According to the problem that the recovery rate is traditional treated as a constant or an independent stochastic variable by the classical credit risk pricing and management model , and problem that the negative correlation between the default probability and recovery rate is always neglected , this dissertation gets the exponential and logarithm regression models of default probablilty and recovery rate based on some empirical researches , and improves on several broadly applied credit risk models , such as structural hazard rate model , affine structure model , convertible bond pricing model and credit metrics model , and introduce the negative correlation between 針對傳統(tǒng)的信用風(fēng)險定價模型及信用風(fēng)險管理模型將違約回收率看成是一個外生的常數(shù)或是一個獨(dú)立的隨機(jī)變量,而忽略回收率和違約概率之間的負(fù)相關(guān)性這一問題,本文應(yīng)用相關(guān)實(shí)證研究得到了違約概率和回收率的指數(shù)和對數(shù)回歸模型,并對應(yīng)用非常廣泛的結(jié)構(gòu)化風(fēng)險率模型、仿射結(jié)構(gòu)模型、可轉(zhuǎn)換債券定價模型和creditmetrics模型進(jìn)行了改進(jìn)和拓展,在新模型中應(yīng)用指數(shù)和對數(shù)函數(shù)引入了這兩個變量之間的負(fù)相關(guān)性。
2 . considered the material intensity , girder area , panel thickness and loads as stochastic variables , taylor expansion sfem is adopted to analyze the influence of stochastic variables to the nodal displacement , and the different effects of the different variables to the same nodal displacement are compared . 3 以船舶結(jié)構(gòu)中的材料的強(qiáng)度、梁元截面積、板元厚度和外載荷為隨機(jī)變量,采用taylor展開的隨機(jī)有限元,分析了隨機(jī)變量對船舶結(jié)構(gòu)的節(jié)點(diǎn)位移的定量的影響,同時還比較了不同的隨機(jī)變量對同一節(jié)點(diǎn)位移的不同影響。
According to the instance of the arch dam built , take the discount quotiety , the verification flood water level , the frictional quotiety and , the agglomerate force and as stochastic variable quotiety , calculate the reliability index of the abutment with the calculational programme after the average value and variable quotiety is known 對于所取的拱壩實(shí)例,以揚(yáng)壓力折減系數(shù),校核洪水位,摩擦系數(shù)、 ,凝聚力、為隨機(jī)變量,在已知其均值并設(shè)定變異系數(shù)的前提下,利用電算程序計算其壩肩巖體的可靠指標(biāo)。
This paper firstly applied sequential cluster method to set up the classification standard of precipitation state based on the fact that there are much uncertainty and imprecise characteristics in the precipitation course ; then this paper presented a method which is called markov chain with weights to predicted the future precipitation state by regarding the standardized self - coefficients as weights based on the special characteristics of precipitation being a dependent stochastic variable ; and applied this method to a real hydrological observation station with nearly 50 years precipitation information in shanxi province at last , an ideal result was obtained 摘要首先基于降水過程存在大量不確定性、不精確性的特點(diǎn),應(yīng)用有序聚類的方法建立降水豐枯狀況的分級標(biāo)準(zhǔn);然后針對降水量為相依隨機(jī)變量的特點(diǎn),采取以規(guī)范化的各階自相關(guān)系數(shù)為權(quán)重,用加權(quán)的馬爾可夫鏈模型來預(yù)測未來降水的豐枯變化狀況;最后以山西省某水文站近50年的降水資料為實(shí)例對該方法進(jìn)行了具體的應(yīng)用,獲得了較為滿意的結(jié)果。
The first is based on the gain of the previous accumulate value , we can get the total gain at the stage of n , and from gained accumulate value of the stochastic variable set , and from the aggregate set of the past value , an enlarged state space is formed if we use the aggregate of the past value in the state space x , in which we use markov optimum strategy 第一種方法是基于增益的過去累積值的方法,我們考慮到第n階段為止的增益累積值隨機(jī)變量列,以及它取得的過去值集合列,得到它的總增益,進(jìn)一步把本來的狀態(tài)空間x上,將過去值集合附加上去,形成一個擴(kuò)大的狀態(tài)空間。在這個新的狀態(tài)空間上考慮馬爾可夫最優(yōu)策略。
At first , the basic theory and general process of the abutment stability against sliding of the arch dam with common definite solution ( the limiting equilibrium method of the rigid body and finite element method ) are simply developed . then combined with , reliability computation , the stochastic finite element method is used to establish the relationship between the load effect ( stress or force ) and basic stochastic variable dealing with statistical features of variables . based on the stochastic finite element method , the reliability of the arch dam abutment stability against sliding is analyzed , and the corresponding reliability index is calculated 首先簡要介紹用傳統(tǒng)定值方法(剛體極限平衡法和有限單元法)分析拱壩壩肩抗滑穩(wěn)定的基本原理和一般過程,再與可靠度理論相結(jié)合,考慮變量的隨機(jī)特性,通過隨機(jī)有限元法建立荷載效應(yīng)(如應(yīng)力、內(nèi)力等)與基本隨機(jī)變量之間的關(guān)系,然后在隨機(jī)有限元的基礎(chǔ)上進(jìn)行拱壩壩肩抗滑穩(wěn)定的可靠度分析,計算相應(yīng)的可靠指標(biāo)。
Meanwhile , the influence of the distribution types , cut - tail and correlation of the stochastic variable on the reliability is discussed finally , the application of the arch dam abutment stability against sliding analysis with the way of common definite solution and stochastic finite element method is tested by one practical example analyzed and calculated in our province 并討論了隨機(jī)變量的分布類型、截尾情況以及相關(guān)關(guān)系對可靠指標(biāo)的影響。最后對我省一實(shí)際工程進(jìn)行計算和分析,驗(yàn)證傳統(tǒng)定值分析方法及隨機(jī)有限元方法在拱壩壩肩抗滑穩(wěn)定分析中的應(yīng)用。
If either of strength and stress is stochastic variable and another is fuzzy variable , the . fuzzy variable can be transformed to section number on the assumption that the probability of fuzzy variable taking some points in that section is proportional to its value of membership function respectively , then the probability of structural fuzzy event is transformed to general probability with stochastic strength and stress variables and can be solved by general probability theory 當(dāng)強(qiáng)度和應(yīng)力之一為隨機(jī)變量,另一個為模糊變量時,提出將模糊變量通過模糊集合截集轉(zhuǎn)換為區(qū)間數(shù),并假定模糊變量在此區(qū)間取值的可能性與相應(yīng)的隸屬函數(shù)值成正比。采用上述處理后,結(jié)構(gòu)模糊事件的概率即轉(zhuǎn)化為相應(yīng)的普通事件概率,可按應(yīng)力和強(qiáng)度為隨機(jī)變量,用常規(guī)可靠性理論進(jìn)行求解。
The " net cash flow from operating activities / net profit " , a cash flow indicator that is emphasized both at home and abroad , was first time to be treated as one of the variables for corporate performance . the listed companies of manufacturing industry were grouped according to their asset scale and industry property . the empirical study of equity structure and corporate performance were carried out through combining the empirical analysis and theoretical analysis and by using stochastic variable intercept paral data mode and sas software package 本文以制造業(yè)303家上市公司為總樣本,確定了6個股權(quán)結(jié)構(gòu)變量、 7個經(jīng)營績效變量,并在經(jīng)營績效變量中,首次引入了國內(nèi)外尤為關(guān)注的現(xiàn)金流量指標(biāo)? ?盈余現(xiàn)金保障倍數(shù);將制造業(yè)各次類上市公司,按資產(chǎn)規(guī)模和行業(yè)性質(zhì)進(jìn)行劃分,采用實(shí)證分析與規(guī)范分析相結(jié)合的方式,運(yùn)用計量經(jīng)濟(jì)學(xué)建模方法? ?隨機(jī)影響變截距平行數(shù)據(jù)法,應(yīng)用sas統(tǒng)計軟件,對我國上市公司的股權(quán)結(jié)構(gòu)與經(jīng)營績效進(jìn)行實(shí)證研究。
Thereby drew a conclusion that variability of stochastic variable has remarkable effect on the reliability . and the different stochastic variable has different effect on the reliability while the variable quotiety increasing . the obtained results shown that the calculating method presented in the paper can be widely used in reliability analysis of abutment stability against sliding 從而得到以下結(jié)論:在壩肩巖體可靠性計算中,各隨機(jī)變量的變異性對壩肩巖體的整體可靠性有顯著影響,且不同的隨機(jī)變量,當(dāng)其變異系數(shù)有所增大時,對可靠指標(biāo)的影響程度是不一樣的。