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For this purpose, this technique is applied to a version of the wellknown credit portfolio model CreditMetrics, extended by correlated interest rate and credit spread risk.


It is inferred that reallocation of genetleveled fitness to the ortet and tillers may be beneficial to lower and spread risk of whole genet, and that plasticity in the fitness may help whole genet better adapt to variable environments.


Our aim of this research is to propose a model which estimates implied relative credit reliability from the yield spread of defaultable bonds and evaluates their spread risk.


One way of securing the survival of the household is to spread risk in farming by extending the planting and harvesting seasons in order to avoid all crops being damaged if unfavorable production conditions should occur.


Using the Boeing 767, 777, and 787 as examples, we argue that the motives for Boeing's commercial outsourcing to Japan are to access the Japanese market, spread risk, gain access to capital, and lower U.S.

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 Arbitraging is a class of trading methods in the derivative security market, and though it is important and is of relative safety, the risks of price difference exist still. In this paper the models, methods and algorithm of minimum risk of price difference in the derivative security market are discussed. The main conclusion is, by the calculation on the actual data, to know the best time to begin arbitraging, and to know the best volume of arbitraging. The analyzing to actual data from China Zhengzhou Commodity... Arbitraging is a class of trading methods in the derivative security market, and though it is important and is of relative safety, the risks of price difference exist still. In this paper the models, methods and algorithm of minimum risk of price difference in the derivative security market are discussed. The main conclusion is, by the calculation on the actual data, to know the best time to begin arbitraging, and to know the best volume of arbitraging. The analyzing to actual data from China Zhengzhou Commodity Exchange supports the conclusions in this paper.  】跨期套利是金融衍生商品市场中一种重要并且相对较为安全的交易方法，但其依然时常面临价差风险。本文讨论了跨期套利交易的价差风险极小化模型、方法和算法。主要结论是，如何通过解析计算，准确得知入市的最佳时间和最佳规模，以便最大限度地化解跨期套利的市场风险，并安全地获得价差盈利。通过对郑州商品交易所交易数据的实证分析，使本文结论的正确性得到支持。  The total static investment of Three Gorges Project approved by the State is 50 09 billion RMB Yuan (equivalent to the price level at the end of May 1993) and its construction period will be 17 years In order to control its investment scientifically and reasonably, the China Yangtze River Three Gorges Project Development Corporation has formulated the Owner's implementation estimation system in the investment management Meanwhile, it also carried out the principles of "static control and dynamic management"... The total static investment of Three Gorges Project approved by the State is 50 09 billion RMB Yuan (equivalent to the price level at the end of May 1993) and its construction period will be 17 years In order to control its investment scientifically and reasonably, the China Yangtze River Three Gorges Project Development Corporation has formulated the Owner's implementation estimation system in the investment management Meanwhile, it also carried out the principles of "static control and dynamic management" to standardize gradually the price variation management, established two price systems of estimation price and contract price, conducted the management of price variation of such two price systems, integrated the price adjustment method and settlement formula, and developed the risk analysis of price variation Within 5 years from the beginning of 1994 to the end of 1998, the ratio of price indexes is 1 28, 23 percent less than that expected by the expert group in 1993 The investment in the first stage construction (1993 1997) has been effectively controlled and has slightly surplus But other problems such as labor's cost variation, mechanical depreciation, cost price variation, etc remain to be studied deeply  国家批准三峡枢纽工程静态总投资 50 0 9亿元人民币 (1993年 5月末价格水平 ) ,建设工期 17年。为了科学合理地控制投资 ,三峡总公司在投资管理中编制了业主执行概算 ,实行“静态控制、动态管理” ;逐步规范了价差管理 ;建立了概算价与合同价两个价格体系 ;进行了两种价格体系的价差管理 ;统一了价格调整办法和结算公式 ;开展了价差风险分析。从 1994年开始到 1998年底的 5年中 ,价格指数基比为 1 2 8,比 1993年专家组预测数的价格指数低 2 3个百分点 ;第一阶段施工 (1993年～ 1997年 )投资得到了有效控制 ,并略有结余。但还有人工费用价差、机械折旧、费用价差等方面的问题有待深入探讨  In real life, the hedge of quite a few future contracts will lose their value,in other word, they will face basic risk. Future hedge ratio aims to reduce risks by replacing price risk in spot market with basic risk, which can determine the risk. This paper, with an introduction of basic risk and riskavoiding theory of hedge ratio, shows the reader a new way to ascertain the best hedge ratio for the minimum risks by applying mathematical knowledge such as probability statistics and analysis of variance to the... In real life, the hedge of quite a few future contracts will lose their value,in other word, they will face basic risk. Future hedge ratio aims to reduce risks by replacing price risk in spot market with basic risk, which can determine the risk. This paper, with an introduction of basic risk and riskavoiding theory of hedge ratio, shows the reader a new way to ascertain the best hedge ratio for the minimum risks by applying mathematical knowledge such as probability statistics and analysis of variance to the inference process. It concludes that 1 is not the best hedge ratio though it was frequently assumed so.  现实中有不少期货合约的套期保值会有损失,即面临基差风险,期货套期保值只是通过使结果更确定以减少风险,用基差风险取代现货市场价差风险。通过对套期保值避险原理和基差风险的阐述,应用概率统计的方差分析和微积分知识,采用数学推理来确定最佳套期保值比率,使风险最小化。说明通常假定的套期保值比率为1并非最佳。   << 更多相关文摘 
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