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We consider three kinds of minimum single source shortest path tree expansion problems. Given an undirected connected graph G = (V, E; w, c, b; s) with n vertexes, m edges and a positive constant H, w(e) is the length of edge e, c(e) is the capacity of edge e, b(e) is the unit cost to increase the capacity of edge e, H is a given capacity restriction value and s is a fixed vertex of G. For every edge...
Maximum entropy method (MEM) is the traditional approach to estimate interbank exposure matrix, which is the key to assess contagion effect in banking system. Recently, a new transfer entropy method (TEM) is proposed to estimate interbank exposure matrix. This paper employs the two approaches to estimate interbank exposure matrix of Chinese banking system, and then simulate the contagion process given...
This paper develops a methodology to aggregate the market, credit and operational risk and derive the economic capital. While the data is obtained by mapping the profit & loss items of income statement into risk types, the dependence structure between the risks is modeled through the combination of mutual information and copulas, which enables to capture both linear and non-linear dependence...
This research is innovative in such aspects as research content, method and so on. Authors took Northeast China as study area, with the help from "3S" technology and based on spatial and temporal land resource data, agricultural statistics data and considering the natural and socio-economic factors. And, this paper analyzed the impact of cultivated land change on the grain production capacity...
In the Basel II Accord, banks are encouraged to use the Advanced Measurement Approach (AMA), which is suitable for banks to assess operational risk capital, but banks are required to demonstrate their ability to capture severe tail loss events. In this paper, based on the 860 operational risk loss data of Chinese commercial banks collected from public reports from 1995 to 2006, we found that the sample...
As the world economic power and military strengthchange, a new round of contention for energy has started. What will be the sticking point is whether China can access to adequate oil resources safely in the new redistribution of energy resources which may impact China's oil imports and energy supply in the future. Based on the Herfindahl-Hirschman Index, in this paper we propose an improved methodology...
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