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- 저자 : Bai Yibo (검색결과 2 건)
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A rolling analysis on the prediction of value at risk with multivariate GARCH and copula
Bai, Yang,Dang, Yibo,Park, Cheolwoo,Lee, Taewook The Korean Statistical Society 2018 Communications for statistical applications and me Vol.25 No.6
Risk management has been a crucial part of the daily operations of the financial industry over the past two decades. Value at Risk (VaR), a quantitative measure introduced by JP Morgan in 1995, is the most popular and simplest quantitative measure of risk. VaR has been widely applied to the risk evaluation over all types of financial activities, including portfolio management and asset allocation. This paper uses the implementations of multivariate GARCH models and copula methods to illustrate the performance of a one-day-ahead VaR prediction modeling process for high-dimensional portfolios. Many factors, such as the interaction among included assets, are included in the modeling process. Additionally, empirical data analyses and backtesting results are demonstrated through a rolling analysis, which help capture the instability of parameter estimates. We find that our way of modeling is relatively robust and flexible.
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Agromyces laixinhei sp. nov. isolated from bat feces in China
Cheng Yanpeng,Bai Yibo,Huang Yuyuan,Yang Jing,Lu Shan,Jin Dong,Pu Ji,Zheng Han,Li Junqin,Huang Ying,Wang Suping,Xu Jianguo 한국미생물학회 2021 The journal of microbiology Vol.59 No.5
Three rod-shaped, Gram-stain-positive, and catalase-positive, phenotypically closely related isolates (HY052T, HY050, and HY045) were obtained from fecal samples collected from bats in Guangxi province and Chongqing city of China. Circular, smooth, light-yellow colonies appeared on brain heart infusion plate after 24–48 h incubation at 28°C. The optimal pH for growth was between 6.0 and 7.5. Based on 16S rRNA, the three isolates were phylogenetically related to Agromyces terreus DS-10T, Agromyces aureus AR33T, Agromyces salentinus 20-5T, Agromyces allii UMS-62T, Agromyces lapidis CD55T, and Agromyces italicus CD1T. Moreover, based on 296 core genes, the phylogenomic tree indicated that the three isolates clustered together, closest to Agromyces cerinus VKM Ac- 1340T and Agromyces fucosus VKM Ac-1345T but separated distantly from other Agromyces species. The average nucleotide identity values between strain HY052T and other Agromyces species ranged from 79.3% to 87.9%, lower than the 95–96% threshold. Furthermore, the genome of strain HY052T contains a circular chromosome of 3,437,203 bp with G + C content of 69.0 mol%. Main fatty acids were anteiso-C15:0 and anteiso-C17:0. The polar lipids comprised diphosphatidylglycerol, phosphatidylglycerol, and unidentified glycolipids. Rhamnose, ribose, and glucose were the primary cell wall sugars. The major peptidoglycan amino acids included alanine, glutamic acid, glycine, and 2,4-diaminobutyric acid. An additional remarkable difference from other Agromyces species is that MK-12 was the sole menaquinone in strain HY052T. Based on results from the polyphasic characterizations performed in this study, our isolates are proposed to be members of a novel species in genus Agromyces, named Agromyces laixinhei. The type strain is HY052T (= CGMCC 1.17175T = JCM 33695T).
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