Оценка кривой бескупонной доходности на российском рынке облигаций
The paper is devoted to the issue of construction of the term structure of interest rates for China’s bond market. It provides an overview of the related studies for the period from 1997 to 2010. The paper also gives a brief description and history of the approach applied by China Central Depositary & Clearing (CCDC) in order to construct the yield curve out of the China’s bond market data.
Homogeneous and isotropic with respect to horizontal variables random fields are useful for study of geophysical (in particular, meteorological) functions of spatial-temporal variables. The following horizontal scale (30 — 3000 km), which is induced by the spatial scale of the observing grid for the Earth’s atmosphere and by the power of modern computers for solutions of the system of hydrothermodynamics equations, which included water phase transformations etc, is important for the weather forecast problems.
The correlation functions (CFs) of the random fields may be applied for the following goals:
1) For the optimal interpolation of the meteorological information from the points of observation into the points of a regular finite-difference grid, as well as (for the checking of some observations by other ones) into another point of the observation.
2) For the models’ testing, if a climate model simulates adequately not only mean fields, but the fields of the relative dispersions and CFs, too, then we should consider the climate model as a certain one.
The CFs are evaluated by the global checked archive of meteorological observations by meteorological sounds. A special regularization procedure provides the strong positive definiteness of the CFs. The areas in the Earth atmosphere, where the isotropy hypothesis is essentially not fulfilled, were localized by a special algorithm.
Let us consider an algorithm, which can construct atmospheric fronts that separate so named homogeneous synoptic atmospheric volumes. Then we can evaluate separately CFs for the ensemble of the pairs of points, which are in a unite volume and CFs for the ensemble of the pairs of points, which are in a various volumes. We can see the difference between the different CFs. The difference will be more for a better algorithm. So, we obtain a quality criterion for such algorithms. The statistical approach given possibility to optimize the algorithm with respect to a lot of numerical parameters. The optimal algorithm was exploited in the operative regime in Hydrometeorological Center of Russia. The similar algorithms of numerical construction of boundaries between homogeneous volumes by a discrete set of observations can be realized for various physical media.
Problem in the Modeling on the Basis of Regularization and Distributed Computing in the Everest Environment
A method for estimating mathematical models of physical spatial phenomena is presented. Estimating is based on the series of experimental data. The objective function in the inverse optimization problem of identification of model parameters includes a regularizing term with unknown weight coefficients for the 2nd derivatives of the spatial function describing the phenomenon. Successive cross-validation procedure is used to choose values of weight coefficients. This cross-validation consists in approximation of one subset of experimental data by processing of a complementary subset. The better accuracy of the “crossapproximation”, the better set of weight coefficients. Choosing direction of the possible improvement requires solving a number of subsidiary optimization problems. For that it is proposed to use distributed computing environment of optimization services deployed via Everest toolkit.
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.