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金融风险度量
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  financial risk measurement
     Financial Risk Measurement and Management Based on VaR Models
     基于VaR的金融风险度量与管理
短句来源
     Financial Risk Measurement with the Comparision Approach
     金融风险度量及其比较研究
短句来源
  “金融风险度量”译为未确定词的双语例句
     The VaR Methods and Its Application in Financial Risk Measure
     金融风险度量VaR方法及其应用
短句来源
     Through the study and comparison of these methods, the mainstream measuring technology, VaR(Value at Risk)is taken as the major methods in these paper.
     本文通过对证券市场风险的各种度量技术的研究、比较,最终选定了目前金融风险度量技术的主流技术——VaR(Value at Risk)方法作为本文的研究方法。
短句来源
     Faced with stronger fluctuation and more system risks, management and measurement of the financial risks have become key abilities for financial institutions and industrial and commercial enterprises in competition and also make the major content in finance engineering and modern finance theories.
     因此,金融风险度量与管理就成为了金融机构和工商企业的重要核心竞争力,也是金融工程与现代金融理论的核心内容。 金融风险管理的过程十分复杂,一般包括风险识别、风险度量、风险管理决策与实施以及风险控制四个阶段。
短句来源
     Comparsion of the VaR Method and the CVaR Method in Financial Risk Measure and Their Applications
     金融风险度量VaR与CVaR方法的比较研究及应用
短句来源
     Applied Study on Model, Technique and Methodology of Measurements and Managements of Finiancial Risk
     金融风险度量和管理的模型、技术与方法及其应用研究
短句来源
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  相似匹配句对
     A New Method to Measure and Control Financial Risk
     度量与控制金融风险的新方法
短句来源
     Financial Risk Measurement with the Comparision Approach
     金融风险度量及其比较研究
短句来源
     How to select indices to measure financial risks?
     如何选择度量金融风险的指标
短句来源
     The Measurement and Management of Finance Operation Risks
     金融操作风险度量与管理
短句来源
     Problems in measuring financial risks with VaR
     VaR度量金融风险的几个问题
短句来源
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  measure of financial risk
This paper employs variation in the set of net returns as the sole measure of financial risk and develops a model that identifies the mix of beneficiaries that maximizes net income, subject to a given level of risk.
      


State-Price Densities (SPD) were proposed by At-Sahalia and Lo (2000) to measure financial risks, which outperforms traditional measures for financial risks in which they incorporate economic valuations. In this paper, local high-order polynomial fitting is employed for the estimation of the SPD. Then SPD is used to measure value at risk (VaR). It is shown that the new VaR based on SPD is more reasonable than the traditional VaR. Simulations are done for Black-Schole models to assess the performance of our...

State-Price Densities (SPD) were proposed by At-Sahalia and Lo (2000) to measure financial risks, which outperforms traditional measures for financial risks in which they incorporate economic valuations. In this paper, local high-order polynomial fitting is employed for the estimation of the SPD. Then SPD is used to measure value at risk (VaR). It is shown that the new VaR based on SPD is more reasonable than the traditional VaR. Simulations are done for Black-Schole models to assess the performance of our SPD estimators.

传统的金融风险度量 ,如方差、变异系数、市场风险 β ,VaR等均为纯统计意义下的度量 .虽然它们在一定程度上能够刻划金融风险的不确定性这一重要特征 ,但却忽略了这种不确定性后面的经济价值 .在A t_Sahalia和Lo工作的基础上 ,给出了一种新的金融风险度量———状态价格密度 (SPD) .通过局部多项式方法给出了SPD的非参数估计 ,获得了SPD估计的偏差和方差的精确表达式以及SPD估计的收敛速度 .

This paper takes the investment period as the point of division, two types of financial risk measurement including static and dynamic are given clearly. The coherence between two methods is analyzed and verified via coherent standard of risk measurement. Finally, based on the Choquet integral of distortion probability, the characterization of dynamic coherent measures is discussed. It provides theoretical evidence for the methods of different transaction dates risk measurement in empirical application. It is...

This paper takes the investment period as the point of division, two types of financial risk measurement including static and dynamic are given clearly. The coherence between two methods is analyzed and verified via coherent standard of risk measurement. Finally, based on the Choquet integral of distortion probability, the characterization of dynamic coherent measures is discussed. It provides theoretical evidence for the methods of different transaction dates risk measurement in empirical application. It is very important to long portfolio.

以投资期限的划分为分界点 ,提出了静态和动态两种类型的金融风险度量方法。以风险度量的一致性标准为纽带 ,分析和证明了动态风险度量的一致性。最后 ,对一般概率通过函数变换 ,应用 Choquet积分思想 ,对动态一致性风险度量的特征进行了探讨 ,指出它在实际应用中为多期风险度量方法提供的理论依据 ,对长期组合投资具有重要的现实指导意义。

Various financial measurement methods (including standard deviation, VaR, Tail-Var, ES and risk measurement method based on various conversion factors), which were put forward by the theoretical field and are being applied by the practical field, should address the need of consistency. However, the risk measurement methods that address the need of consistency are not the best risk measurement method.

金融实务界正在使用和理论界最近提出的各种金融风险度量方法(包括标准差、VaR、Tail-VaR、ES和基于各种转换函数的风险度量方法)应该满足一致性要求;而满足一致性要求的风险度量方法并非是最优的风险度量方法。

 
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