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Jianming Chen
Chinese Academy of Sciences
15Publications
6H-index
113Citations
Publications 15
Newest
#1Jun Wang (CAS: Chinese Academy of Sciences)H-Index: 3
#2Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 11
Last.Chang LiuH-Index: 3
view all 5 authors...
Abstract Optimizing the oil-import portfolio has become extremely effective for enhancing energy security. The focus of this paper is on whether China’s oil-import portfolio has been continuously optimized since 2005. Firstly, a multi-objective programming problem was constructed based on cost–risk tradeoff, and the optimal results were obtained. The oil-import portfolio of China since 2005 was then analyzed by comparing the optimal import strategy with the actual strategy. Next, the cost fluctu...
#1Chunbing Bao (CAS: Chinese Academy of Sciences)H-Index: 3
#2Dengsheng Wu (CAS: Chinese Academy of Sciences)H-Index: 10
Last.Jianming Chen (CAS: Chinese Academy of Sciences)H-Index: 6
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Abstract The design of risk matrices is a topic that has not reached a consensus, although risk matrices are widely used in practice. Several methods have been proposed to help design risk matrices. However, all the methods seem to have their own advantages, and it is difficult for the decision makers to choose one. In this paper, we compare two different risk matrix design methods from the perspective of applicability. Specifically, we give three detailed scenarios where different settings of t...
#1Chang Liu (CAS: Chinese Academy of Sciences)H-Index: 3
#2Xiaolei Sun (CAS: Chinese Academy of Sciences)H-Index: 11
Last.Jianping LiXiaolei (CAS: Chinese Academy of Sciences)H-Index: 19
view all 4 authors...
This paper focuses on the application of panel models for identification and analysis of influence of oil price volatility on statistical properties of country risk ratings which stem from uncertainty of macroeconomic fluctuations. Firstly, two statistical properties of country risk ratings, volatility clustering and asymmetrical revision were identified in a theoretical framework based on Cruces (2006). Secondly, considering the oil price volatility, numerical experiments were conducted based o...
#1Xiuwen Chen (CAS: Chinese Academy of Sciences)H-Index: 1
#2Jianming Chen (CAS: Chinese Academy of Sciences)H-Index: 6
Last.Jing Li (Anda: Anhui University)H-Index: 2
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Abstract In this paper, a co-word method based on keywords from funded project is proposed to map the research trends. Firstly, the keywords of funded project are used to describe the rsearch topic statistically. Then, co-word analysis, including cluster analysis, social network analysis, is adopted to study the relationship of each research topic. The projects of Management Science and Engineering in National Natural Science Foundation of China during 2011-2015 are collected as the empirical da...
#1Jianping LiXiaoleiH-Index: 19
#2Xiaoqian ZhuH-Index: 7
Last.Wujiang ShiH-Index: 1
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Most advanced measurement approaches cannot simultaneously capture the overall dependence between operational risk components and be easy to use and understand. This paper proposes a mutual-information-based variance–covariance approach that is able to capture the overall correlation and is also highly tractable. Specifically, we replace the linear correlation coefficient with the global correlation coefficient in the framework of the variance–covariance approach. Originating from the theory of ...
#1Yuying Yang (CAS: Chinese Academy of Sciences)H-Index: 3
#2Jianping LiXiaolei (CAS: Chinese Academy of Sciences)H-Index: 19
Last.Jianming Chen (CAS: Chinese Academy of Sciences)H-Index: 6
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External oil supply risk is an important aspect of energy security and oil import diversification is viewed as one of the most effective measures to reduce supply risk. By using the diversification index approach, this research attempts to assess external oil supply risks of oil importers with consideration of two key factors associated with oil suppliers, country risk and potential oil exports capacity. The former can be used to reflect the oil supply risk associated with oil suppliers' macro-e...
It is generally accepted that the choice of severity distribution in loss distribution approach has a significant effect on the operational risk capital estimation. However, the usually used parametric approaches with predefined distribution assumption might be not able to fit the severity distribution accurately. The objective of this paper is to propose a nonparametric operational risk modeling approach based on Cornish-Fisher expansion. In this approach, the samples of severity are generated ...
In loss distribution approach (LDA), the most popular approach in operational risk modeling, frequency dependence and loss distribution dependence across business lines are two dependences which banks should consider. In practice, mainly for simplicity, many banks only model frequency dependence although they think that the impact of frequency dependence is insignificant. In this study, two approaches, respectively, models frequency dependence and loss distribution dependence, are introduced. Bo...
#1Xiaoqian ZhuH-Index: 7
#2Yilin LiH-Index: 2
Last.Dengsheng WuH-Index: 10
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Abstract In this paper, a change point detection approach based on copula with two notable advantages is put forward. One is that the approach can deal with the common but special unbalanced panel data. The other is that it can detect multiple change points. Firstly, a proper copula that most accurately describes the dependence structure of the data is chosen. Then, the chosen copula is fitted to the data dynamically by adding new data. Finally, the change points are located by analyzing the tre...
#1Changzhi Liang (CAS: Chinese Academy of Sciences)H-Index: 5
#2Xiaoqian Zhu (CAS: Chinese Academy of Sciences)H-Index: 7
Last.Jianping LiXiaolei (CAS: Chinese Academy of Sciences)H-Index: 19
view all 6 authors...
Abstract This paper presents a factor copula model for the integration of Chinese commercial banks’ credit risk and market risk. By defining the dependence structure through a set of common factors reflecting the macro-economic situation, this model reveals the intrinsic correlation between credit risk and market risk. We derive the integration process with factor copula and generate common factors by performing a principal component analysis on 4 different macro-economic indicators that have im...
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