门类广等特点,面对医疗器械开放自检及检验市场竞争日益加剧的形势,如何提升检验能力,适应产业的迅速发展,确保检验结果的科学性、公正性、权威性,是各医疗器械检验机构面临的共同挑战。方法:从医疗器械检验面临的挑战、法律法规要求、质量管理体系关注要点等方面进行阐述。结果:通过对报告审核中发现的问题,提出质量改进措施及建议。结论:医疗器械检验机构应持续提升检验能力,发展特色优势领域,积极应对医疗器械快速发展的需要及检验新形势,提质增效,应在医疗器械的质量检验工作中,引入风险管理理念并加强过程控制,从人、机、料、法、环等方面构建起全方位的保障体系,提高检验质量和效率,助力医疗器械高质量发展。 展开更多
关键词 医疗器械 检验报告 质量管理 注册自检 风险管理
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Contamination and Ecological Risk Assessment of Heavy Metal in the Sediment of Turag River, Bangladesh: An Index Analysis Approach 被引量:5
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作者 Zoynab Banu Md. Shariful Alam Chowdhury +1 位作者 Md. Delwar Hossain Ken’ichi Nakagami 《Journal of Water Resource and Protection》 2013年第2期239-248,共10页
Encroachment, disposal of untreated domestic and industrial wastewater and dumping of solid wastes have degraded the overall quality of the river Turag, which is located in Dhaka—the Capital City of Bangladesh. The p... Encroachment, disposal of untreated domestic and industrial wastewater and dumping of solid wastes have degraded the overall quality of the river Turag, which is located in Dhaka—the Capital City of Bangladesh. The present study investigated the extent of pollution of sediments of this river and analyzed the regional variability for the concentrations of Cr, Pb, Zn, Cu and Cd—all of concern because of their potential toxicity, using atomic absorption spectrophotometer. As per US EPA sediment quality guideline, metal concentrations ranged between Cd: 0.00 - 0.80, Cr: 32.00 - 75.50, Cu: 46.30 - 60.00, Pb: 28.30 - 36.40, and Zn: 94.60 - 190.10 mg/kg in the Turag river sediments. Cr, Cu, Zn belongs to moderately to highly polluted, Pb and Cd belongs to not polluted for Turag river. The heavy metals contamination in the sediments were also evaluated by applying Index of geo-accumulation (Igeo), contamination factor (Cf), pollution load index (PLI) etc. Toxicity characteristics leaching procedure (TCLP) test (US EPA 1311) for sediment samples have been performed also for metals (Pb, Cd, Cr, Cu and Zn) to determine the readily toxicity level of heavy metals. Sieve analysis of sediment performed in this study to determine the physical characteristic of sediment samples. The metal concentrations are well below the regulated level as per US EPA. This index can be complemented with the contamination index, which allows more site-specific and accurate information on contaminant levels. If the aim of work on contamination evaluation is to assess the overall contamination of a study area, the indices are highly appropriate. 展开更多
关键词 Heavy Metal TCLP test SEDIMENT Geo-Accumulation INDEX Ecological risk INDEX CONTAMINATION Factor Turag RIVER etc.
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BAYESIAN DEMONSTRATION TEST METHOD WITH MIXED BETA DISTRIBUTION 被引量:6
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作者 MING Zhimao TAO Junyong +1 位作者 CHEN Xun ZHANG Yun'an 《Chinese Journal of Mechanical Engineering》 SCIE EI CAS CSCD 2008年第3期116-119,共4页
A complex mechatronics system Bayesian plan of demonstration test is studied based on the mixed beta distribution. During product design and improvement various information is appropriately considered by introducing i... A complex mechatronics system Bayesian plan of demonstration test is studied based on the mixed beta distribution. During product design and improvement various information is appropriately considered by introducing inheritance factor, moreover, the inheritance factor is thought as a random variable, and the Bayesian decision of the qualification test plan is obtained, and the correctness of a Bayesian model presented is verified. The results show that the quantity of the test is too conservative according to classical methods under small binomial samples. Although traditional Bayesian analysis can consider test information of related or similar products, it ignores differences between such products. The method has solved the above problem, furthermore, considering the requirement in many practical projects, the differences among this method, the classical method and Bayesian with beta distribution are compared according to the plan of reliability acceptance test. 展开更多
关键词 Reliability qualification test Inheritance factor Bayesian analysis Binomial distribution Maximum posterior risk
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荧光定量PCR仪校准技术指标及结果分析
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作者 梁文 霍银波 +2 位作者 杨镇州 罗超 李妍 《上海计量测试》 2024年第2期2-5,共4页
根据不同荧光定量PCR仪器品牌的市场占有率挑选了不同型号、不同工作频率和使用年限的仪器进行校准和质量风险分析,重点针对温度示值误差、温度均匀度、样本重复性和样本线性四个技术指标作了检测和比较,探讨了这四个技术指标出现偏差... 根据不同荧光定量PCR仪器品牌的市场占有率挑选了不同型号、不同工作频率和使用年限的仪器进行校准和质量风险分析,重点针对温度示值误差、温度均匀度、样本重复性和样本线性四个技术指标作了检测和比较,探讨了这四个技术指标出现偏差可能造成的检测结果失准的风险,并对仪器生产厂商和仪器使用者提出了建议。通过分析评估得出了该类仪器应该重点关注的技术参数指标和技术难点,为仪器使用者了解该产品的质量状况及相关政策措施的制定提供了参考依据。 展开更多
关键词 荧光定量PCR仪 计量测试 风险评估
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房地产行业冲击下的系统性风险 被引量:1
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作者 杨涛 杜在超 张栋浩 《管理科学学报》 CSSCI CSCD 北大核心 2024年第4期119-141,共23页
房地产是当前中国最大的“灰犀牛”之一.本文首次就房地产行业冲击对我国所有行业可能造成的系统性风险影响进行了压力测试.为克服以往二维压力测试无法刻画所有行业之间联动的问题,本文提出了一种新的动态高维Copula(DHDC)宏观压力测... 房地产是当前中国最大的“灰犀牛”之一.本文首次就房地产行业冲击对我国所有行业可能造成的系统性风险影响进行了压力测试.为克服以往二维压力测试无法刻画所有行业之间联动的问题,本文提出了一种新的动态高维Copula(DHDC)宏观压力测试方法.还提出了一种新的系统性风险度量—条件市值损失(CoMVL),它结合了已有风险度量CoES和MES的优点,又融入了市值信息,从而更好地测量负向冲击的影响.利用中国18个行业的指数回报数据,基于DHDC压力测试的实证分析表明:房地产行业冲击对其他各个行业产生了广泛的不利影响,如果未来一个月内房地产行业累积收益率下跌20%,将会导致制造业、金融业、信息技术业和采矿业的市值分别下跌10.14万亿元、0.81万亿元、0.65万亿元和0.42万亿元,收益率分别下跌29.10%、7.81%、15.27%和10.92%;房地产行业冲击对一个行业造成的市值损失75%以上归结于间接影响,即房地产行业通过影响其它行业而其它行业又对目标行业造成的影响.风险溢出网络分析表明,房地产行业冲击主要通过信息技术业、采矿业、批发零售业、交运仓储业、水电煤气业和建筑业六个行业对制造业和金融业产生了不利影响.拓展分析还表明,房地产行业冲击时间越长,对其他行业产生的不利影响也就越大;而且房地产行业负向冲击产生的影响要大于同等幅度下正向冲击产生的影响,即当前稳定房地产下跌预期对防范系统性风险相对更加重要.一系列稳健性检验都证实了本文结果的可靠性.本研究对于全面理解和防范房地产行业冲击对其它各行业可能带来的系统性风险具有重要的政策指引意义. 展开更多
关键词 房地产行业冲击 系统性风险 DHDC压力测试 条件市值损失
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